Articles liés à Stochastic Calculus for Financial Modeling with Stochastic...

Stochastic Calculus for Financial Modeling with Stochastic Volatility - Couverture souple

Arbai, Aziz

 
9786200434814: Stochastic Calculus for Financial Modeling with Stochastic Volatility
Couverture souple
ISBN 10 : 6200434816 ISBN 13 : 9786200434814
Editeur : LAP Lambert Academic Publishing, 2019

Synopsis

I dedicate this work to my father that he rest in peace Mr. Amar Arbai. Index returns are subject of several sources of uncertainty. To better model market, searchers required a Levy process to master randomness. Through this book, we discuss some particular Levy process corresponding to different structure of financial series, to show whether the data are free or include diffusion component and whether the process contains finite or infinite variation. Then, we attempt to provide an alternative approach, Fourier transform, to pricing European option under SVJJ and CGMY models since their probability density functions are unknowns. For ending, we deal with necessary tools for understanding and implementing paths through Monte Carlo simulation and make use the efficient numerical pattern which serve to fulfill the closed-form analytical solution for European call option.

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

Éditeur
LAP Lambert Academic Publishing
Date d'édition
2019
Langue
anglais
ISBN 10 
6200434816
ISBN 13 
9786200434814
Reliure
Broché
Nombre de pages
108
Coordonnées du fabricant
non disponible
Personne responsable
KreGa Onlinehandel GmbH
4950000000000
info@krega-onlinehandel.de

Birkenweg 31
Brakel
33034
Allemagne