Financial modelling with jump processes
Auteur :
Cont, Rama / Tankov, Peter
Éditeur :
Taylor & Francis Inc
ISBN :
9781584884132
Date de publication :
30 déc. 2003
Dimensions :
22,9 x 15,2 cm
Poids :
940 g
Langue :
Anglais
Pays d'origine :
USA
Presents an overview of the theoretical, numerical, and empirical aspects of using jump processes in financial modeling. 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.