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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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autores principales: Jondeau, Eric (Autor), Poon, Ser-Huang (Autor), Rockinger, Michael (Autor)
Autor Corporativo: SpringerLink (Online service)
Formato: Electrónico eBook
Idioma:Inglés
Publicado: London : Springer London : Imprint: Springer, 2007.
Edición:1st ed. 2007.
Colección:Springer Finance,
Temas:
Social sciences > Mathematics.
Statistics .
Econometrics.
Mathematics in Business, Economics and Finance.
Statistics in Business, Management, Economics, Finance, Insurance.
Acceso en línea:Texto Completo
Tabla de Contenidos:
  • 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.

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