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Financial models with Lévy processes and volatility clustering [[electronic resource] /] / Svetlozar T. Rachev ... [et al.]
| Financial models with Lévy processes and volatility clustering [[electronic resource] /] / Svetlozar T. Rachev ... [et al.] |
| Pubbl/distr/stampa | Hoboken, NJ, : Wiley, c2011 |
| Descrizione fisica | 1 online resource (416 p.) |
| Disciplina |
332.0415015192
332/.0415015192 |
| Altri autori (Persone) | RachevS. T (Svetlozar Todorov) |
| Collana | The Frank J. Fabozzi series |
| Soggetto topico |
Capital assets pricing model
Lévy processes Finance - Mathematical models Probabilities |
| ISBN |
1-283-02564-7
9786613025647 1-118-26807-5 0-470-93716-5 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| 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 |
| Record Nr. | UNINA-9910139212303321 |
| Hoboken, NJ, : Wiley, c2011 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Financial models with Lévy processes and volatility clustering [[electronic resource] /] / Svetlozar T. Rachev ... [et al.]
| Financial models with Lévy processes and volatility clustering [[electronic resource] /] / Svetlozar T. Rachev ... [et al.] |
| Pubbl/distr/stampa | Hoboken, NJ, : Wiley, c2011 |
| Descrizione fisica | 1 online resource (416 p.) |
| Disciplina |
332.0415015192
332/.0415015192 |
| Altri autori (Persone) | RachevS. T (Svetlozar Todorov) |
| Collana | The Frank J. Fabozzi series |
| Soggetto topico |
Capital assets pricing model
Lévy processes Finance - Mathematical models Probabilities |
| ISBN |
1-283-02564-7
9786613025647 1-118-26807-5 0-470-93716-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| 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 |
| Record Nr. | UNINA-9910807814803321 |
| Hoboken, NJ, : Wiley, c2011 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||