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...

Πλήρης περιγραφή

Λεπτομέρειες βιβλιογραφικής εγγραφής
Κύριοι συγγραφείς: Jondeau, Eric (Συγγραφέας), Poon, Ser-Huang (Συγγραφέας), Rockinger, Michael (Συγγραφέας)
Συγγραφή απο Οργανισμό/Αρχή: SpringerLink (Online service)
Μορφή: Ηλεκτρονική πηγή Ηλ. βιβλίο
Γλώσσα:English
Έκδοση: London : Springer London, 2007.
Σειρά:Springer Finance
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.