Financial Modeling Under Non-Gaussian Distributions

• Main Authors: Jondeau, Eric (Author), Poon, Ser-Huang (Author), Rockinger, Michael (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: London : Springer London, 2007.
• Series: Springer Finance
• Subjects: Mathematics.; Economics, Mathematical.; Statistics.; Econometrics.; Quantitative Finance.; Statistics for Business/Economics/Mathematical Finance/Insurance.

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...

Table of Contents:

• 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.