Pricing, Hedging, and Calibration in Jump-Diffusion Models

Peter Tankov; Ekaterina Voltchkova

doi:10.1002/9781118266915.ch5

Pricing, Hedging, and Calibration in Jump-Diffusion Models

Peter Tankov
, Ekaterina Voltchkova

Laboratoire de Probabilités et Modèles Aléatoires
Universit de Toulouse 1 - Capitole

Research output: Chapter in Book/Report/Conference proceeding › Chapter › peer-review

Original language	English
Title of host publication	Frontiers in Quantitative Finance
Subtitle of host publication	Volatility and Credit Risk Modeling
Publisher	John Wiley and Sons
Pages	129-160
Number of pages	32
ISBN (Print)	9780470292921
DOIs	https://doi.org/10.1002/9781118266915.ch5
Publication status	Published - 3 Jan 2012
Externally published	Yes

Keywords

Hedging
Jump-diffusion models
Pricing
Risk management
Trading teams

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10.1002/9781118266915.ch5

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title = "Pricing, Hedging, and Calibration in Jump-Diffusion Models",

keywords = "Hedging, Jump-diffusion models, Pricing, Risk management, Trading teams",

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T1 - Pricing, Hedging, and Calibration in Jump-Diffusion Models

AU - Tankov, Peter

AU - Voltchkova, Ekaterina

PY - 2012/1/3

Y1 - 2012/1/3

KW - Hedging

KW - Jump-diffusion models

KW - Pricing

KW - Risk management

KW - Trading teams

UR - https://www.scopus.com/pages/publications/84888741937

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SN - 9780470292921

SP - 129

EP - 160

BT - Frontiers in Quantitative Finance

PB - John Wiley and Sons

ER -

Pricing, Hedging, and Calibration in Jump-Diffusion Models

Keywords

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