Download PDF Financial Modelling with Jump Processes (Chapman and Hall/CRC Financial Mathematics Series), by Peter Tankov, Rama Cont
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Financial Modelling with Jump Processes (Chapman and Hall/CRC Financial Mathematics Series), by Peter Tankov, Rama Cont
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WINNER of a Riskbook.com Best of 2004 Book Award!
During the last decade, financial models based on jump processes have acquired increasing popularity in risk management and option pricing. Much has been published on the subject, but the technical nature of most papers makes them difficult for nonspecialists to understand, and the mathematical tools required for applications can be intimidating. Potential users often get the impression that jump and Lévy processes are beyond their reach.
Financial Modelling with Jump Processes shows that this is not so. It provides a self-contained overview of the theoretical, numerical, and empirical aspects involved in using jump processes in financial modelling, and it does so in terms within the grasp of nonspecialists. The introduction of new mathematical tools is motivated by their use in the modelling process, and precise mathematical statements of results are accompanied by intuitive explanations.
Topics covered in this book include: jump-diffusion models, Lévy processes, stochastic calculus for jump processes, pricing and hedging in incomplete markets, implied volatility smiles, time-inhomogeneous jump processes and stochastic volatility models with jumps. The authors illustrate the mathematical concepts with many numerical and empirical examples and provide the details of numerical implementation of pricing and calibration algorithms.
This book demonstrates that the concepts and tools necessary for understanding and implementing models with jumps can be more intuitive that those involved in the Black Scholes and diffusion models. If you have even a basic familiarity with quantitative methods in finance, Financial Modelling with Jump Processes will give you a valuable new set of tools for modelling market fluctuations.
- Sales Rank: #165889 in Books
- Published on: 2003-12-30
- Original language: English
- Number of items: 1
- Dimensions: 9.50" h x 1.30" w x 6.40" l, 1.95 pounds
- Binding: Hardcover
- 552 pages
- Hardcover.
Review
"Pardon the pun, but I jumped at the opportunity to endorse this book. This book is the first complete treatment of markets rendered incomplete by the reality of jumps in prices and volatilities. If I were you, I would pounce." -Dr. Peter Carr, Head of Quantitative Research, Bloomberg LP and Director of Masters Program in Mathematical Finance, NYU "This book is an extremely rich source of information for recent developments in the use of jump processes in financial modelling, in particular the use of lKvy processes. The authors work at a comfortable mathematical pace choosing carefully which proofs to include and exclude and never losing sight of financial interpretation and application. "The authors conclude the main body of their text by saying: "We hope that the present volume will encourage more researchers and practitioners to contribute to this topic and improve on our understanding of theoretical, numerical and practical issues related to financial modelling with jump processes." I am quite convinced that this goal will be achieved." - Dr. Andreas E. Kyprianou in the 'International Statistics Institute' book reviews "What makes this book attractive is its comprehensiveness....this is an excellent book. Read it. You will learn much." - Glyn A.Holton of 'Contingency Analysis' "One of the first texts which is entirely devoted to option pricing with non-continuous jump-type stochastic processes an easygoing presentation where the basic problems of jump models are not additionally obscured by technicalities." - Journal of the Royal Statistics
About the Author
Columbia University, New York, USA Universite Paris VII, France University of Maryland, College Park, USA University of Cambridge and Cambridge Systems Associates Limited, UK
Most helpful customer reviews
0 of 0 people found the following review helpful.
Great Stuff
By Quantastic
Excellent coverage of topics. Rama is a true expert in his field.
6 of 8 people found the following review helpful.
A wonderful book on Levy process
By Da Yooper
The authors not only understand the math, but also integrate the math with financial economics well. I think Levy process is the way to go in the next decade. For example, fundamentally speaking, Brownian motion cannot explain the equity premium puzzle, hence people resort to other factors, such as incomplete market, behaviors, prospect theory, etc. However, behavioral explanations cannot stand in the long run. Prospect theory may reveal what a "normal" person usually do, but once it is revealed, a normal person can get "smarter" and overcome his/her impetus in making suboptimal decisions. Then behavioral andirrational explanation will fail (eventually). One thing I found from my own research is that the Levy process may be an important yet often ignored factor that can explain unexplained issues in finance, hence we do not have to reply on shaky behavioral and irrational arguments. One last point, behavioral can be either rational (good, correct and acceptable) or irrational (bad and should be got rid of. This would be the long long journey for a person who has deep beliefs in science).
1 of 2 people found the following review helpful.
The strong quality for a mathematical view in economics
By Edoardo Angeloni
This book is an approach to economics in according to a very strong mathematical structure.
It is simply to explicate the concept why Tankov apply the Lévy processes.
The Black-Scholes theory is failed and we use the existence of jump to approximate better the financial phenomena.
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