Financial Modelling with Jump Processes

DOI10.1201/9780203485217zbMath1052.91043OpenAlexW1499969990WikidataQ96621221 ScholiaQ96621221MaRDI QIDQ4821616

Rama Cont, Peter Tankov

Publication date: 20 October 2004

Full work available at URL: https://doi.org/10.1201/9780203485217

zbMATH Keywords

stochastic processmultidimensional and stochastic volatility models with jumps

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Stochastic models in economics (91B70) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Microeconomic theory (price theory and economic markets) (91B24) Derivative securities (option pricing, hedging, etc.) (91G20)