03312nam 2200673Ia 450 991080781480332120230725020024.01-283-02564-797866130256471-118-26807-50-470-93716-5(CKB)2560000000058575(EBL)661566(OCoLC)705868754(SSID)ssj0000469177(PQKBManifestationID)11288352(PQKBTitleCode)TC0000469177(PQKBWorkID)10511094(PQKB)11011768(MiAaPQ)EBC661566(Au-PeEL)EBL661566(CaPaEBR)ebr10446749(CaONFJC)MIL302564(OCoLC)773301034(EXLCZ)99256000000005857520100817d2011 uy 0engurcn|||||||||txtccrFinancial models with Lévy processes and volatility clustering[electronic resource] /Svetlozar T. Rachev ... [et al.]Hoboken, NJ Wileyc20111 online resource (416 p.)The Frank J. Fabozzi seriesIncludes index.0-470-48235-4 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 modelsCHAPTER 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; IndexAn 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 basicsFrank J. Fabozzi SeriesCapital assets pricing modelLévy processesFinanceMathematical modelsProbabilitiesCapital assets pricing model.Lévy processes.FinanceMathematical models.Probabilities.332.0415015192332/.0415015192Rachev S. T(Svetlozar Todorov)59738MiAaPQMiAaPQMiAaPQBOOK9910807814803321Financial models with Lévy processes and volatility clustering3936013UNINA