9780470482353

Financial Models With Levy Processes and Volatility Clustering

  • ISBN 13:

    9780470482353

  • ISBN 10:

    0470482354

  • Format: Hardcover
  • Copyright: 02/08/2011
  • Publisher: Wiley

Note: Not guaranteed to come with supplemental materials (access cards, study guides, lab manuals, CDs, etc.)

Extend Your Rental at Any Time

Need to keep your rental past your due date? At any time before your due date you can extend or purchase your rental through your account.

Sorry, this item is currently unavailable.

Summary

An in-depth guide to understanding probability distributions and financial modeling for the purposes of investment managementIn Financial Models with L_vy 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. Reviews the basics of probability distributions Analyzes a continuous time option pricing model (the so-called exponential L_vy model) Defines a discrete time model with volatility clustering and how to price options using Monte Carlo methods Studies two multivariate settings that are suitable to explain joint extreme eventsFinancial Models with L_vy Processes and Volatility Clustering is a thorough guide to classical probability distribution methods and brand new methodologies for financial modeling.

Author Biography

Read more

Table of Contents

Read more

Write a Review