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Quant版 - please recommend a book about levy and jump process
相关主题
为什么要用布朗运动啊做credit risk modelling有前途吗?
招 Senior modeling analyst and modeling analyst 1 in San An (转载)Derivatives Analysis 是什么?
招 Senior modeling analyst (转载)想问下工业工程phd对找quant是否有帮助
[合集] 投行里的Structurer或Securitized Products面试都问些啥?Q: loval vol model VS stoch vol model
请教FWD CURVE的MODELING问题两个offer选择
那本书讲 Infinite activity models 比较好junior/mid level MBS modeler needed for a top firm in NYC
gs的MRMA Risk Modeling组是做什么的?PPNR Modeling这个方向怎么样
Qestion: least squre monte carlo simulationPhD做Risk modeler,算废了吗?
相关话题的讨论汇总
话题: levy话题: jump话题: book话题: recommend话题: process
进入Quant版参与讨论
1 (共1页)
m*********s
发帖数: 20
1
rt
m*********s
发帖数: 20
2
ding
p*x
发帖数: 260
3
I personally started with this one in my research:
Financial Modelling with Jump Processes
by Cont and Tankov.
It is a great book dealing comprehensively with
all aspects of Levy processes. The authors have
done a great job in finite difference method under
exponential Levy models which is a pioneer work
in numerical analysis(not merely algorithm). But
be prepared for some errors/mistakes/typos in the book.
m*********s
发帖数: 20
4
thank you so much
1 (共1页)
进入Quant版参与讨论
相关主题
PhD做Risk modeler,算废了吗?请教FWD CURVE的MODELING问题
大家对recovery theorem有什么看法?那本书讲 Infinite activity models 比较好
BulletTooth... pls...gs的MRMA Risk Modeling组是做什么的?
"The Lure of a Quant Career"Qestion: least squre monte carlo simulation
为什么要用布朗运动啊做credit risk modelling有前途吗?
招 Senior modeling analyst and modeling analyst 1 in San An (转载)Derivatives Analysis 是什么?
招 Senior modeling analyst (转载)想问下工业工程phd对找quant是否有帮助
[合集] 投行里的Structurer或Securitized Products面试都问些啥?Q: loval vol model VS stoch vol model
相关话题的讨论汇总
话题: levy话题: jump话题: book话题: recommend话题: process