Financial Models with Levy Processes and Volatility Clustering
Aus der Reihe
Frank J. Fabozzi Series
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Form:Einzelkauf Download
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Sprache:Englisch
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eBook Format:PDF
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70,99 €
inkl. gesetzl. MwSt.Beschreibung
Produktdetails
Format
Kopierschutz
Ja
Family Sharing
Nein
Text-to-Speech
Nein
Erscheinungsdatum
04.02.2011
Verlag
John Wiley & Sons IncSeitenzahl
394 (Printausgabe)
Dateigröße
8496 KB
Auflage
1. Auflage
Sprache
Englisch
EAN
9780470937167
An in-depth guide to understanding probability distributions and
financial modeling for the purposes of investment management
In Financial Models with Lévy Processes and Volatility
Clustering, the expert author team provides a framework to
model the behavior of stock returns in both a univariate and a
multivariate setting, providing you with practical applications to
option pricing and portfolio management. They also explain the
reasons for working with non-normal distribution in financial
modeling and the best methodologies for employing it.
The book's framework includes the basics of probability
distributions and explains the alpha-stable distribution and the
tempered stable distribution. The authors also explore discrete
time option pricing models, beginning with the classical normal
model with volatility clustering to more recent models that
consider both volatility clustering and heavy tails.
* Reviews the basics of probability distributions
* Analyzes a continuous time option pricing model (the so-called
exponential Lévy model)
* Defines a discrete time model with volatility clustering and
how to price options using Monte Carlo methods
* Studies two multivariate settings that are suitable to explain
joint extreme events
Financial Models with Lévy Processes and Volatility
Clustering is a thorough guide to classical probability
distribution methods and brand new methodologies for financial
modeling.
financial modeling for the purposes of investment management
In Financial Models with Lévy Processes and Volatility
Clustering, the expert author team provides a framework to
model the behavior of stock returns in both a univariate and a
multivariate setting, providing you with practical applications to
option pricing and portfolio management. They also explain the
reasons for working with non-normal distribution in financial
modeling and the best methodologies for employing it.
The book's framework includes the basics of probability
distributions and explains the alpha-stable distribution and the
tempered stable distribution. The authors also explore discrete
time option pricing models, beginning with the classical normal
model with volatility clustering to more recent models that
consider both volatility clustering and heavy tails.
* Reviews the basics of probability distributions
* Analyzes a continuous time option pricing model (the so-called
exponential Lévy model)
* Defines a discrete time model with volatility clustering and
how to price options using Monte Carlo methods
* Studies two multivariate settings that are suitable to explain
joint extreme events
Financial Models with Lévy Processes and Volatility
Clustering is a thorough guide to classical probability
distribution methods and brand new methodologies for financial
modeling.
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