Financial Models with Levy Processes and Volatility Clustering - Couverture rigide

Rachev, Svetlozar T.; Kim, Young Shin; Bianchi, Michele L.; Fabozzi, Frank J.

Couverture rigide

ISBN 10 : 0470482354 ISBN 13 : 9780470482353

Editeur : John Wiley & Sons, 2011

Synopsis

Book by Fabozzi Frank J Rachev Svetlozar T Bianchi Michele

A propos du livre

Quatrième de couverture :

FINANCIAL MODELS WITH LéVY PROCESSES AND VOLATILITY CLUSTERING

The failure of financial models has been identified by some market observers as a major contributor to the global financial crisis. More specifically, it′s been argued that the underlying assumption made in most of these models that distributions of prices and returns are normally distributed have been responsible for their undoing.

Financial crises and black swan events may not be precisely predictable by models, but improving the reliability and flexibility of those models is essential for both financial practitioners and academics intent on limiting the impact of major market crashes.

In Financial Models with Lévy Processes and Volatility Clustering, authors Svetlozar Rachev, Young Shin Kim, Michele Leonardo Bianchi, and Frank Fabozzi focus on the application of non–normal distributions for modeling the behavior of stock price returns. Opening with a brief introduction to the basics of probability distributions, this practical resource quickly moves on to:

• Address a wide array of methods for the simulation of infinitely divisible distributions and Lévy processes with a view toward option pricing.

• Discuss two approaches to deal with non–normal multivariate distributions, providing insight into portfolio allocation assuming a multi–tail t distribution and a non–Gaussian multivariate model.

• Examine discrete time option pricing models with volatility clustering namely non–Gaussian GARCH models.

• Provide guidance on pricing American options with Monte Carlo methods.

If you want to gain a better understanding of how financial models can be used to capture the dynamics of economic and financial variables, Financial Models with Lévy Processes and Volatility Clustering is the best place to start.

Présentation de l'éditeur :

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 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 Lévy 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 events

Financial Models with Lévy Processes and Volatility Clustering is a thorough guide to classical probability distribution methods and brand new methodologies for financial modeling.

À propos de cette édition

• Éditeur: John Wiley & Sons
• Date d'édition: 2011
• ISBN 10: 0470482354
• ISBN 13: 9780470482353
• Reliure: Relié
• Nombre de pages: 394