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BOOKS by Wim Schoutens

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Stochastic Processes and Orthogonal Polynomials

Stochastic Processes and Orthogonal Polynomials more books like this

by Wim Schoutens

The book offers an accessible reference for researchers in the probability, statistics and special functions communities. It gives a variety of interdisciplinary relations between the two main ingredients of stochastic processes and orthogonal polynomials. It covers topics like time dependent and asymptotic analysis for birth-death processes and ...

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Exotic Option Pricing and Advanced Levy Models

Exotic Option Pricing and Advanced Levy Models more books like this

by Paul Wilmott (Editor), Wim Schoutens (Editor), Andreas Kyprianou (Editor)

Since around the turn of the millennium there has been a general acceptance that one of the more practical improvements one may make in the light of the shortfalls of the classical Black-Scholes model is to replace the underlying source of randomness, a Brownian motion, by a Levy process. Working with Levy processes allows one to capture desirable ...

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Levy Processes in Finance: Pricing Financial Derivatives

Levy Processes in Finance: Pricing Financial Derivatives more books like this

by Wim Schoutens

Financial mathematics has recently enjoyed considerable interest on account of its impact on the finance industry. In parallel, the theory of Levy processes has also seen many exciting developments. These powerful modelling tools allow the user to model more complex phenomena, and are commonly applied to problems in finance. "Levy Processes in ...

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Levy Processes in Credit Risk

Levy Processes in Credit Risk more books like this

by Wim Schoutens, Jessica Cariboni

This is an introductory guide to using Levy processes for credit risk modeling. This introductory guide to Levy processes covers all types of credit derivatives, from the single-name vanilla derivatives to more complex structured credit risk products. It refines credit risk modeling with jump processes, a vital revision for today's tumultuous ...

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