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exotiq
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Joined: October 13th, 2003, 3:45 pm

Levy Processes in Finance - Pricing Financial Derivatives

January 6th, 2004, 5:17 pm

I've scanned this book and find it quite intruiging, especially conceptually, perhaps one day practically. Has anyone spent more time on this, and perhaps tried some of the simulations, calibrations, and used Levy processes to price and hedge securities?
 
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wim
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Levy Processes in Finance - Pricing Financial Derivatives

January 6th, 2004, 8:38 pm

Yes, I did and it is fantastic
 
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WilmottBookshop
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Joined: August 1st, 2002, 2:40 pm

Levy Processes in Finance - Pricing Financial Derivatives

January 7th, 2004, 10:17 am

£42.50 in Wilmott Bookshop, £50 in that other shop!Levy Processes in FinancePhilip
 
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tigerbill
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Joined: April 22nd, 2004, 7:14 pm

Levy Processes in Finance - Pricing Financial Derivatives

April 23rd, 2004, 11:45 am

anybody know where can find the programming code(at best for gauss software) for this book? or for levy process simulation. thanks a lot in advance.
 
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DrEvil
Posts: 36
Joined: April 22nd, 2004, 10:17 pm

Levy Processes in Finance - Pricing Financial Derivatives

April 23rd, 2004, 12:16 pm

I hear Levy processes are used on Asian options desks and hardly anywhere else up until now. Anyone know more on how the stuff in this book is really used?
 
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pcerutti
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Location: Milano (Italy)

Levy Processes in Finance - Pricing Financial Derivatives

April 23rd, 2004, 1:07 pm

The matlab codes could be usefull too!Pier
 
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DrEvil
Posts: 36
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Levy Processes in Finance - Pricing Financial Derivatives

April 23rd, 2004, 2:19 pm

While we're at it, I use C...
 
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tigerbill
Posts: 360
Joined: April 22nd, 2004, 7:14 pm

Levy Processes in Finance - Pricing Financial Derivatives

April 24th, 2004, 10:38 am

hi, pcerutti, do you have the matlab code for this book?? could you forward them to me at tigerguob@hotmail.com, your assistance would be highly appreciated.by the way, anybaby has experience on simulating Meixner process or CIR process?
 
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madmax
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Joined: October 31st, 2003, 9:56 am

Levy Processes in Finance - Pricing Financial Derivatives

April 24th, 2004, 10:08 pm

What would you like to know about CIR simulation ?
 
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tigerbill
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Joined: April 22nd, 2004, 7:14 pm

Levy Processes in Finance - Pricing Financial Derivatives

April 25th, 2004, 11:23 am

do you have the programming code fot these simulations(at best in Gauss code)? thanks a lot in advance.
 
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nabil
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Joined: November 3rd, 2001, 12:03 am

Levy Processes in Finance - Pricing Financial Derivatives

October 2nd, 2007, 11:06 pm

W. Schoutens book in a pratical one. Cont and Tankov gives the big pictures, with some algorithms that you can implement in anay language you want.
 
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WilmottBookshop
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Joined: August 1st, 2002, 2:40 pm

Levy Processes in Finance - Pricing Financial Derivatives

October 4th, 2007, 10:09 am

Levy Processes in Finance: Pricing Financial Derivatives is available from the Wilmott Bookshop, at a very competitive price.
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