Lévy Processes in Finance
Pricing Financial Derivatives
Wiley Series in Probability and Statistics
1. Auflage März 2003
200 Seiten, Hardcover
Wiley & Sons Ltd
Kurzbeschreibung
A Lévy process is a popular form of stochastic (or random) process used to model real-world systems. They are most commonly found in finance; i.e. modeling of financial markets, options pricing, and hedging. They are very powerful tools as they enable modeling of more complex phenomena that have irregular behaviour. This book shows how Lévy processes can be applied to finance, with a particular emphasis on the pricing of derivatives. It is illustrated with real market data and lots of figures, and the mathematics is kept to a minimum.
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.
Acknowledgements.
Introduction.
Financial Mathematics in Continuous Time.
The Black-Scholes Model.
Imperfections of the Black-Scholes Model.
Lévy Processes and OU Processes.
Stock Price Models Driven by Lévy Processes.
Lévy Models with Stochastic Volatility.
Simulation Techniques.
Exotic Option Pricing.
Interest-Rate Models.
Appendix A: Special Functions.
Appendix B: Lévy Processes.
Appendix C: S&P 500 Call Option Prices.
References.
Index.
