Financial Modelling with Jump Processes

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This resource provides an accessible overview of financial models based on jump processes used in risk management and option pricing. After presenting the necessary mathematics, the text discusses theoretical, numerical, and empirical issues. While the emphasis is on demystifying technical difficulties to better understand applications, mathematical results are presented in a rigorous, though self-contained, manner, accessible to any reader with basic knowledge of the Black-Scholes model. Concepts are illustrated through numerous numerical and empirical examples.