Financial models with Lévy processes and volatility clustering / / Svetlozar T. Rachev ... [et al.]

• Pubblicazione: Hoboken, NJ, : Wiley, c2011
• Edizione: 1st ed.
• 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: 9786613025647; 9781283025645; 1283025647; 9781118268070; 1118268075; 9780470937167; 0470937165
• Formato: Materiale a stampa
• Livello bibliografico: Monografia
• Lingua di pubblicazione: Inglese
• Record Nr.: 9910807814803321
• Lo trovi qui: Univ. Federico II
• Serie: Frank J. Fabozzi Series