Financial Modeling Under Non-Gaussian Distributions

Financial Modeling Under Non-Gaussian Distributions
Author: Eric Jondeau
Publisher: Springer Science & Business Media
Total Pages: 541
Release: 2007-04-05
Genre: Mathematics
ISBN: 1846286964

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This book examines non-Gaussian distributions. It addresses the causes and consequences of non-normality and time dependency in both asset returns and option prices. The book is written for non-mathematicians who want to model financial market prices so 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.


Financial Modeling Under Non-Gaussian Distributions
Language: en
Pages: 541
Authors: Eric Jondeau
Categories: Mathematics
Type: BOOK - Published: 2007-04-05 - Publisher: Springer Science & Business Media

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This book examines non-Gaussian distributions. It addresses the causes and consequences of non-normality and time dependency in both asset returns and option pr
Financial Models with Levy Processes and Volatility Clustering
Language: en
Pages: 316
Authors: Svetlozar T. Rachev
Categories: Business & Economics
Type: BOOK - Published: 2011-02-08 - Publisher: John Wiley & Sons

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An in-depth guide to understanding probability distributions and financial modeling for the purposes of investment management In Financial Models with Lévy Pro
VaR Methodology for Non-Gaussian Finance
Language: en
Pages: 176
Authors: Marine Habart-Corlosquet
Categories: Business & Economics
Type: BOOK - Published: 2013-05-06 - Publisher: John Wiley & Sons

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With the impact of the recent financial crises, more attention must be given to new models in finance rejecting “Black-Scholes-Samuelson” assumptions leadin
A Non-Gaussian Pricing Model for Structured Products
Language: en
Pages: 14
Authors: Denis Zuev
Categories:
Type: BOOK - Published: 2018 - Publisher:

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The paper aims to reconstruct the empirical premia of the structured products with two underlying assets. We apply various models that differ in probability dis
Decision Making with Quantitative Financial Market Data
Language: en
Pages: 69
Authors: Alain Ruttiens
Categories: Business & Economics
Type: BOOK - Published: 2021-03-01 - Publisher: Springer Nature

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Use of quantitative data, especially in financial markets, may provide rapid results due to the ease-of-use and availability of fast computational software, but