Description 
1 online resource (xviii, 541 pages) : illustrations 
Series 
Springer finance, 16160533 

Springer finance. 16160533

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 nonGaussian econometrics  1.4 Option pricing with nonGaussian 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 mixtureofdistribution model for return and volume  3.5 A model of prices and quotes in a quotedriven 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 NonGaussian Econometrics / Part III  CH Risk Management and VaR. 8.1 Definitions and measures  8.2 Historical simulation  8.3 Semiparametric approaches  8.4 Parametric approaches  8.5 Nonlinear models  8.6 Comparison of VaR models  CH Portfolio Allocation  9.1 Portfolio allocation under nonnormality  9.2 Portfolio allocation under downside risk  Option Pricing with NonGaussian Returns / Part IV  CH 

Fundamentals of Option Pricing  10.1 Notations  10.2 The noarbitrage approach to option pricing  10.3 Martingale measure and BSM formula  CH1 Nonstructural Option Pricing  11.1 Difficulties with the standard BSM model  11.2 Direct estimation of the riskneutral density  11.3 Parametric methods  11.4 Semiparametric methods  11.5 Nonparametric 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 
"NonGaussian distributions are the key theme of this book which addresses the causes and consequences of nonnormality 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 nonmathematicians 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 507533) and index 
Notes 
English 

Print version record 
In 
Springer ebooks 
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, SerHuang.


Rockinger, Michael.

ISBN 
9781846286964 

1846286964 

1846284198 

9781846284199 

6610817340 

9786610817344 
