Cargando…
Return distributions in finance /
Quantitative methods have revolutionised the area of trading, regulation, risk management, portfolio construction, asset pricing and treasury activities, and governmental activity such as central banking. One of the original contributions in this area is the classic by Cootner entitled 'The Ran...
| Clasificación: | Libro Electrónico |
|---|---|
| Otros Autores: | , |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Oxford ; Boston :
Butterworth-Heinemann,
2001.
|
| Colección: | Quantitative finance series.
|
| Temas: | |
| Acceso en línea: | Texto completo |
Tabla de Contenidos:
- Modelling asset returns with hyperbolic distributions / N.H. Bingham and R�udiger Kiesel
- A review of asymmetric conditional density functions in autoregressive conditional heteroscedasticity models / Shaun A. Bond
- The distribution of commercial real estate returns / Colin Lizieri and Charles Ward
- Modelling emerging market risk premia using higher moments / Soosung Hwang and Stephen E. Satchell
- Are stock prices driven by the volume of trade? Empirical analysis of the FT30, FT100 and certain British shares over 1988-1990 / L.C.G. Rogers, Stephen E. Satchell and Youngjun Yoon
- Testing for a finite variance in stock return distributions / Jun Yu
- Implementing option pricing models when asset returns are predictable and discontinuous / George J. Jiang
- The probability functions of option prices, risk-neutral pricing and Value-at-Risk / John L. Knight, Stephen E. Satchell and Guoqiang Wang
- Pricing derivatives written on assets with arbitrary skewness and kurtosis / John L. Knight and Stephen E. Satchell
- The distribution of realized returns from moving average trading rules with application to Canadian stock market data / Alexander Fritsche.