- Series: Chapman and Hall/CRC Financial Mathematics Series
- Hardcover: 552 pages
- Publisher: Chapman and Hall/CRC; 1 edition (December 30, 2003)
- Language: English
- ISBN-10: 1584884134
- ISBN-13: 978-1584884132
- Product Dimensions: 6.2 x 1.2 x 9.2 inches
- Shipping Weight: 2 pounds (View shipping rates and policies)
- Average Customer Review: 6 customer reviews
- Amazon Best Sellers Rank: #1,479,505 in Books (See Top 100 in Books)
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Financial Modelling with Jump Processes (Chapman and Hall/CRC Financial Mathematics Series) 1st Edition
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"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
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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.
Every pioneer can make a mistake. The authors do not shy away from very complicated questions, such as (locally) optimal hedging in the presence of jumps. I'm afraid they haven't done their homework properly in this case. They claim on page 339 "the minimal martingale measure preserves orthogonality", which happens to be true for continuous price processes but it is false in most models with jumps. Pages 340 and 341 go on to compute the locally risk minimizing hedging coefficients based on the false premise. I hope this can be fixed in the next edition.