Stochastic Calculus for Financial Modeling with Stochastic Volatility
Language: English
Published by LAP Lambert Academic Publishing, 2019
- Softcover
- New

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Seller Inventory # ria9786200434814_new
- Title
- Stochastic Calculus for Financial Modeling with Stochastic Volatility
- Author
- Arbai, Aziz
- Publisher
- LAP Lambert Academic Publishing
- Publication year
- 2019
- Condition
- New
- Binding
- Soft cover
- Language
- English
- ISBN 10
- 6200434816
- ISBN 13
- 9786200434814
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.
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Ria Christie Collections
Uxbridge, United Kingdom
5-star seller
AbeBooks seller since March 25, 2015
Shipping rates from United Kingdom to U.S.A.
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