Stochastic Volatilty with Jumps Models, Algorithms and Implememtation |
|
| Author:
| Mijatovic, Aleksandar
Pistorius, Martijn |
| Series title: | Chapman and Hall/CRC Financial Mathematics Ser. |
| ISBN: | 978-1-4665-5646-1 |
| Publication Date: | Nov 2017 |
| Publisher: | CRC Press LLC
|
| Imprint: | Chapman & Hall/CRC |
| Book Format: | Hardback |
| List Price: | USD $79.95 |
Book Description:
|
This book presents a thorough treatment of tractable pricing algorithms and models for derivative markets. It discusses the fundamentals of pricing theory, ideal for students and practitioners beginning their careers. The book also covers cutting-edge modeling and risk management issues stemming from stochastic volatility processes with jumps. It includes pseudo-code, exercises, and solutions to selected problems.
This book presents a thorough treatment of tractable pricing algorithms and models for derivative markets. It discusses the fundamentals of pricing theory, ideal for students and practitioners beginning their careers. The book also covers cutting-edge modeling and risk management issues stemming from stochastic volatility processes with jumps. It includes pseudo-code, exercises, and solutions to selected problems.