LEADER 03312nam 2200673Ia 450 001 9910807814803321 005 20230725020024.0 010 $a1-283-02564-7 010 $a9786613025647 010 $a1-118-26807-5 010 $a0-470-93716-5 035 $a(CKB)2560000000058575 035 $a(EBL)661566 035 $a(OCoLC)705868754 035 $a(SSID)ssj0000469177 035 $a(PQKBManifestationID)11288352 035 $a(PQKBTitleCode)TC0000469177 035 $a(PQKBWorkID)10511094 035 $a(PQKB)11011768 035 $a(MiAaPQ)EBC661566 035 $a(Au-PeEL)EBL661566 035 $a(CaPaEBR)ebr10446749 035 $a(CaONFJC)MIL302564 035 $a(OCoLC)773301034 035 $a(EXLCZ)992560000000058575 100 $a20100817d2011 uy 0 101 0 $aeng 135 $aurcn||||||||| 181 $ctxt 182 $cc 183 $acr 200 00$aFinancial models with Le?vy processes and volatility clustering$b[electronic resource] /$fSvetlozar T. Rachev ... [et al.] 210 $aHoboken, NJ $cWiley$dc2011 215 $a1 online resource (416 p.) 225 0 $aThe Frank J. Fabozzi series 300 $aIncludes index. 311 $a0-470-48235-4 327 $aFinancial 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 327 $aCHAPTER 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 330 $aAn in-depth guide to understanding probability distributions and financial modeling for the purposes of investment management In Financial Models with Le?vy Processes and Volatility Clustering, the expert author team provides a framework to model the behavior of stock returns in both a univariate and a multivariate setting, providing you with practical applications to option pricing and portfolio management. They also explain the reasons for working with non-normal distribution in financial modeling and the best methodologies for employing it. The book's framework includes the basics 410 0$aFrank J. Fabozzi Series 606 $aCapital assets pricing model 606 $aLe?vy processes 606 $aFinance$xMathematical models 606 $aProbabilities 615 0$aCapital assets pricing model. 615 0$aLe?vy processes. 615 0$aFinance$xMathematical models. 615 0$aProbabilities. 676 $a332.0415015192 676 $a332/.0415015192 701 $aRachev$b S. T$g(Svetlozar Todorov)$059738 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910807814803321 996 $aFinancial models with Le?vy processes and volatility clustering$93936013 997 $aUNINA