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Book Cover
E-book
Author Jondeau, Eric.

Title Financial modeling under non-gaussian distributions / Eric Jondeau, Ser-Huang Poon, and Michael Rockinger
Published London : Springer, ©2007

Copies

Description 1 online resource (xviii, 541 pages) : illustrations
Series Springer finance, 1616-0533
Springer finance. 1616-0533
Contents Cover -- TOContents -- Part I: Financial Markets and Financial Time Series -- CH Introduction -- 1.1 Financial markets and financial time series -- 1.2 Econometric modeling of asset returns -- 1.3 Applications of non-Gaussian econometrics -- 1.4 Option pricing with non-Gaussian distributions -- CH Statistical Properties of Financial Market Data -- 2.1 Definitions of returns -- 2.2 Distribution of returns -- 2.3 Time dependency -- 2.4 Linear dependence across returns -- 2.5 Multivariate higher moments -- CH Functioning of Financial Markets and Theoretical Models for Returns -- 3.1 Functioning of financial markets -- 3.2 Mandelbrot and the stable distribution -- 3.3 Clark's subordination model -- 3.4 A bivariate mixture-of-distribution model for return and volume -- 3.5 A model of prices and quotes in a quote-driven market -- Econometric Modeling of Asset Returns / Part II -- CH Modeling Volatility -- 4.1 Volatility at lower frequencies -- 4.2 ARCH model -- 4.3 GARCH model -- 4.4 Asymmetric GARCH models -- 4.5 GARCH model with jumps -- 4.6 Aggregation of GARCH processes -- 4.7 Stochastic volatility -- 4.8 Realized volatility -- CH Modeling Higher Moments -- 5.1 The general problem -- 5.2 Distributions with higher moments -- 5.3 Specification tests and inference -- 5.4 Illustration -- 5.5 Modeling conditional higher moments -- CH Modeling Correlation -- 6.1 Multivariate GARCH models -- 6.2 Modeling the multivariate distribution -- 6.3 Copula functions -- CH Extreme Value Theory -- 7.1 Univariate tail estimation -- 7.2 Multivariate dependence -- Applications of Non-Gaussian Econometrics / Part III -- CH Risk Management and VaR. 8.1 Definitions and measures -- 8.2 Historical simulation -- 8.3 Semi-parametric approaches -- 8.4 Parametric approaches -- 8.5 Non-linear models -- 8.6 Comparison of VaR models -- CH Portfolio Allocation -- 9.1 Portfolio allocation under non-normality -- 9.2 Portfolio allocation under downside risk -- Option Pricing with Non-Gaussian Returns / Part IV -- CH
Fundamentals of Option Pricing -- 10.1 Notations -- 10.2 The no-arbitrage approach to option pricing -- 10.3 Martingale measure and BSM formula -- CH1 Non-structural Option Pricing -- 11.1 Difficulties with the standard BSM model -- 11.2 Direct estimation of the risk-neutral density -- 11.3 Parametric methods -- 11.4 Semi-parametric methods -- 11.5 Non-parametric methods -- 11.6 Comparison of various methods -- 11.7 Relationship with real probability -- CH2 Structural Option Pricing -- 12.1 Stochastic volatility model -- 12.2 Option pricing with stochastic volatility -- 12.3 Models with jumps -- 12.4 Models with even wilder jumps: Lévy option pricing -- Appendices on Option Pricing Mathematics / Part V -- CH3 Brownian Motion and Stochastic Calculus -- 13.1 Law of large numbers and the central limit theorem -- 13.2 Random walks -- 13.3 Construction of the Brownian motion -- 13.4 Properties of the Brownian motion -- 13.5 Stochastic integration -- 13.6 Stochastic differential equations
Summary "Non-Gaussian distributions are the key theme of this book which addresses the causes and consequences of non-normality and time dependency in both asset returns and option prices. One of the main aims is to bridge the gap between the theoretical developments and the practical implementations of what many users and researchers perceive as "sophisticated" models or black boxes. 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, such as exchange and interest rates. The authors have taken care to make the material accessible to anyone with a basic knowledge of statistics, calculus, and probability, while at the same time preserving the mathematical rigor and complexity of the original models."--Jacket
Bibliography Includes bibliographical references (pages 507-533) and index
Notes English
Print version record
In Springer e-books
Subject Finance -- Mathematical models.
Distribution (Economic theory)
Distribution (Economic theory)
Finance -- Mathematical models.
Distribution (Economic theory)
Finance -- Mathematical models.
Financiën.
Geldmarkt.
Risk management.
Verdelingen (functietheorie)
Genre/Form Statistics.
Statistics.
Statistiques.
Form Electronic book
Author Poon, Ser-Huang.
Rockinger, Michael.
ISBN 9781846286964
1846286964
1846284198
9781846284199
6610817340
9786610817344