ABSTRACT

WINNER of a Riskbook.com Best of 2004 Book Award!

During the last decade, financial models based on jump processes have acquired increasing popularity in risk management and option pricing. Much has been published on the subject, but the technical nature of most papers makes them difficult for nonspecialists to understand, and the mathematic

part 1|2 pages

Part I Mathematical tools

chapter 2|51 pages

2Basic tools

chapter 4|28 pages

4Building Lévy processes

chapter 5|38 pages

Multidimensional models with jumps

part 2|2 pages

Part II Simulation and estimation

chapter 6|35 pages

Simulating Lévy processes

part 3|2 pages

Part III Option pricing in models with jumps

part 4|2 pages

Part IV Beyond Lévy processes

chapter 14|16 pages

Time inhomogeneous jump processes

chapter 15|31 pages

Stochastic volatility models with jumps