Including a new chapter on credit risk modelling and new developments in econometrics, the new edition of this bestselling resource provides an accessible overview of financials models based on jump processes used in risk management and option pricing. After presenting the necessary mathematics, the text presents theoretical, numerical, and empirical issues. While the emphasis is on demystifying technical difficulties so as to better understand applications, mathematical results are presented in a rigorous, though self-contained, manner, accessible to any reader having basic knowledge of the Black Scholes model. Concepts are illustrated through many numerical and empirical examples.
- ISBN10 1420082191
- ISBN13 9781420082197
- Publish Date 31 December 2023 (first published 30 December 2003)
- Publish Status Forthcoming
- Publish Country US
- Publisher Taylor & Francis Ltd
- Imprint Chapman & Hall/CRC
- Edition 2nd New edition
- Format Hardcover
- Pages 606
- Language English