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Record Nr. |
UNINA9910139212303321 |
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Titolo |
Financial models with Lévy processes and volatility clustering [[electronic resource] /] / Svetlozar T. Rachev ... [et al.] |
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Pubbl/distr/stampa |
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Hoboken, NJ, : Wiley, c2011 |
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ISBN |
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1-283-02564-7 |
9786613025647 |
1-118-26807-5 |
0-470-93716-5 |
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Descrizione fisica |
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1 online resource (416 p.) |
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Collana |
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The Frank J. Fabozzi series |
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Altri autori (Persone) |
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RachevS. T (Svetlozar Todorov) |
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Disciplina |
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332.0415015192 |
332/.0415015192 |
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Soggetti |
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Capital assets pricing model |
Lévy processes |
Finance - Mathematical models |
Probabilities |
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Lingua di pubblicazione |
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Formato |
Materiale a stampa |
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Livello bibliografico |
Monografia |
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Note generali |
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Nota di contenuto |
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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 |
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Sommario/riassunto |
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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 |
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