Financial Modeling Under Non-Gaussian Distributions / Edition 1

Financial Modeling Under Non-Gaussian Distributions / Edition 1

by Eric Jondeau, Ser-Huang Poon, Michael Rockinger
     
 

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ISBN-10: 1846284198

ISBN-13: 9781846284199

Pub. Date: 10/17/2006

Publisher: Springer London

This book examines non-Gaussian distributions. It addresses the causes and consequences of non-normality and time dependency in both asset returns and option prices. The book is written for non-mathematicians who want to model financial market prices so the emphasis throughout is on practice. There are abundant empirical illustrations of the models and techniques

Overview

This book examines non-Gaussian distributions. It addresses the causes and consequences of non-normality and time dependency in both asset returns and option prices. The book is written for non-mathematicians who want to model financial market prices so the emphasis throughout is on practice. There are abundant empirical illustrations of the models and techniques described, many of which could be equally applied to other financial time series.

Product Details

ISBN-13:
9781846284199
Publisher:
Springer London
Publication date:
10/17/2006
Series:
Springer Finance Series
Edition description:
2007
Pages:
541
Product dimensions:
6.14(w) x 9.25(h) x 0.05(d)

Table of Contents

Financial Markets and Financial Time Series.- Statistical Properties of Financial Market Data.- Functioning of Financial Markets and Theoretical Models for Returns.- Econometric Modeling of Asset Returns.- Modeling Volatility.- Modeling Higher Moments.- Modeling Correlation.- Extreme Value Theory.- Applications of Non-Gaussian Econometrics.- Risk Management and VaR.- Portfolio Allocation.- Option Pricing with Non-Gaussian Returns.- Fundamentals of Option Pricing.- Non-structural Option Pricing.- Structural Option Pricing.- Appendices on Option Pricing Mathematics.- Brownian Motion and Stochastic Calculus.- Martingale and Changing Measure.- Characteristic Functions and Fourier Transforms.- Jump Processes.- Lévy Processes.

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