Financial modeling under non-gaussian distributions / Eric Jondeau, Ser-Huang Poon, and Michael Rockinger.
"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 o...
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| Main Authors: | , , |
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| Format: | Ebook |
| Language: | English |
| Published: |
London :
Springer,
[2007]
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| Series: | Springer finance.
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| Subjects: | |
| Online Access: | Click here to view this book Springer eBooks |
| 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. |
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| Physical Description: | 1 online resource (xviii, 541 pages) : illustrations. |
| Format: | Mode of access: World Wide Web. |
| Bibliography: | Includes bibliographical references and index. |
| ISBN: | 1846286964 9781846286964 |
| ISSN: | 1616-0533 |