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Publicado por LAP LAMBERT Academic Publishing, 2014
ISBN 10: 3659545554ISBN 13: 9783659545559
Librería: Lucky's Textbooks, Dallas, TX, Estados Unidos de America
Libro
Condición: New.
Publicado por LAP Lambert Academic Publishing, 2014
ISBN 10: 3659545554ISBN 13: 9783659545559
Librería: Ria Christie Collections, Uxbridge, Reino Unido
Libro Impresión bajo demanda
Condición: New. PRINT ON DEMAND Book; New; Fast Shipping from the UK. No. book.
Publicado por LAP LAMBERT Academic Publishing Mai 2014, 2014
ISBN 10: 3659545554ISBN 13: 9783659545559
Librería: BuchWeltWeit Ludwig Meier e.K., Bergisch Gladbach, Alemania
Libro Impresión bajo demanda
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.
Publicado por LAP Lambert Academic Publishing 2014-05, 2014
ISBN 10: 3659545554ISBN 13: 9783659545559
Librería: Chiron Media, Wallingford, Reino Unido
Libro
PF. Condición: New.
Publicado por LAP LAMBERT Academic Publishing, 2014
ISBN 10: 3659545554ISBN 13: 9783659545559
Librería: AHA-BUCH GmbH, Einbeck, Alemania
Libro Impresión bajo demanda
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.
Publicado por LAP LAMBERT Academic Publishing, 2014
ISBN 10: 3659545554ISBN 13: 9783659545559
Librería: moluna, Greven, Alemania
Libro Impresión bajo demanda
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.