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Descripción Taschenbuch. Condición: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -Using a Levy process we generalize formulas in Bo et. al. (2010) to the Esscher transform parameters for the log-normal distribution which ensures the martingale condition holds for the discounted foreign exchange rate. We also derive similar results, but in the case when the dynamics of the FX rate is driven by a general Merton jump-diffusion process. Using these values of the parameters we find a risk-neural measure and provide new formulas for the distribution of jumps, the mean jump size, and the Poisson process intensity with respect to this measure. The formulas for a European call foreign exchange option are also derived. We apply these formulas to the case of the log-double exponential and exponential distribution of jumps. We provide numerical simulations for the European call foreign exchange option prices with different parameters. 128 pp. Englisch. Nº de ref. del artículo: 9783659545559
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Descripción Taschenbuch. Condición: Neu. nach der Bestellung gedruckt Neuware - Printed after ordering - Using a Levy process we generalize formulas in Bo et. al. (2010) to the Esscher transform parameters for the log-normal distribution which ensures the martingale condition holds for the discounted foreign exchange rate. We also derive similar results, but in the case when the dynamics of the FX rate is driven by a general Merton jump-diffusion process. Using these values of the parameters we find a risk-neural measure and provide new formulas for the distribution of jumps, the mean jump size, and the Poisson process intensity with respect to this measure. The formulas for a European call foreign exchange option are also derived. We apply these formulas to the case of the log-double exponential and exponential distribution of jumps. We provide numerical simulations for the European call foreign exchange option prices with different parameters. Nº de ref. del artículo: 9783659545559
Descripción PAP. Condición: New. New Book. Shipped from UK. THIS BOOK IS PRINTED ON DEMAND. Established seller since 2000. Nº de ref. del artículo: L0-9783659545559
Descripción PAP. Condición: New. New Book. Delivered from our UK warehouse in 4 to 14 business days. THIS BOOK IS PRINTED ON DEMAND. Established seller since 2000. Nº de ref. del artículo: L0-9783659545559
Descripción Condición: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Autor/Autorin: Tertychnyi MaksymI have a Master s degree in Applied Math (Mathematical Finance) including various Matlab, C++, and R simulations from the University of Calgary (2014). I was awarded also PhD in Mathematical Physics from the In. Nº de ref. del artículo: 5163803