Financial Models with Levy Processes and Volatility Clustering

• Financial Models with Levy Processes and Volatility Clustering; Contents; Preface; About the Authors; CHAPTER 1 Introduction; CHAPTER 2 Probability Distributions; CHAPTER 3 Stable and Tempered Stable Distributions; CHAPTER 4 Stochastic Processes in Continuous Time; CHAPTER 5 Conditional Expectation and Change of Measure; CHAPTER 6 Exponential L ´ evy Models; CHAPTER 7 Option Pricing in Exponential L ´ evy Models; CHAPTER 8 Simulation; CHAPTER 9 Multi-Tail t-Distribution; CHAPTER 10 Non-Gaussian Portfolio Allocation; CHAPTER 11 Normal GARCH models. 
• CHAPTER 12 Smoothly Truncated Stable GARCH ModelsCHAPTER 13 Infinitely Divisible GARCH Models; CHAPTER 14 Option Pricing with Monte Carlo Methods; CHAPTER 15 American Option Pricing with Monte Carlo Methods; Index. 

• 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 probabi

Ämnesord

Capital assets pricing model. 

Finance --Mathematical models. 

Le´vy processes. 

Probabilities. 

Genre

Electronic books.  (LCSH)

Publikations- och innehållstyp

HG4637.F56 2011 (LCC)

332/.0415015192 (DDC)

Qaacce (kssb/8 (machine generated))