Kyprianou / Schoutens / Wilmott Exotic Option Pricing and Advanced Lévy Models

1. Auflage 2006
ISBN: 978-0-470-01720-3
Verlag: John Wiley & Sons
Format: PDF
Kopierschutz: Adobe DRM (»Systemvoraussetzungen)

E-Book, Englisch, 344 Seiten, E-Book

Since around the turn of the millennium there has been a generalacceptance that one of the more practical improvements one may makein the light of the shortfalls of the classical Black-Scholes modelis to replace the underlying source of randomness, a Brownianmotion, by a Lévy process. Working with Lévy processesallows one to capture desirable distributional characteristics inthe stock returns. In addition, recent work on Lévy processeshas led to the understanding of many probabilistic and analyticalproperties, which make the processes attractive as mathematicaltools. At the same time, exotic derivatives are gaining increasingimportance as financial instruments and are traded nowadays inlarge quantities in OTC markets. The current volume is a compendiumof chapters, each of which consists of discursive review and recentresearch on the topic of exotic option pricing and advancedLévy markets, written by leading scientists in this field.
In recent years, Lévy processes have leapt to the fore as atractable mechanism for modeling asset returns. Exotic optionvalues are especially sensitive to an accurate portrayal of thesedynamics. This comprehensive volume provides a valuable service forfinancial researchers everywhere by assembling key contributionsfrom the world's leading researchers in the field. Peter Carr, Headof Quantitative Finance, Bloomberg LP.
This book provides a front-row seat to the hottest new field inmodern finance: options pricing in turbulent markets. The oldmodels have failed, as many a professional investor can sadlyattest. So many of the brightest minds in mathematical financeacross the globe are now in search of new, more accurate models.Here, in one volume, is a comprehensive selection of thiscutting-edge research. Richard L. Hudson, former Managing Editor ofThe Wall Street Journal Europe, and co-author with Benoit B.Mandelbrot of The (Mis)Behaviour of Markets: A Fractal View ofRisk, Ruin and Reward

Autoren/Hrsg.

Kyprianou, Andreas

Schoutens, Wim

Wilmott, Paul

Über Autor(innen)

ANDREAS KYPRIANOU has a degree in Mathematics from OxfordUniversity and a PhD in Probability Theory from SheffieldUniversity. He has held academic positions in Mathematics andStatistics departments at The London School of Economics, EdinburghUniversity, Utrecht University and, currently, Heriot WattUniversity. He has also worked for nearly two years as a researchmathematician with Shell International Exploration and Production.His research interests are focused on pure and applied probabilitywith recent focus on Lévy processes. He has taught a range ofcourses on Probability Theory, Stochastic Analysis, FinancialStochastics and Lévy Processes for the Amsterdam-UtrechtMasters programme in Stochastics and Financial Mathematics and theMSc programme in Financial Mathematics at Edinburgh.
WIM SCHOUTENS has a degree in Computer Science and a PhDin Science, Mathematics. He is a research professor in theDepartment of Mathematics at the Catholic University of Leuven,Belgium. He has been a consultant to the banking industry and isauthor of the Wiley book Lévy Processes in Finance: PricingFinancial Derivatives. His research interests are focusedon financial mathematics and stochastic processes. He currentlyteaches several courses related to financial engineering indifferent Masters programmes.
PAUL WILMOTT has undergraduate and DPhil degrees inMathematics. He has written over 100 articles on mathematicalmodeling and finance, as well as internationally acclaimed booksincluding Paul Wilmott on Quantitative Finance published byJohn Wiley & Sons. Paul has extensive consulting experience inquantitative finance with leading US and European financialinstitutions. He has founded a university degree course and thepopular Certificate in Quantitative Finance. Paul also manageswilmott.com.