Levy Processes In Finance
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Levy Processes In Finance
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Author : Wim Schoutens
language : en
Publisher: Wiley
Release Date : 2003-05-07
Levy Processes In Finance written by Wim Schoutens and has been published by Wiley this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003-05-07 with Mathematics categories.
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 exciting developments. These powerful modelling tools allow the user to model more complex phenomena, and are commonly applied to problems in finance. L?vy Processes in Finance: Pricing Financial Derivatives takes a practical approach to describing the theory of L?vy-based models, and features many examples of how they may be used to solve problems in finance. * Provides an introduction to the use of L?vy 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.
Levy Processes In Finance Pricing Financial Perivatives
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Author : W. Schoutews
language : en
Publisher:
Release Date : 2003
Levy Processes In Finance Pricing Financial Perivatives written by W. Schoutews and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003 with categories.
Levy Processes In Credit Risk
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Author : Wim Schoutens
language : en
Publisher: John Wiley & Sons
Release Date : 2010-06-15
Levy Processes In Credit Risk written by Wim Schoutens and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-06-15 with Business & Economics categories.
This book is an introductory guide to using Lévy processes for credit risk modelling. It covers all types of credit derivatives: from the single name vanillas such as Credit Default Swaps (CDSs) right through to structured credit risk products such as Collateralized Debt Obligations (CDOs), Constant Proportion Portfolio Insurances (CPPIs) and Constant Proportion Debt Obligations (CPDOs) as well as new advanced rating models for Asset Backed Securities (ABSs). Jumps and extreme events are crucial stylized features, essential in the modelling of the very volatile credit markets - the recent turmoil in the credit markets has once again illustrated the need for more refined models. Readers will learn how the classical models (driven by Brownian motions and Black-Scholes settings) can be significantly improved by using the more flexible class of Lévy processes. By doing this, extreme event and jumps can be introduced into the models to give more reliable pricing and a better assessment of the risks. The book brings in high-tech financial engineering models for the detailed modelling of credit risk instruments, setting up the theoretical framework behind the application of Lévy Processes to Credit Risk Modelling before moving on to the practical implementation. Complex credit derivatives structures such as CDOs, ABSs, CPPIs, CPDOs are analysed and illustrated with market data.
Applications Of L Vy Processes
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Author : Oleg Kudryavtsev
language : en
Publisher:
Release Date : 2021
Applications Of L Vy Processes written by Oleg Kudryavtsev and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021 with Lévy processes categories.
"Lâevy processes have found applications in various fields, including physics, chemistry, long-term climate change, telephone communication, and finance. The most famous Lâevy process in finance is the Black-Scholes model. This book presents important financial applications of Lâevy processes. The Editors consider jump-diffusion and pure non-Gaussian Lâevy processes, the multi-dimensional Black-Scholes model, and regime-switching Lâevy models. This book is comprised of seven chapters that focus on different approaches to solving applied problems under Lâevy processes: Monte Carlo simulations, machine learning, the frame projection method, dynamic programming, the Fourier cosine series expansion, finite difference schemes, and the Wiener-Hopf factorization. Various numerical examples are carefully presented in tables and figures to illustrate the methods designed in the book"--
L Vy Matters I
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Author : Thomas Duquesne
language : en
Publisher: Springer Science & Business Media
Release Date : 2010-09-05
L Vy Matters I written by Thomas Duquesne and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-09-05 with Mathematics categories.
Focusing on the breadth of the topic, this volume explores Lévy processes and applications, and presents the state-of-the-art in this evolving area of study. These expository articles help to disseminate important theoretical and applied research to those studying the field.
L Vy Processes
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Author : Ole E Barndorff-Nielsen
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
L Vy Processes written by Ole E Barndorff-Nielsen and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-12-06 with Mathematics categories.
