Financial Derivative Pricing under Probability Distortion Operator

ISBN-13: 9783330327740 / Angielski / Miękka / 2017 / 84 str.

Achi Godswill Uche

Opis

Now available in book form, this celebrated book has been prepared with readers' needs in mind remaining systematic treatment of the subject while retaining its vitality. The book helps in equipping the graduate students for research into a subject of great interest and wide application in Physics, Engineering and financial assets model.It spans through useful topics such as Black-Scholes model, The Cauchy distribution under a simple transformation, Wang Distortion, NIG distortion, Esscher transformation, European options and Call options. It is highly recommendable.

O autorze

The Author is a Chief Lecturer in the Department of Mathematics, Abia State Polytechnic, Aba, Nigeria. His research interests are in optimization, stochastic control and financial mathematics.