Webfor jump-diffusion models; see Cont and Tankov (2004), Cont and Voltchkova (2005) and d’Halluin et al. (2003) on numerical methods for solving partial integro-differential equations, and Feng and Linetsky (2005) and Feng et al. (2004) on how to price path-dependent options numerically via variational methods and extrapolation. http://users.iems.northwestern.edu/~staum/IncompleteMarkets.pdf

Financial Modelling with Jump Processes Semantic Scholar

WebR Cont, P Tankov. Mathematical Finance 19 (3), 379-401, 2009. 182: 2009: Multi-factor jump-diffusion models of electricity prices. T Meyer-Brandis, P Tankov. 151: 2007: … http://users.iems.northwestern.edu/~staum/IncompleteMarkets.pdf raw steel for sale

‪Peter Tankov‬ - ‪Google Scholar‬

WebOct 15, 2007 · Cont, Rama and Tankov, Peter, Constant Proportion Portfolio Insurance in Presence of Jumps in Asset Prices (February 2007). Columbia University Center for … WebHowever, in the modeling of stock prices, this line of research is essentially inactive. The reason is that there is conclusive evidence that stock prices have finite second moments (for a survey, see Taylor's book or Cont's nice survey. This essentially rules out all stable distributions except the gaussian one. WebDec 30, 2003 · Peter Tankov. CRC Press, Dec 30, 2003 - Business & Economics - 552 pages. 1 Review. Reviews aren't verified, but Google checks for and removes fake … raw steel storage racks