1 option
Financial models with Lévy processes and volatility clustering / Svetlozar T. Rachev ... [et al.].
- Format:
- Book
- Series:
- Frank J. Fabozzi Series
- The Frank J. Fabozzi series
- Language:
- English
- Subjects (All):
- Capital assets pricing model.
- Lévy processes.
- Finance--Mathematical models.
- Finance.
- Probabilities.
- Physical Description:
- 1 online resource (416 p.)
- Edition:
- 1st ed.
- Place of Publication:
- Hoboken, NJ : Wiley, c2011.
- Language Note:
- English
- Summary:
- An in-depth guide to understanding probability distributions and financial modeling for the purposes of investment management In Financial Models with Lévy Processes and Volatility Clustering, the expert author team provides a framework to model the behavior of stock returns in both a univariate and a multivariate setting, providing you with practical applications to option pricing and portfolio management. They also explain the reasons for working with non-normal distribution in financial modeling and the best methodologies for employing it. The book's framework includes the basics
- Contents:
- Financial Models with Levy Processes and Volatility Clustering; Contents; Preface; About the Authors; CHAPTER 1 Introduction; CHAPTER 2 Probability Distributions; CHAPTER 3 Stable and Tempered Stable Distributions; CHAPTER 4 Stochastic Processes in Continuous Time; CHAPTER 5 Conditional Expectation and Change of Measure; CHAPTER 6 Exponential Levy Models; CHAPTER 7 Option Pricing in Exponential L ́evy Models; CHAPTER 8 Simulation; CHAPTER 9 Multi-Tail t-Distribution; CHAPTER 10 Non-Gaussian Portfolio Allocation; CHAPTER 11 Normal GARCH models
- CHAPTER 12 Smoothly Truncated Stable GARCH Models CHAPTER 13 Infinitely Divisible GARCH Models; CHAPTER 14 Option Pricing with Monte Carlo Methods; CHAPTER 15 American Option Pricing with Monte Carlo Methods; Index
- Notes:
- Includes index.
- Description based on metadata supplied by the publisher and other sources.
- ISBN:
- 9786613025647
- 9781283025645
- 1283025647
- 9781118268070
- 1118268075
- 9780470937167
- 0470937165
- OCLC:
- 705868754
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