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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.
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Top Customer Reviews
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.
I am quite disappointed since the book gives details neither on the financial side (incomplete markets, approximate hedging, exotic options...) which is not really the expertise of the author nor on the mathematical side (Wiener Hopf factorization, integrodifferential equations) which is superficially treated, the reader being constantly referred to other books.
The statistics/ econometrics aspect is totally absent and given
only a slight treatment.
For practitioners it is even more disappointing because a crucial aspect, namely NUMERICAL METHODS, is completely absent
and references to recent work on this topic is omitted.
For example, the author does not explain how the models were calibrated to the option prices in the examples he gives and his results are not easy to reproduce.
The only positive point of the book is to give a unified list of different models based on Levy processes which are spread out in the literature.
Moreover, I found it very strange that people recommended the Cont-Tankov book before it was out instead of this book. Looking at the Cont-Tankov contents, I do not see anything useful that is not in the Schoutens book.