Jondeau, Eric
Financial Modeling Under Non-Gaussian Distributions
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
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Keywords: MATHEMATICS / General MAT000000
- Author(s)
- Jondeau, Eric
- Poon, Ser-Huang
- Rockinger, Michael
- Publisher
- Springer
- Publication year
- 2007
- Language
- en
- Edition
- 1
- Category
- Natural Sciences
- Format
- Ebook
- eISBN (PDF)
- 9781846286964