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Cover: 9781849965996 | Financial Modeling Under Non-Gaussian Distributions | Jondeau (u. a.)
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Financial Modeling Under Non-Gaussian Distributions
Taschenbuch von Eric Jondeau (u. a.)
Sprache: Englisch

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Beschreibung
Non-Gaussian distributions are the key theme of this book which addresses the causes and consequences of non-normality and time dependency in both asset returns and option prices. The aim is to bridge the gap between theoretical developments and the practical implementations of what many users and researchers perceive as "sophisticated" models. The emphasis throughout is on practice: there are abundant empirical illustrations of the models and techniques described, many of which could be equally applied to other financial time series, such as exchange and interest rates.

This book will be an essential reference for practitioners in the finance industry, especially those responsible for managing portfolios and monitoring financial risk, but it will also be useful for mathematicians who want to know more about how their mathematical tools are applied in finance, and as a text for advanced courses in empirical finance; financial econometrics and financial derivatives.
Non-Gaussian distributions are the key theme of this book which addresses the causes and consequences of non-normality and time dependency in both asset returns and option prices. The aim is to bridge the gap between theoretical developments and the practical implementations of what many users and researchers perceive as "sophisticated" models. The emphasis throughout is on practice: there are abundant empirical illustrations of the models and techniques described, many of which could be equally applied to other financial time series, such as exchange and interest rates.

This book will be an essential reference for practitioners in the finance industry, especially those responsible for managing portfolios and monitoring financial risk, but it will also be useful for mathematicians who want to know more about how their mathematical tools are applied in finance, and as a text for advanced courses in empirical finance; financial econometrics and financial derivatives.
Zusammenfassung
Non-Gaussian distributions are the key theme of this book which addresses the causes and consequences of non-normality and time dependency in both asset returns and option prices. The aim is to bridge the gap between theoretical developments and the practical implementations of what many users and researchers perceive as "sophisticated" models. The emphasis throughout is on practice; there are abundant empirical illustrations of the models and techniques described, many of which could be equally applied to other financial time series, such as exchange and interest rates. Real applications are tailored for non-mathematicians who want to model financial market prices. The book is specially designed for course use, with the necessary background mathematics provided in appendices.
Inhaltsverzeichnis
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.
Details
Erscheinungsjahr: 2010
Fachbereich: Allgemeines
Genre: Mathematik
Rubrik: Naturwissenschaften & Technik
Medium: Taschenbuch
Reihe: Springer Finance
Inhalt: xviii
541 S.
ISBN-13: 9781849965996
ISBN-10: 1849965994
Sprache: Englisch
Ausstattung / Beilage: Paperback
Einband: Kartoniert / Broschiert
Autor: Jondeau, Eric
Rockinger, Michael
Poon, Ser-Huang
Auflage: Softcover reprint of hardcover 1st ed. 2007
Hersteller: Springer London
Springer-Verlag London Ltd.
Springer Finance
Maße: 235 x 155 x 30 mm
Von/Mit: Eric Jondeau (u. a.)
Erscheinungsdatum: 21.10.2010
Gewicht: 0,838 kg
Artikel-ID: 107247789
Zusammenfassung
Non-Gaussian distributions are the key theme of this book which addresses the causes and consequences of non-normality and time dependency in both asset returns and option prices. The aim is to bridge the gap between theoretical developments and the practical implementations of what many users and researchers perceive as "sophisticated" models. The emphasis throughout is on practice; there are abundant empirical illustrations of the models and techniques described, many of which could be equally applied to other financial time series, such as exchange and interest rates. Real applications are tailored for non-mathematicians who want to model financial market prices. The book is specially designed for course use, with the necessary background mathematics provided in appendices.
Inhaltsverzeichnis
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.
Details
Erscheinungsjahr: 2010
Fachbereich: Allgemeines
Genre: Mathematik
Rubrik: Naturwissenschaften & Technik
Medium: Taschenbuch
Reihe: Springer Finance
Inhalt: xviii
541 S.
ISBN-13: 9781849965996
ISBN-10: 1849965994
Sprache: Englisch
Ausstattung / Beilage: Paperback
Einband: Kartoniert / Broschiert
Autor: Jondeau, Eric
Rockinger, Michael
Poon, Ser-Huang
Auflage: Softcover reprint of hardcover 1st ed. 2007
Hersteller: Springer London
Springer-Verlag London Ltd.
Springer Finance
Maße: 235 x 155 x 30 mm
Von/Mit: Eric Jondeau (u. a.)
Erscheinungsdatum: 21.10.2010
Gewicht: 0,838 kg
Artikel-ID: 107247789
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