- 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: #3,257,622 in Books (See Top 100 in Books)
Enter your mobile number or email address below and we'll send you a link to download the free Kindle App. Then you can start reading Kindle books on your smartphone, tablet, or computer - no Kindle device required.
To get the free app, enter your mobile phone number.
Levy Processes in Finance: Pricing Financial Derivatives 1st Edition
Use the Amazon App to scan ISBNs and compare prices.
The Amazon Book Review
Author interviews, book reviews, editors picks, and more. Read it now
From the Back Cover
Financial mathematics has recently enjoyed considerable interest onaccount of its impact on the finance industry. In parallel, thetheory of Lévy processes has also seen many excitingdevelopments. These powerful modelling tools allow the user tomodel more complex phenomena, and are commonly applied to problemsin finance. Lévy Processes in Finance: Pricing FinancialDerivatives takes a practical approach to describing the theory ofLévy-based models, and features many examples of how they maybe used to solve problems in finance.
* Provides an introduction to the use of Lévy processes infinance.
* Features many examples using real market data, with emphasis onthe pricing of financial derivatives.
* Covers a number of key topics, including option pricing, MonteCarlo simulations, stochastic volatility, exotic options andinterest rate modelling.
* Includes many figures to illustrate the theory and examplesdiscussed.
* Avoids unnecessary mathematical formalities.
The book is primarily aimed at researchers and postgraduatestudents of mathematical finance, economics and finance. The rangeof examples ensures the book will make a valuable reference sourcefor practitioners from the finance industry including risk managersand financial product developers.
Top customer reviews
There was a problem filtering reviews right now. Please try again later.
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.