# Financial mathematics

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<ref name="CT">{{Citation | last1=Cont | first1=Rama | last2=Tankov | first2=Peter | title=Financial modelling with jump processes | publisher=Chapman & Hall/CRC, Boca Raton, FL | series=Chapman & Hall/CRC Financial Mathematics Series | isbn=978-1-58488-413-2 | year=2004}}</ref> | <ref name="CT">{{Citation | last1=Cont | first1=Rama | last2=Tankov | first2=Peter | title=Financial modelling with jump processes | publisher=Chapman & Hall/CRC, Boca Raton, FL | series=Chapman & Hall/CRC Financial Mathematics Series | isbn=978-1-58488-413-2 | year=2004}}</ref> | ||

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## Latest revision as of 17:14, 7 February 2012

Nonlocal equations are common in financial mathematics because the prices of assets can be modeled following any Levy process. In particular jump processes are natural since asset prices can have a sudden change.

The Black–Scholes model, which is used to price derivatives, is essentially a parabolic integro-differential equation for European options, and an obstacle problem for American options.

A good reference for financial modeling with jump processes is the book of Rama Cont and Peter Tankov ^{[1]}

## Refences

- ↑ Cont, Rama; Tankov, Peter (2004),
*Financial modelling with jump processes*, Chapman & Hall/CRC Financial Mathematics Series, Chapman & Hall/CRC, Boca Raton, FL, ISBN 978-1-58488-413-2

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