E-book
Financial Modeling Under Non-Gaussian Distributions [electronic resource] / by Eric Jondeau, Ser-Huang Poon, Michael Rockinger.
Record details
- ISBN: 9781846286964
- Physical Description: XVIII, 542 p. 129 illus. online resource.
- Publisher: London : Springer London, 2007.
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| Subject: | Mathematics. Finance. Economics > Statistics. Econometrics. Mathematics. Quantitative Finance. Statistics for Business/Economics/Mathematical Finance/Insurance. Econometrics. |
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Electronic resources
| Part I: Financial Markets and Financial Time Series | ||
| Introduction | ||
| Statistical Properties of Financial Market Data | ||
| Functioning of Financial Markets and Theoretical Models for Returns | ||
| Part II: Econometric Modeling of Asset Returns | ||
| Modeling Volatility | ||
| Modeling Higher Moments | ||
| Modeling Correlation | ||
| Extreme Value Theory | ||
| Part III: Applications of Non-Gaussian Econometrics | ||
| Risk Management and VaR. Portfolio Allocation | ||
| Part IV: Option Pricing with Non-Gaussian Returns.-Fundamentals of Option Pricing | ||
| Non-Structural Option Pricing | ||
| Structural Option Pricing | ||
| Part V: Appendices on Option Pricing Mathematics | ||
| Brownian Motion and Stochastic Calculus | ||
| Martingale and Changing Measure | ||
| Characteristic Functions and Fourier Transforms | ||
| Jump Processes | ||
| References | ||
| Index. |
