Lévy Processes in Finance : Pricing Financial Derivatives
Author: Wim Schoutens
List Price: $95.00
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ISBN: 0470851562
Publisher: John Wiley & Sons (09 May, 2003)
Sales Rank: 633,792
Average Customer Rating: 3.6 out of 5
Customer Reviews
Rating: 5 out of 5
excellent book
This book is a valuable reference source for not only academics but certainly for people from the banking industry. It is the best introduction to the application in finance of Levy processes. Modellers from a wide range of financial products will benifit greatly from the numerous real world examples. The chapter on simulation of Levy processes is covering just what one needs in a very comprehensive style.Moreover, I found it very strange that people recommended the Cont-Tankov book before it was out instead of this book. Looking at the Cont-Tankov contents, I do not see anything useful that is not in the Schoutens book.
Rating: 2 out of 5
A list of formulas but no mathematical or financial insight.
I ordered this book even before publication since I am very interested in the topic and use have been involved in using and implementing option pricing models based on Levy processes.
I am quite disappointed since the book gives details neither on the financial side (incomplete markets, approximate hedging, exotic options...) which is not really the expertise of the author nor on the mathematical side (Wiener Hopf factorization, integrodifferential equations) which is superficially treated, the reader being constantly referred to other books.
The statistics/ econometrics aspect is totally absent and given
only a slight treatment.
For practitioners it is even more disappointing because a crucial aspect, namely NUMERICAL METHODS, is completely absent
and references to recent work on this topic is omitted.
For example, the author does not explain how the models were calibrated to the option prices in the examples he gives and his results are not easy to reproduce.
The only positive point of the book is to give a unified list of different models based on Levy processes which are spread out in the literature.
Rating: 5 out of 5
just what I needed
This book was just what I needed. Theory is nicely explain: not too difficult not too simple. I recommend it. Similar Products
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