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...
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| Auteurs principaux: | , , , |
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| Format: | Livre numérique |
| Sprog: | Anglais |
| Udgivet: |
London :
Springer London
[20..].
Cham : Springer Nature |
| Serier: | Springer Finance
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| Fag: | |
| Online adgang: | Accès sur la plateforme de l'éditeur Accès sur la plateforme Istex Accès Université d'Orléans Accès INSA CVL |
| Kommentar: |
L'impression du document génère 556 p. Archives Springer e-books (Licence nationale) Archives Springer e-books (Licence nationale) |
| Autres localisations: | Voir dans le Sudoc |
| Edition sous un autre format: | • Financial modeling under non-Gaussian distributions, Eric Jondeau, Ser-Huang Poon and Michael Rockinger, 2007, London, Springer, 1 vol. (XVIII-541 p.), Springer finance, 1-84628-419-8 |
Indholdsfortegnelse:
- 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