This book brings together recent results of the leading experts in the field. Contains contributions of the most influential researchers. It features research papers, review papers and papers directly applicable in practice. Covers a number of key topics, including model risk, static hedging, Monte-Carlo simulation issues, pricing and hedging of American-type exotics, convertible bonds, real options, etc. Describes the state-of-the-art of this rapidly growing subject. Points out directions for future research.
Book Details:
- Author: Andreas Kyprianou
- ISBN: 9780470016848
- Year Published: 2005
- Pages: 344
- BISAC: BUS027000, BUSINESS & ECONOMICS/Finance
About the Book and Topic:
This book brings together recent results of the leading experts in the field. Contains contributions of the most influential researchers. It features research papers, review papers and papers directly applicable in practice. Covers a number of key topics, including model risk, static hedging, Monte-Carlo simulation issues, pricing and hedging of American-type exotics, convertible bonds, real options, etc. Describes the state-of-the-art of this rapidly growing subject. Points out directions for future research.
In recent years more and more attention has been given to stochastic models of financial markets which depart from the traditional Black-Scholes model. Nowadays, a battery of models is available. Most of them are driven by Lévy processes and capture non-normality and/or stochastic volatility. These models are able to take into account different important stylized features of financial time series. The consequence of working with more advanced stochastic models leads to a number of new challenges with respect to exotic derivatives. Two most imminent problems are how to price and hedge exotics under these more advanced models.
Examines recent advances in the developing literature on exotics when the underlying source of randomness in the market is driven by a Lévy process The book focuses explicitly and at depth on the insertion of the theory of Levy processes into exotic option pricing. The collection consists of a mixture of review type writing spiced with new results.
About the Author
Andreas E. Kyprianou has held academic positions in Maths/Stats at LSE, Edinburgh, Utrecht and, from March 2005, Heriot-Watt. He has also been a research mathematician with Shell. His research interests are focused on pure and applied probability with recent focus on Lévy processes. He currently teaches, probability theory, stochastic analysis, financial stochastics and Lévy processes etc on the Amsterdam-Utrecht masters programme in Stochastics and Financial Mathematics. Wim Schoutens is research professor in Mathematics at KU Leuven. He has been a consultant to the banking industry, and is author of Wiley book Lévy Processes in Finance Pricing Financial Derivatives. His research interests are focused on stochastic processes and financial mathematics. He currently teaches courses related to financial mathematics in the Financial and Actuarial Engineering Master programme at KU Leuven. Paul Wilmott, Wilmott Associates researcher, consultant and lecturer in quant finance. He is founder of Wilmott Associates, a financial consultancy and training firm, and publishes Wilmott magazine. The Financial Times called him a cult derivatives lecturer. He is one of the worlds leading experts on quantitative finance and derivatives and is renowned for his criticism of popular models and concepts and for his unique, informal writing style