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Zumbach, Gilles

Discrete Time Series, Processes, and Applications in Finance

Zumbach, Gilles - Discrete Time Series, Processes, and Applications in Finance, e-bok

94,70€

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ISBN: 9783642317422
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Table of contents

1. Introduction
Gilles Zumbach

2. Notation, Naming, and General Definitions
Gilles Zumbach

3. Stylized Facts
Gilles Zumbach

4. Empirical Mug Shots
Gilles Zumbach

5. Process Overview
Gilles Zumbach

6. Logarithmic Versus Relative Random Walks
Gilles Zumbach

7. ARCH Processes
Gilles Zumbach

8. Stochastic Volatility Processes
Gilles Zumbach

9. Regime-Switching Process
Gilles Zumbach

10. Price and Volatility Using High-Frequency Data
Gilles Zumbach

11. Time-Reversal Asymmetry
Gilles Zumbach

12. Characterizing Heteroscedasticity
Gilles Zumbach

13. The Innovation Distributions
Gilles Zumbach

14. Leverage Effect
Gilles Zumbach

15. Processes and Market Risk Evaluation
Gilles Zumbach

16. Option Pricing
Gilles Zumbach

17. The Empirical Properties of Large Covariance Matrices
Gilles Zumbach

18. Multivariate ARCH Processes
Gilles Zumbach

19. The Processes Compatible with the Stylized Facts
Gilles Zumbach

20. Further Thoughts
Gilles Zumbach

Nyckelord: Mathematics, Quantitative Finance, Probability Theory and Stochastic Processes, Statistics for Business/Economics/Mathematical Finance/Insurance

Författare
Utgivare
Springer
Utgivningsår
2013
Språk
en
Utgåva
2013
Serie
Springer Finance
Sidantal
21 sidor
Kategori
Naturvetenskaper
Format
E-bok
eISBN (PDF)
9783642317422

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