Financial modeling under non-Gaussian distributions

Forfatter:
Eric Jondeau
Ser-Huang Poon og Michael Rockinger
(Springer finance)
Note: 
Part I: Financial Markets and Financial Time Series.- Introduction. Statistical Properties of Financial Market Data. Functioning of Financial Markets and Theoretical Models for Returns. Part II: Econometric Modeling of Asset Returns.- Modeling Volatility. Modeling Higher Moments. Modeling Correlation. Extreme Value Theory. Part III: Applications of Non-Gaussian Econometrics.- Risk Management and VaR. Portfolio Allocation. Part IV: Option Pricing with Non-Gaussian Returns.- Fundamentals of Option Pricing. Non-Structural Option Pricing. Structural Option Pricing. Part V: Appendices on Option Pricing Mathematics.- Brownian Motion and Stochastic Calculus. Martingale and Changing Measure. Characteristic Functions and Fourier Transforms. Jump Processes. Lévy processes.- References.- Index
E-bog

Financial modeling under non-Gaussian distributions (Engelsk)

Grundigt bearbejdet (Engelsk)
Bognummer: 
628535
Nota udgivelsesår: 
2015
Udgave: 
Springer, 2007
ISBN: 
9781846284199

Emneord

33