L騅y Processes in Finance: Pricing Financial Derivatives (Hardcover) (ISBN-13: 9780470851562)

Financial mathematics has recently enjoyed considerable interest on account of its impact on the finance industry. In parallel, the theory of L vy 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. L vy Processes in Finance: Pricing Financial Derivatives takes a practical approach to describing the theory of L vy-based models, and features many examples of how they may be used to solve problems in finance.
* Provides an introduction to the use of L vy 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.

Author: Wim Schoutens
ISBN-10: 0470851562
ISBN-13: 9780470851562
Publisher: Wiley
Language: English
Published: 05/07/2003
Pages: 200
Format: Hardcover
Weight: 0.90lbs
Size: 9.22h x 6.50w x 0.66d