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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Avainsanat: MATHEMATICS / General MAT000000