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ISBN 10: 1135437947
ISBN 13: 9781584884132
Author: Peter Tankov
Chapter 1 Financial modelling beyond Brownian motion
Part I Mathematical tools
Chapter 2 Basic tools
Chapter 3 Lévy processes: definitions and properties
Chapter 4 Building Lévy processes
Chapter 5 Multidimensional models with jumps
Part II Simulation and estimation
Chapter 6 Simulating Lévy processes
Chapter 7 Modelling financial time series with Lévy processes
Part III Option pricing in models with jumps
Chapter 8 Stochastic calculus for jump processes
Chapter 9 Measure transformations for Lévy processes
Chapter 10 Pricing and hedging in incomplete markets
Chapter 11 Risk-neutral modelling with exponential Lévy processes
Chapter 12 Integro-differential equations and numerical methods
Chapter 13 Inverse problems and model calibration
Part IV Beyond Lévy processes
Chapter 14 Time inhomogeneous jump processes
Chapter 15 Stochastic volatility models with jumps
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Tags: Peter Tankov, Financial Modelling, Jump Processes
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