- Hardcover: 200 pages
- Publisher: Wiley; 1 edition (May 7, 2003)
- Language: English
- ISBN-10: 0470851562
- ISBN-13: 978-0470851562
- Product Dimensions: 6.2 x 0.7 x 9.3 inches
- Shipping Weight: 14.9 ounces (View shipping rates and policies)
- Average Customer Review: 2 customer reviews
- Amazon Best Sellers Rank: #3,205,127 in Books (See Top 100 in Books)
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Levy Processes in Finance: Pricing Financial Derivatives 1st Edition
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From the Back Cover
Financial mathematics has recently enjoyed considerable interest on account of its impact on the finance industry. In parallel, the theory of Lévy processes has also seen many exciting developments. These powerful modelling tools allow the user to model more complex phenomena, and are commonly applied to problems in finance. Lévy Processes in Finance: Pricing Financial Derivatives takes a practical approach to describing the theory of Lévy-based models, and features many examples of how they may be used to solve problems in finance.
* Provides an introduction to the use of Lévy processes in finance.
* Features many examples using real market data, with emphasis on the pricing of financial derivatives.
* Covers a number of key topics, including option pricing, Monte Carlo simulations, stochastic volatility, exotic options and interest rate modelling.
* Includes many figures to illustrate the theory and examples discussed.
* Avoids unnecessary mathematical formalities.
The book is primarily aimed at researchers and postgraduate students of mathematical finance, economics and finance. The range of examples ensures the book will make a valuable reference source for practitioners from the finance industry including risk managers and financial product developers.
Top customer reviews
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This is a practical, user friendly introductory text and I found the mathematics to be quite understandable and well presented for the practitioner. As such it is not the most rigorous text for physicists however, for those needing to learn the chaos aspects of market theory, it provides a welcome introduction to basic market ideas and gives a sense via the mathematics as to how the market may really work.
Again, the book is primarily aimed at researchers and practitioners in market finance and economics. The many examples utilizing levy statistics surely makes the text a valuable reference source for market and finance practitioners.