Financial Modelling with Jump Processes, Second Edition by Tankov, Peter; Cont, Rama;

Series: Chapman and Hall/CRC Financial Mathematics Series; 2;

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Product details:

Edition number 2, New edition
Publisher Chapman and Hall
Date of Publication 5 January 2026

ISBN 9781420082197
Binding Hardback
No. of pages606 pages
Size 234x156 mm
Language English
Illustrations 100 Illustrations, black & white

Short description:

Including a new chapter on credit risk modeling and new developments in econometrics, this new edition of a bestseller provides an accessible overview of financials models based on jump processes used in risk management and option pricing. After presenting the necessary mathematics, the text addresses theoretical, numerical, and empirical issues. It demystifies technical difficulties for a better understanding of applications while presenting mathematical results in a rigorous, self-contained manner, accessible to readers with basic knowledge of the Black-Scholes model. Many numerical and empirical examples illustrate the concepts.

Long description:

Including a new chapter on credit risk modelling and new developments in econometrics, the new edition of this bestselling resource provides an accessible overview of financials models based on jump processes used in risk management and option pricing. After presenting the necessary mathematics, the text presents theoretical, numerical, and empirical issues. While the emphasis is on demystifying technical difficulties so as to better understand applications, mathematical results are presented in a rigorous, though self-contained, manner, accessible to any reader having basic knowledge of the Black Scholes model. Concepts are illustrated through many numerical and empirical examples.