Exotic Option Pricing and Advanced Lévy Models (Wilmott Collection) - Image 1

£83.99

Wiley Exotic Option Pricing and Advanced Lévy Models (Wilmott Collection)

Name: Exotic Option Pricing and Advanced Levy Models (Wilmott Collection)
Brand: Wiley
Price: 81.38 GBP
Availability: InStock

Options

Price History & Forecast

Last 28 days • 28 data points (No recent data available)

Historical

Generating forecast...

Price Distribution

Price distribution over 28 days • 3 price levels

Days at Price

Current Price

Price Analysis

Most common price: £81 (13 days, 46.4%)

Price range: £81 - £85

Price levels: 3 different prices over 28 days

Description

Since around the turn of the millennium there has been a general acceptance that one of the more practical improvements one may make in the light of the shortfalls of the classical Black-Scholes model is to replace the underlying source of randomness, a Brownian motion, by a Lévy process. Working with Lévy processes allows one to capture desirable distributional characteristics in the stock returns. In addition, recent work on Lévy processes has led to the understanding of many probabilistic and analytical properties, which make the processes attractive as mathematical tools. At the same time, exotic derivatives are gaining increasing importance as financial instruments and are traded nowadays in large quantities in OTC markets. The current volume is a compendium of chapters, each of which consists of discursive review and recent research on the topic of exotic option pricing and advanced Lévy markets, written by leading scientists in this field. In recent years, Lévy processes have leapt to the fore as a tractable mechanism for modeling asset returns. Exotic option values are especially sensitive to an accurate portrayal of these dynamics. This comprehensive volume provides a valuable service for financial researchers everywhere by assembling key contributions from the world's leading researchers in the field. Peter Carr, Head of Quantitative Finance, Bloomberg LP. This book provides a front-row seat to the hottest new field in modern finance: options pricing in turbulent markets. The old models have failed, as many a professional investor can sadly attest. So many of the brightest minds in mathematical finance across the globe are now in search of new, more accurate models. Here, in one volume, is a comprehensive selection of this cutting-edge research. Richard L. Hudson, former Managing Editor of The Wall Street Journal Europe, and co-author with Benoit B. Mandelbrot of The (Mis)Behaviour of Markets: A Fractal View of Risk, Ruin and Reward

Product Specifications

Brand: Wiley
Format: hardcover
ASIN: 0470016841
Category: Books > Subjects > Business, Finance & Law > Professional Finance > Investments & Securities > Options
Domain: Amazon UK
Release Date: 26 August 2005
Listed Since: 09 February 2007

Barcode

No barcode data available

Wiley Exotic Option Pricing and Advanced Lévy Models (Wilmott Collection)

Price History & Forecast

Price Distribution

Price Analysis

Description

Product Specifications

Barcode

Similar Products You Might Like

Options, Futures, and Exotic Derivatives: Theory, Application and Practice

Options, Futures and Exotic Derivatives: Theory, Application and Practice (Frontiers in Finance Series)

Lévy Processes in Finance: Pricing Financial Derivatives: 534 (Wiley Series in Probability and Statistics)

Derivatives: Models on Models (The Wiley Finance Series)

Stochastic Simulation and Applications in Finance with MATLAB Programs (The Wiley Finance Series)

An Introduction to Exotic Option Pricing (Chapman & Hall/CRC Financial Mathematics)

Leveraged Exchange-Traded Funds: Price Dynamics and Options Valuation (SpringerBriefs in Quantitative Finance)

Option Pricing Models and Volatility Using Excel-VBA

Currency Derivatives: Pricing Theory, Exotic Options, and Hedging Applications: 12 (Wiley Series in Financial Engineering)

Foreign Exchange Option Pricing: A Practitioner's Guide (The Wiley Finance Series)

Market Expectations and Option Prices: Techniques and Applications (Contributions to Economics)

Large Deviations and Asymptotic Methods in Finance: 110 (Springer Proceedings in Mathematics & Statistics, 110)

Option Valuation under Stochastic Volatility II: With Mathematica Code

Routledge Emerging Financial Derivatives - Exotic Options Book

Nonlinear Option Pricing (Chapman and Hall/CRC Financial Mathematics Series)

Financial Engineering: Derivatives and Risk Management

Fitting Local Volatility: Analytic And Numerical Approaches In Black-Scholes And Local Variance Gamma Models

Analytical Finance: Volume I: The Mathematics of Equity Derivatives, Markets, Risk and Valuation: 1

Options Pricing and Portfolio Optimization: Modern Methods of Financial Mathematics (Graduate Studies in Mathematics)

MODELING AND PRICING OF SWAPS FOR FINANCIAL AND ENERGY MARKETS WITH STOCHASTIC VOLATILITIES

Market Microstructure and Nonlinear Dynamics: Keeping Financial Crisis in Context

Quantitative Analysis, Derivatives Modeling, and Trading Strategies: In the Presence of Counterparty Credit Risk for the Fixed-Income Market

Stochastic Finance: A Numeraire Approach (Chapman and Hall/CRC Financial Mathematics Series)

Stochastic Models for Prices Dynamics in Energy and Commodity Markets: An Infinite-Dimensional Perspective (Springer Finance)