To appear in: Journal of the Royal Statistical Society ‘A’. Cont, Rama & Peter Tankov, Financial Modelling With Jump Processes. Chapman & Hall/CRC Financial. Financial modelling with Jump Processes (Chapman & Hall / CRC Press, ) by Rama CONT & Peter TANKOV Second edition to appear: Fall : Financial Modelling with Jump Processes (Chapman and Hall/ CRC Financial Mathematics Series) (): Peter Tankov, Rama Cont.

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Financial Modelling with Jump Processes

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Description Table of Contents Reviews. Tankoov the last decade, financial models based on jump processes have acquired increasing popularity in risk management and option pricing.


Much has been published on the subject, but the technical nature of most papers makes them difficult for nonspecialists to understand, and the mathematical tools required for applications can be intimidating.

Financial Modelling with Jump Processes shows that this is not so. It provides a self-contained overview of the theoretical, numerical, and empirical aspects cot in using jump twnkov in financial modelling, and it does so in terms within the grasp of nonspecialists. The introduction of new mathematical tools is motivated by their use in the modelling process, and precise mathematical statements of results are accompanied by intuitive explanations.

Topics covered in this book include: The authors illustrate the mathematical concepts with many numerical and empirical examples and provide the details of numerical implementation of pricing and calibration algorithms.

This book demonstrates that the concepts and tools necessary for understanding and implementing models with jumps can be more intuitive that those involved in the Black Scholes and diffusion models. If you tsnkov even a basic familiarity with quantitative methods in finance, Financial Modelling with Jump Processes will give you a valuable new set of tools for modelling market fluctuations. Reviews “Pardon cobt pun, but I jumped at the opportunity to endorse this book.

This book is the first complete treatment of markets rendered incomplete taniov the reality of jumps in prices and volatilities. If I were you, I would pounce. The authors work at a comfortable mathematical pace choosing carefully which proofs to include and exclude and never losing sight of financial interpretation and application.


I am quite convinced that this goal will be achieved. Kyprianou, International Statistics Institute book reviews “What makes this book attractive is its comprehensiveness. You will learn much.

Holton, Contingency Analysis “One of the first texts which is entirely devoted to option pricing with non-continuous jump-type stochastic processes … an easygoing presentation where the basic problems of jump models are not additionally obscured by technicalities. It will be required reading for students entering Levy finance. My judgment is that it will be useful both within academia, particularly to people in stochastics, econometrics, and other fields wanting to develop an interest in finance, and to practitioners.

Bingham, Journal of the American Statistical Association. tankv

Financial Modelling with Jump Processes – CRC Press Book

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