Financial modeling with jump processes

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• Financial modeling with jump processes Cont R., Tankov P. (CRC,2004)(T)(C)(527s)_MVspf_.djvu

2008-5-20 19:05:00 上传

Financial modeling with jump processes
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Financial modeling with jump processes

Rama Cont and Peter Tankov

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关键词：Processes financial inancial Financia Modeling financial Modeling Processes Jump

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https://bbs.pinggu.org/thread-265793-1-1.html

1 Financial modelling beyond Brownian motion
1.1 Models in the light of empirical facts
1.2 Evidence from option markets
1.2.1 Implied volatility smiles and skews
1.2.2 Short-term options
1.3 Hedging and risk management
1.4 Objectives

2 Basic tools
2.1 Measure theory
2.1.1 cr-algebras and measures
2.1.2 Measures meet functions: integration
2.1.3 Absolute continuity and densities
2.2 Random variables
2.2.1 Random variables and probability spaces
2.2.2 What is (П,Т,?) anyway?
2.2.3 Characteristic functions
2.2.4 Moment generating function
2.2.5 Cumulant generating function
2.3 Convergence of random variables
2.3.1 Almost-sure convergence
2.3.2 Convergence in probability
2.3.3 Convergence in distribution
2.4 Stochastic processes
2.4.1 Stochastic processes as random functions
2.4.2 Filtrations and histories
2.4.3 Random times
2.4.4 Martingales
2.4.5 Predictable processes (*)
2.5 The Poisson process
2.5.1 Exponential random variables
2.5.2 The Poisson distribution
2.5.3 The Poisson process: definition and properties
2.5.4 Compensated Poisson processes
2.5.5 Counting processes
2.6 Random measures and point processes
2.6.1 Poisson random measures
2.6.2 Compensated Poisson random measure
2.6.3 Building jump processes from Poisson random measures
2.6.4 Marked point processes (*)
3 Levy processes: definitions and properties
3.1 From random walks to Levy processes
3.2 Compound Poisson processes
3.3 Jump measures of compound Poisson processes
3.4 Infinite activity Levy processes
3.5 Pathwise properties of Levy processes
3.6 Distributional properties
3.7 Stable laws and processes
3.8 Levy processes as Markov processes
3.9 Levy processes and martingales
4 Building Levy processes
4.1 Model building with Levy processes
4.1.1 "Jump-diffusions" vs. infinite activity Levy processes
4.2 Building new Levy processes from known ones
4.2.1 Linear transformations
4.2.2 Subordination
4.2.3 Tilting and tempering the Levy measure
4.3 Models of jump-diffusion type
4.4 Building Levy processes by Brownian subordination
4.4.1 General results
4.4.2 Subordinating processes
4.4.3 Models based on subordinated Brownian motion
4.5 Tempered stable process
4.6 Generalized hyperbolic model
5 Multidimensional models with jumps
5.1 Multivariate modelling via Brownian subordination
5.2 Building multivariate models from common Poisson shocks
5.3 Copulas for random variables
5.4 Dependence concepts for Levy processes
5.5 Copulas for Levy processes with positive jumps
5.6 Copulas for general Levy processes
5.7 Building multivariate models using Levy copulas
5.8 Summary

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