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[null,"1.","Record Nr.",null,"UNINA9910139212303321"]
[null,null,"Titolo",null,"Financial models with Lévy processes and volatility clustering [[electronic resource] /] / Svetlozar T. Rachev ... [et al.]"]
[null,null,"Pubbl/distr/stampa",null,"Hoboken, NJ, : Wiley, c2011"]
[null,null,"ISBN",null,"1-283-02564-7"]
[{"$nulls":4},"9786613025647"]
[{"$nulls":4},"1-118-26807-5"]
[{"$nulls":4},"0-470-93716-5"]
[null,null,"Descrizione fisica",null,"1 online resource (416 p.)"]
[null,null,"Collana",null,"The Frank J. Fabozzi series"]
[null,null,"Disciplina",null,"332.0415015192"]
[{"$nulls":4},"332/.0415015192"]
[null,null,"Soggetti",null,"Capital assets pricing model"]
[{"$nulls":4},"Lévy processes"]
[{"$nulls":4},"Finance - Mathematical models"]
[{"$nulls":4},"Probabilities"]
[null,null,"Lingua di pubblicazione",null,"Inglese"]
[null,null,"Formato",null,"Materiale a stampa"]
[null,null,null,"Livello bibliografico","Monografia"]
[null,null,null,"Note generali","Includes index."]
[null,null,"Nota di contenuto",null,"Financial Models with Levy Processes and Volatility Clustering; Contents; Preface; About the Authors; CHAPTER 1 Introduction; CHAPTER 2 Probability Distributions; CHAPTER 3 Stable and Tempered Stable Distributions; CHAPTER 4 Stochastic Processes in Continuous Time; CHAPTER 5 Conditional Expectation and Change of Measure; CHAPTER 6 Exponential Levy Models; CHAPTER 7 Option Pricing in Exponential L ́evy Models; CHAPTER 8 Simulation; CHAPTER 9 Multi-Tail t-Distribution; CHAPTER 10 Non-Gaussian Portfolio Allocation; CHAPTER 11 Normal GARCH models"]
[{"$nulls":4},"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"]
[null,null,null,"Sommario/riassunto","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 "]
[{"$nulls":4},"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"]