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Non-Gaussian Merton-Black-Scholes Theory [Hardcover]

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Item description for Non-Gaussian Merton-Black-Scholes Theory by Svetlana I. Boyarchenko & Sergei Z. Levendorskii...

...this book introduces an analytically tractable and computationally effective class of non Gaussian models for shocks and related analytical methods similar to the initial Merton-Black-Scholes approach

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Item Specifications...

Studio: World Scientific Publishing Company
Pages   420
Est. Packaging Dimensions:   Length: 1" Width: 6.25" Height: 8.5"
Weight:   1.55 lbs.
Binding  Hardcover
Release Date   Jun 15, 2002
Publisher   World Scientific Publishing Company
ISBN  9810249446  
ISBN13  9789810249441  

Availability  0 units.

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Reviews - What do customers think about Non-Gaussian Merton-Black-Scholes Theory?

challening   Dec 16, 2005
not for the ordinary practitioner. requires great mathematical maturity but if one can stand the challenge, it will open the eyes of the readers to newer and more interesting models in mathematical finance. it is too early to start developing applications since numerical techniques for levy processes have yet to be develop.
But that is the way science works
Difficult to read, even more difficult to apply...  Jul 18, 2003
The authors have attempted the difficult task of gathering
in this book a lot of recent research results on Levy processes in option pricing. Many of the results in the book are due to the authors themselves, who are specialists of the field of pseudodifferential calculus.
There are a lot of references, not only to their own work but also to others, in maths and finance, which is useful.
However, perhaps because of their own background, they have chosen to describe these models using the theory of pseudo-differential operators, a technicallly difficult theory which is not even known to most mathematicians. The result is that the book is impossible to read for non mathematicians and difficult to read even for mathematicians who do not have a background in complex analysis and pseudo-differential operators. In fact I think that it is unncessarily complicated since none of the articles cited use pseudo-differential operators and everything could have been formulated using elemnetary manipulation of Fourier transforms.
Another problem is that they give no real world applications
on pricing and hedging...
Finally, by insisting on 'general results' instead of explicit examples the authors reduce even more the readability.
unreadable  Jun 27, 2003
This book is like the author's names: unreadable. If you are a hard-core mathematician you maybe like it. If you are a practicioner forget it. Although they claim it, this stuff is not useful in practice. There are also no real application worked out. The stuff on exotics is nice in theory, but not applicable in practice. You are much better of with Shiryaev's book or the book of Schoutens

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