Stochastic Volatilty with Jumps: Models, Algorithms and Implementation (Chapman and Hall/CRC Financial Mathematics Series)

This book presents a thorough treatment of tractable pricing algorithms and models for derivative markets. It discusses the fundamentals of pricing theory, ideal for students and practitioners beginning their careers. The book also covers cutting-edge modeling and risk management issues stemming from stochastic volatility processes with jumps. It includes pseudo-code, exercises, and solutions to selected problems.