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: | , , |
|---|---|
| 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 |
Table of Contents:
- 1. Introduction
- 2. Statistical properties of financial market data
- 3. Functioning of financial markets and theoretical models for returns
- 4. Modeling volatility
- 5. Modeling higher moments
- 6. Modeling correlation
- 7. Extreme value theory
- 8. Risk management and VaR
- 9. Portfolio allocation
- 10. Fundamentals of option pricing
- 11. Non-structural option pricing
- 12. Structural option pricing
- 13. Brownian motion and stochastic calculus
- 14. Martingale and changing measure
- 15. Characteristic functions and fourier transforms
- 16. Jump processes
- 17. Levy processes.