A Lévy process is a continuous-time analogue of a random walk, and as such, is at the cradle of modern theories of stochastic processes. Martingales, Markov processes, and diffusions are extensions and generalizations of these processes. In the past, representatives of the Lévy class were considered most useful for applications to either Brownian motion or the Poisson process. Nowadays the need for modeling jumps, bursts, extremes and other irregular behavior of phenomena in nature and society has led to a renaissance of the theory of general Lévy processes. Researchers and practitioners in fields as diverse as physics, meteorology, statistics, insurance, and finance have rediscovered the simplicity of Lévy processes and their enormous flexibility in modeling tails, dependence and path behavior. This volume, with an excellent introductory preface, describes the state-of-the-art of this rapidly evolving subject with special emphasis on the non-Brownian world. Leading experts present surveys of recent developments, or focus on some most promising applications. Despite its special character, every topic is aimed at the non- specialist, keen on learning about the new exciting face of a rather aged class of processes. An extensive bibliography at the end of each article makes this an invaluable comprehensive reference text. For the researcher and graduate student, every article contains open problems and points out directions for futurearch. The accessible nature of the work makes this an ideal introductory text for graduate seminars in applied probability, stochastic processes, physics, finance, and telecommunications, and a unique guide to the world of Lévy processes.
Stable Levy Processes In Finance
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Author : Andrea Bottasso
language : en
Publisher: LAP Lambert Academic Publishing
Release Date : 2011-12
Stable Levy Processes In Finance written by Andrea Bottasso and has been published by LAP Lambert Academic Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-12 with categories.
Risk and expected returns are key concepts in financial investment decisions. Financial theoretical and practical analysis are endogenously affected by the distributional form of financial asset returns. Asset pricing, portfolio analysis, risk management and option pricing theories generally rest on assumptions about returns distribution. Most of the concepts in theoretical and practical finance arose in the last decades lie in the hypothesis that asset returns may be modelled with a normal distribution. Bachelier (1900) and Samuelson (1955) created the foundations to the financial edifice which holds its roots on the "normal distribution" assumption. The hypothesis of normal distribution of asset returns is usually justified by an appeal to the central limit theorem. Whenever a financial variable may be considered as the result of many microscopic effects, it can be described by a normal law, since this is the limit distribution of the sum of independent and identically distributed random variables.
Financial Modelling With Jump Processes
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Author : Peter Tankov
language : en
Publisher: CRC Press
Release Date : 2003-12-30
Financial Modelling With Jump Processes written by Peter Tankov and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003-12-30 with Business & Economics categories.
WINNER of a Riskbook.com Best of 2004 Book Award! During 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 mathematic
Financial Models With Levy Processes And Volatility Clustering
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Author : Svetlozar T. Rachev
language : en
Publisher: John Wiley & Sons
Release Date : 2011-02-08
Financial Models With Levy Processes And Volatility Clustering written by Svetlozar T. Rachev and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-02-08 with Business & Economics categories.
An in-depth guide to understanding probability distributions and financial modeling for the purposes of investment management In Financial Models with Lévy Processes and Volatility Clustering, the expert author team provides a framework to model the behavior of stock returns in both a univariate and a multivariate setting, providing you with practical applications to option pricing and portfolio management. They also explain the reasons for working with non-normal distribution in financial modeling and the best methodologies for employing it. The book's framework includes the basics of probability distributions and explains the alpha-stable distribution and the tempered stable distribution. The authors also explore discrete time option pricing models, beginning with the classical normal model with volatility clustering to more recent models that consider both volatility clustering and heavy tails. Reviews the basics of probability distributions Analyzes a continuous time option pricing model (the so-called exponential Lévy model) Defines a discrete time model with volatility clustering and how to price options using Monte Carlo methods Studies two multivariate settings that are suitable to explain joint extreme events Financial Models with Lévy Processes and Volatility Clustering is a thorough guide to classical probability distribution methods and brand new methodologies for financial modeling.
Dependence Structure For Levy Processes And Its Application In Finance
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Author : Qiwen Chen
language : en
Publisher:
Release Date : 2008
Dependence Structure For Levy Processes And Its Application In Finance written by Qiwen Chen and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with categories.