Financial Models with Levy Processes and Volatility Clustering
John Wiley & Sons, 2011/02/08 - 400 ページ
An in-depth guide to understanding probability distributions and financial modeling for the purposes of investment management
In Financial Models with Lévy Processes and Volatility Clustering, the expert author team provides a framework to model the behavior of stock returns in both a univariate and a multivariate setting, providing you with practical applications to option pricing and portfolio management. They also explain the reasons for working with non-normal distribution in financial modeling and the best methodologies for employing it.
The book's framework includes the basics of probability distributions and explains the alpha-stable distribution and the tempered stable distribution. The authors also explore discrete time option pricing models, beginning with the classical normal model with volatility clustering to more recent models that consider both volatility clustering and heavy tails.
Financial Models with Lévy Processes and Volatility Clustering is a thorough guide to classical probability distribution methods and brand new methodologies for financial modeling.
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Stable and Tempered StableDistributions
Stochastic Processes in Continuous
Conditional Expectation and Change
Exponential Lévy model
Smoothly Truncated Stable GARCH
Infinitely Divisible GARCHModels 13 1Stock Price Dynamic
Option Pricing with Monte Carlo
AmericanOption Pricing with Monte Carlo Methods