Login

Jondeau, Eric

Financial Modeling Under Non-Gaussian Distributions

Jondeau, Eric - Financial Modeling Under Non-Gaussian Distributions, ebook

76,95€

Ebook, PDF with Adobe DRM
ISBN: 9781846286964
DRM Restrictions

PrintingNot allowed
Copy to clipboardNot allowed

Table of contents

Part I. Financial Markets and Financial Time Series

1. Introduction

2. Statistical Properties of Financial Market Data

3. Functioning of Financial Markets and Theoretical Models for Returns

Part II. Econometric Modeling of Asset Returns

4. Modeling Volatility

5. Modeling Higher Moments

6. Modeling Correlation

7. Extreme Value Theory

Part III. Applications of Non-Gaussian Econometrics

8. Risk Management and VaR

9. Portfolio Allocation

Part IV. Option Pricing with Non-Gaussian Returns

10. Fundamentals of Option Pricing

11. Non-structural Option Pricing

12. Structural Option Pricing

Part V. Appendices on Option Pricing Mathematics

13. Brownian Motion and Stochastic Calculus

14. Martingale and Changing Measure

15. Characteristic Functions and Fourier Transforms

16. Jump Processes

17. Lévy Processes

DRM-restrictions

Printing: not available
Clipboard copying: not available

Keywords: MATHEMATICS / General MAT000000

Author(s)
 
 
Publisher
Springer
Publication year
2007
Language
en
Edition
1
Category
Natural Sciences
Format
Ebook
eISBN (PDF)
9781846286964

Similar titles