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Titolo: | Financial models with Lévy processes and volatility clustering [[electronic resource] /] / Svetlozar T. Rachev ... [et al.] |
Pubblicazione: | Hoboken, NJ, : Wiley, c2011 |
Descrizione fisica: | 1 online resource (416 p.) |
Disciplina: | 332.0415015192 |
332/.0415015192 | |
Soggetto topico: | Capital assets pricing model |
Lévy processes | |
Finance - Mathematical models | |
Probabilities | |
Altri autori: | RachevS. T (Svetlozar Todorov) |
Note generali: | Includes index. |
Nota di contenuto: | 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 | |
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 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 |
Titolo autorizzato: | Financial models with Lévy processes and volatility clustering |
ISBN: | 1-283-02564-7 |
9786613025647 | |
1-118-26807-5 | |
0-470-93716-5 | |
Formato: | Materiale a stampa |
Livello bibliografico | Monografia |
Lingua di pubblicazione: | Inglese |
Record Nr.: | 9910139212303321 |
Lo trovi qui: | Univ. Federico II |
Opac: | Controlla la disponibilità qui |