Financial Modeling Under Non-Gaussian Distributions
Practitioners and researchers who have handled financial market data know that asset returns do not behave according to the bell-shaped curve, associated with the Gaussian or normal distribution. Indeed, the use of Gaussian models when the asset return distributions are not normal could lead to a wr...
Κύριοι συγγραφείς: | , , |
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Συγγραφή απο Οργανισμό/Αρχή: | |
Μορφή: | Ηλεκτρονική πηγή Ηλ. βιβλίο |
Γλώσσα: | English |
Έκδοση: |
London :
Springer London,
2007.
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Σειρά: | Springer Finance
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Θέματα: | |
Διαθέσιμο Online: | Full Text via HEAL-Link |
Πίνακας περιεχομένων:
- Financial Markets and Financial Time Series
- Statistical Properties of Financial Market Data
- Functioning of Financial Markets and Theoretical Models for Returns
- Econometric Modeling of Asset Returns
- Modeling Volatility
- Modeling Higher Moments
- Modeling Correlation
- Extreme Value Theory
- Applications of Non-Gaussian Econometrics
- Risk Management and VaR
- Portfolio Allocation
- Option Pricing with Non-Gaussian Returns
- Fundamentals of Option Pricing
- Non-structural Option Pricing
- Structural Option Pricing
- Appendices on Option Pricing Mathematics
- Brownian Motion and Stochastic Calculus
- Martingale and Changing Measure
- Characteristic Functions and Fourier Transforms
- Jump Processes
- Lévy Processes.