装帧:Hardcover ISBN:9780470851562 豆瓣评分 评价人数不足 评价: 写笔记 写书评 加入购书单 分享到 推荐 内容简介· ··· 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 ex...
Financial mathematics has recently enjoyed considerable interest on account of its impact on the finance industry. In parallel, the theory of L茅vy processes has also seen many exciting developments. These powerful modelling tools allow the user to model more complex phenomena, and are commonly ...
Levy Processes in Finance 来自 marcialpons.es 喜欢 0 阅读量: 109 作者: W Schoutens 摘要: 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 ...
, Levy Processes: Theory and Applications, Birkhauser, 2001? J. Bertoin, Levy Pr 15、ocesses, Cambridge University Press, 1996? W. Schoutens, Levy Processes in Finance: Pricing Financial Derivatives, Wiley, 2003? R. Cont and P Tankov, Financial Modelling with Jump Processes, Chapman & Hall...
Levy过程的定义：设{X(t),t≥0}是一随机过程：如果（1）X(t)具有平稳独立增量（2）P(X(0)=0)=1（3）X(t)具有右连左极的轨道（4）X(t)是随机连续的,即,对任意a>0,s≥0,当t→s有 P(|X(t)-X(s)|>a)→0 6 编辑课件 LevyProcesses:1930s-1940s PaulLevy(France)AlexanderKhintchine(Russia...
Levy Processes in Finance 电子书 读后感 评分☆☆☆ 作者是鲁文大学的PhD,以言简意赅的语言把Levy过程下的期权定价讲的比较透彻,而且模拟过程也写的非常详细,让读者非常容易上手。让我想起3年前我的毕业论文主要就是参考这本书。http://www.QuantHR.com/bbs 评分☆☆☆ i've not read it yet but i ...
Statistical analysis of model risk concerning temperature residuals and its impact on pricing weather derivatives We model the daily average temperature via an extended Ornstein Uhlenbeck process. We assume that the residuals are driven by a Levy process. We compare ... Ale Ahan - 《Insurance Mathe...
ecology,economics,finance,etc.•Examples:randomwalks,Markov processes,semimartingales,measurevalueddiffusions,LevyProcesses,etc.ImportanceofLevyProcesses •Therearemanyimportantexamples:Brownianmotion,PoissonProcess,stableprocesses,subordinators,etc.•Generalizationofrandomwalkstocontinuoustime•Thesimplestclassesof...
Main Problems with Levy Processes in Finance. Market is incomplete, i.e., there may be more than one possible pricing formula One of the methods to overcome it: entropy minimization Example: hyperbolic Levy process (E. Eberlain) (with no Brownian motion part); a pricing formula have been ...
Levy Processes in Finance and co-editor of Exotic Option Pricing and Advanced Levy Models both published by Wiley. He teaches at 7city Learning and London Financial Studies. He is Managing Editor of the International Journal of Theoretical and Applied Finance and Associate Editor of Mathematical ...