Financial modeling under non-Gaussian distributions
著者
書誌事項
Financial modeling under non-Gaussian distributions
（Springer finance, textbook）
Springer, c2007
- : softcover
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注記
"Softcover reprint of the hardcover 1st edition 2007"--T.p. verso of softcover
Includes bibliographical references (p. [507]-533) and index
内容説明・目次
内容説明
This book examines non-Gaussian distributions. It addresses the causes and consequences of non-normality and time dependency in both asset returns and option prices. 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.
目次
Financial Markets and Financial Time Series.- Statistical Properties of Financial Market Data.- Functioning of Financial Markets and Theoretical Models for Returns.- Econometric Modeling of Asset Returns.- Modeling Volatility.- Modeling Higher Moments.- Modeling Correlation.- Extreme Value Theory.- Applications of Non-Gaussian Econometrics.- Risk Management and VaR.- Portfolio Allocation.- Option Pricing with Non-Gaussian Returns.- Fundamentals of Option Pricing.- Non-structural Option Pricing.- Structural Option Pricing.- Appendices on Option Pricing Mathematics.- Brownian Motion and Stochastic Calculus.- Martingale and Changing Measure.- Characteristic Functions and Fourier Transforms.- Jump Processes.- Levy Processes.
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