Financial mathematics - Revision history

imported>Luis at 17:14, 7 February 2012

2012-02-07T17:14:12Z

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	<ref name="CT">{{Citation \| last1=Cont \| first1=Rama \| last2=Tankov \| first2=Peter \| title=Financial modelling with jump processes \| publisher=Chapman & Hall/CRC, Boca Raton, FL \| series=Chapman & Hall/CRC Financial Mathematics Series \| isbn=978-1-58488-413-2 \| year=2004}}</ref>		<ref name="CT">{{Citation \| last1=Cont \| first1=Rama \| last2=Tankov \| first2=Peter \| title=Financial modelling with jump processes \| publisher=Chapman & Hall/CRC, Boca Raton, FL \| series=Chapman & Hall/CRC Financial Mathematics Series \| isbn=978-1-58488-413-2 \| year=2004}}</ref>
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imported>Luis at 16:51, 23 January 2012

2012-01-23T16:51:02Z

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	Nonlocal equations are common in financial mathematics because the prices of assets can be modeled following any [[Levy process]]. In particular jump processes are natural since asset prices can have a sudden change.		Nonlocal equations are common in financial mathematics because the prices of assets can be modeled following any [[Levy processes\|Levy process]]. In particular jump processes are natural since asset prices can have a sudden change.

	The Black–Scholes model, which is used to price derivatives, is essentially a parabolic integro-differential equation for European options, and an [[obstacle problem]] for American options.		The Black–Scholes model, which is used to price derivatives, is essentially a parabolic integro-differential equation for European options, and an [[obstacle problem]] for American options.

imported>Luis: Created page with "Nonlocal equations are common in financial mathematics because the prices of assets can be modeled following any Levy process. In particular jump processes are natural since ..."

2011-07-06T23:43:59Z

Created page with "Nonlocal equations are common in financial mathematics because the prices of assets can be modeled following any Levy process. In particular jump processes are natural since ..."

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Nonlocal equations are common in financial mathematics because the prices of assets can be modeled following any [[Levy process]]. In particular jump processes are natural since asset prices can have a sudden change.

The Black–Scholes model, which is used to price derivatives, is essentially a parabolic integro-differential equation for European options, and an [[obstacle problem]] for American options.

A good reference for financial modeling with jump processes is the book of Rama Cont and Peter Tankov <ref name="CT"/>

==Refences==
{{reflist|refs=
<ref name="CT">{{Citation | last1=Cont | first1=Rama | last2=Tankov | first2=Peter | title=Financial modelling with jump processes | publisher=Chapman & Hall/CRC, Boca Raton, FL | series=Chapman & Hall/CRC Financial Mathematics Series | isbn=978-1-58488-413-2 | year=2004}}</ref>
}}