Introduction to Levy Processes - Afolabi, Abdulazeez Adekunle
26,99 €
inkl. MwSt.

Versandfertig in 1-2 Wochen
payback
13 °P sammeln
  • Broschiertes Buch

In the book, an introduction to Levy processes we deliberate on the option price for two stochastic processes by making comparisons. The Black-Scholes, which was generally known as the Black-Scholes model, known to have obeyed the Geometric Brownian Motion in the financial market and the generalised hyperbolic model which was our focus by considering its structure. The book presents the concepts of Levy processes and their functions in mathematical finance including the logic of why the Levy processes are better to describe the statistical features of the financial markets. Also, deciding…mehr

Andere Kunden interessierten sich auch für
Produktbeschreibung
In the book, an introduction to Levy processes we deliberate on the option price for two stochastic processes by making comparisons. The Black-Scholes, which was generally known as the Black-Scholes model, known to have obeyed the Geometric Brownian Motion in the financial market and the generalised hyperbolic model which was our focus by considering its structure. The book presents the concepts of Levy processes and their functions in mathematical finance including the logic of why the Levy processes are better to describe the statistical features of the financial markets. Also, deciding about the equivalent martingale measure, done by concentrating on Levy processes driven by the generalised hyperbolic distribution. It guides us through the derivation of the European option price formula for a call, for the Black-Scholes and generalised hyperbolic model under the martingale measure based on the Escher-transform. Ultimately, it presents the comparisons of both the derived option price for the generalised hyperbolic model with that of the standard Black-Scholes model.
Hinweis: Dieser Artikel kann nur an eine deutsche Lieferadresse ausgeliefert werden.
Autorenporträt
Afolabi Abdulazeez Adekunle, graduate of Lappeenranta University of Technology, where he studied Applied Mathematics. He completed his first M.Sc. (2017) in Mathematical Science from African Institute for Mathematical Sciences, Tanzania, and the second M.Sc. (2018) in Technomathematics from LUT, Finland. Also, intern at Global internship program.