Financial Modelling with Jump Processes

Cont, R., & Tankov, P. (2004). Financial Modelling with Jump Processes. Chapman & Hall.

Type

Book

Intellectual base

Review or monograph

Year

2004

ISBN

9781584884132

Link

https://openlibrary.org/books/OL22578819Mmatched

Cited by

1 citation across 1 artifact.

Domain-specific

• Variance Gamma Process
  • the characteristic function — \(E[e^{iuX_t}]=(1-i\theta\nu u+\tfrac12\sigma^2\nu u^2)^{-t/\nu}\).

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