Financial Modelling with Jump Processes (Hardcover)

FINANCIAL MODELLING BEYOND BROWNIAN MOTION 1
Models in the light of empirical facts
Evidence from option markets
Implied volatility smiles and skews
Short term options
Hedging and risk management
Objectives

MATHEMATICAL TOOLS
Basic Tools
Levy Processes: Definitions and Properties
Building Levy processes
Multidimensional Models with Jumps

SIMULATION AND ESTIMATION
Simulating Levy Processes
Modelling Financial Time Series with Levy Processes

OPTION PRICING IN MODELS WITH JUMPS
Stochastic Calculus for Jump Processes
Measure Transformations for Levy Processes
Pricing and Hedging in Incomplete Markets
Risk-Neutral Modelling with Exponential Levy Processes
Integro-Differential Equations and Numerical Methods
Inverse Problems and Model Calibration

BEYOND LEVY PROCESSES
Time-Inhomogeneous Models
Stochastic Volatility Models with Jumps

APPENDIX: Modfied Bessel Functions
REFERENCES
SUBJECT INDEX