FREE SHIPPING

on all orders of $79 or more

$3 OFF your purchase of $60 or more!
Use coupon code SUNDAY in checkout.

Financial Models With Levy Processes and Volatility Clustering

, by ; ; ;
Financial Models With Levy Processes and Volatility Clustering by Rachev, Svetlozar T.; Kim, Young Shin; Bianchi, Michele L.; Fabozzi, Frank J., 9780470482353
Note: Supplemental materials are not guaranteed with Rental or Used book purchases.
  • ISBN: 9780470482353 | 0470482354
  • Cover: Hardcover
  • Copyright: 2/8/2011
  • Buy New Book

    Currently Available, Usually Ships in 24-48 Hours

    $72.44
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.

You might also enjoy...



Please wait while the item is added to your bag...