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Financial Modeling Under Non-Gaussian Distributions

Publisher: 
Springer Verlag
Number of Pages: 
541
Price: 
89.95
ISBN: 
1846284198
Date Received: 
Thursday, October 26, 2006
Reviewable: 
No
Include In BLL Rating: 
No
Reviewer Email Address: 
Eric Jondeau, Ser-Huang Poon and Michael Rockinger
Series: 
Springer Finance
Publication Date: 
2007
Format: 
Hardcover
Category: 
Monograph
Tags: 

 Part I: Financial Markets and Financial Time Series.- Introduction. Statistical Properties of Financial Market Data. Functioning of Financial Markets and Theoretical Models for Returns. Part II: Econometric Modeling of Asset Returns.- Modeling Volatility. Modeling Higher Moments. Modeling Correlation. Extreme Value Theory. Part III: Applications of Non-Gaussian Econometrics.- Risk Management and VaR. Portfolio Allocation. Part IV: Option Pricing with Non-Gaussian Returns.-Fundamentals of Option Pricing. Non-Structural Option Pricing. Structural Option Pricing. Part V: Appendices on Option Pricing Mathematics.- Brownian Motion and Stochastic Calculus. Martingale and Changing Measure. Characteristic Functions and Fourier Transforms. Jump Processes.- References.- Index.

Publish Book: 
Modify Date: 
Tuesday, February 20, 2007

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