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Exotic Option Pricing and Advanced Levy Models
Andreas Kyprianou
€ 124.20
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Description for Exotic Option Pricing and Advanced Levy Models
Hardcover. This book covers key topics on the subject of exotic option pricing and modeling, including model risk, Monte-Carlo simulation issues, pricing and hedging of American-style exotics, convertible bonds, and more. It will serve as a leading reference for anyone working in probability theory and financial mathematics. . Num Pages: 344 pages, Illustrations. BIC Classification: KFFM2. Category: (P) Professional & Vocational. Dimension: 253 x 284 x 25. Weight in Grams: 774.
Since around the turn of the millennium there has been a general acceptance that one of the more practical improvements one may make in the light of the shortfalls of the classical Black-Scholes model is to replace the underlying source of randomness, a Brownian motion, by a Lévy process. Working with Lévy processes allows one to capture desirable distributional characteristics in the stock returns. In addition, recent work on Lévy processes has led to the understanding of many probabilistic and analytical properties, which make the processes attractive as mathematical tools. At the same time, exotic derivatives are gaining increasing importance ... Read more
Since around the turn of the millennium there has been a general acceptance that one of the more practical improvements one may make in the light of the shortfalls of the classical Black-Scholes model is to replace the underlying source of randomness, a Brownian motion, by a Lévy process. Working with Lévy processes allows one to capture desirable distributional characteristics in the stock returns. In addition, recent work on Lévy processes has led to the understanding of many probabilistic and analytical properties, which make the processes attractive as mathematical tools. At the same time, exotic derivatives are gaining increasing importance ... Read more
Product Details
Format
Hardback
Publication date
2005
Publisher
John Wiley & Sons Inc United Kingdom
Number of pages
344
Condition
New
Number of Pages
344
Place of Publication
New York, United States
ISBN
9780470016848
SKU
V9780470016848
Shipping Time
Usually ships in 7 to 11 working days
Ref
99-50
About Andreas Kyprianou
ANDREAS KYPRIANOU has a degree in Mathematics from Oxford University and a PhD in Probability Theory from Sheffield University. He has held academic positions in Mathematics and Statistics departments at The London School of Economics, Edinburgh University, Utrecht University and, currently, Heriot Watt University. He has also worked for nearly two years as a research mathematician with Shell International Exploration ... Read more
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