Financial modelling with jump processes
By: Rama Cont, Peter Tankov.
Contributors: Tankov, Peter.
Series: Chapman & Hall/CRC financial mathematics series
Publisher: Chapman & Hall/CRC
Published: 2004
Place of publication: Boca Raton, Fla
Language: eng
Number of pages: 535
Subjects: Finance -- Mathematical models.; Jump processes.
Description: "This book demonstrates that the concepts and tools necessary for understanding and implementing models with jumps can be more intuitive that those involved in the Black-Scholes and diffusion models. If you have even a basic familiarity with quantitative methods in finance, Financial Modelling with Jump Processes with give you a valuable new set of tools for modelling market fluctuations."--Jacket.
Notes: Includes bibliographical references (p. 501-527) and index.