Financial Modeling Under Non-Gaussian Distributions
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Financial Modeling Under Non-Gaussian Distributions

Financial Modeling Under Non-Gaussian Distributions


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About the Book

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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Product Details
  • ISBN-13: 9781849965996
  • Publisher: Springer
  • Publisher Imprint: Springer
  • Height: 234 mm
  • No of Pages: 541
  • Series Title: Springer Finance
  • Weight: 825 gr
  • ISBN-10: 1849965994
  • Publisher Date: 21 Oct 2010
  • Binding: Paperback
  • Language: English
  • Returnable: N
  • Spine Width: 29 mm
  • Width: 156 mm


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Financial Modeling Under Non-Gaussian Distributions
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Financial Modeling Under Non-Gaussian Distributions
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