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Lévy processes in finance : pricing financial derivatives

Author: Wim Schoutens; John Wiley & Sons.
Publisher: Chichester, West Sussex ; New York : J. Wiley, ©2003.
Series: Wiley series in probability and statistics.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:

Financial mathematics has recently enjoyed considerable interest on account of its impact on the finance industry. In parallel, the theory of Levy processes has also seen many exciting developments.  Read more...

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Genre/Form: Electronic books
Additional Physical Format: Print version:
Schoutens, Wim.
Lévy processes in finance.
Chichester, West Sussex ; New York : J. Wiley, ©2003
(DLC) 2003043297
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Wim Schoutens; John Wiley & Sons.
ISBN: 0470851562 9780470851562 0470870230 9780470870235
OCLC Number: 85820002
Description: 1 online resource (xiii, 180 pages) : illustrations.
Contents: 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.
Series Title: Wiley series in probability and statistics.
Responsibility: Wim Schoutens.
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