Financial Models with Levy Processes and Volatility Clustering (Frank J. Fabozzi Series)

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9780470482353: Financial Models with Levy Processes and Volatility Clustering (Frank J. Fabozzi Series)
Reseña del editor:

An in-depth guide to understanding probability distributions and financial modeling for the purposes of investment management

In Financial Models with Levy 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 Levy 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 Levy Processes and Volatility Clustering is a thorough guide to classical probability distribution methods and brand new methodologies for financial modeling.

Biografía del autor:

SVETLOZAR T. RACHEV is Chair-Professor in Statistics, Econometrics, and Mathematical Finance at the Karlsruhe Institute of Technology (KIT) in the School of Economics and Business Engineering; Professor Emeritus at the University of California, Santa Barbara; and Chief Scientist at FinAnalytica Inc.

YOUNG SHIN KIM is a scientific assistant in the Department of Statistics, Econometrics, and Mathematical Finance at the Karlsruhe Institute of Technology (KIT).

MICHELE Leonardo BIANCHI is an analyst in the Division of Risk and Financial Innovation Analysis at the Specialized Intermediaries Supervision Department of the Bank of Italy.

FRANK J. FABOZZI is Professor in the Practice of Finance and Becton Fellow at the Yale School of Management and Editor of the Journal of PortfolioManagement. He is an Affiliated Professor at the University of Karlsruhe's Institute of Statistics, Econometrics, and Mathematical Finance and serves on the Advisory Council for the Department of Operations Research and Financial Engineering at Princeton University.

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Descripción John Wiley and Sons Ltd, United Kingdom, 2011. Hardback. Estado de conservación: New. 1. Auflage. 231 x 155 mm. Language: English . Brand New Book. An in-depth guide to understanding probability distributions and financial modeling for the purposes of investment management In Financial Models with Levy 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 Levy 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 Levy Processes and Volatility Clustering is a thorough guide to classical probability distribution methods and brand new methodologies for financial modeling. Nº de ref. de la librería AAH9780470482353

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Descripción John Wiley and Sons Ltd, United Kingdom, 2011. Hardback. Estado de conservación: New. 1. Auflage. 231 x 155 mm. Language: English . Brand New Book. An in-depth guide to understanding probability distributions and financial modeling for the purposes of investment management In Financial Models with Levy 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 Levy 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 Levy Processes and Volatility Clustering is a thorough guide to classical probability distribution methods and brand new methodologies for financial modeling. Nº de ref. de la librería AAH9780470482353

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Descripción Wiley. Hardcover. Estado de conservación: New. Hardcover. 394 pages. Dimensions: 9.1in. x 6.1in. x 1.4in.An in-depth guide to understanding probability distributions and financial modeling for the purposes of investment managementIn Financial Models with Lvy 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 books 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 distributionsAnalyzes a continuous time option pricing model (the so-called exponential Lvy model)Defines a discrete time model with volatility clustering and how to price options using Monte Carlo methodsStudies two multivariate settings that are suitable to explain joint extreme eventsFinancial Models with Lvy Processes and Volatility Clustering is a thorough guide to classical probability distribution methods and brand new methodologies for financial modeling. This item ships from multiple locations. Your book may arrive from Roseburg,OR, La Vergne,TN. Hardcover. Nº de ref. de la librería 9780470482353

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