Jump Diffusion and Stochastic Volatility Models in Securities Pricing: Theory and Estimation for Various Asset Classes - Couverture souple

Ncube, Mthuli; Sambulo Malumisa, .

 
9783659241192: Jump Diffusion and Stochastic Volatility Models in Securities Pricing: Theory and Estimation for Various Asset Classes
Couverture souple
ISBN 10 : 3659241199 ISBN 13 : 9783659241192
Editeur : LAP LAMBERT Academic Publishing, 2012

Synopsis

The extreme financial markets volatility that the financial crisis unleashed in 2008, continues to challenge researchers on how best to keep track and model such market movements. This book, entitled "Jump Diffusion and Stochastic Volatility Models in Securities Pricing", seeks to add value to the endeavor of modeling volatility and jumps across various asset classes. The aim is to improve risk management efforts and for more accurate pricing of primary and derivative securities. The book presents jump diffusion and stochastic volatility models for the movements of equities, currencies, interest rates, house prices and temperature. All asset classes demonstrate the presence of jumps and stochastic volatility in the movement of their prices.The jumps conform to the Poisson model while stochastic volatility conforms to a normal and a fat-tailed Garch models. Maximum likelihood methods are used to estimate various parameters in the mixture of distributions.

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

Présentation de l'éditeur

The extreme financial markets volatility that the financial crisis unleashed in 2008, continues to challenge researchers on how best to keep track and model such market movements. This book, entitled "Jump Diffusion and Stochastic Volatility Models in Securities Pricing", seeks to add value to the endeavor of modeling volatility and jumps across various asset classes. The aim is to improve risk management efforts and for more accurate pricing of primary and derivative securities. The book presents jump diffusion and stochastic volatility models for the movements of equities, currencies, interest rates, house prices and temperature. All asset classes demonstrate the presence of jumps and stochastic volatility in the movement of their prices.The jumps conform to the Poisson model while stochastic volatility conforms to a normal and a fat-tailed Garch models. Maximum likelihood methods are used to estimate various parameters in the mixture of distributions.

Biographie de l'auteur

Professor Mthuli Ncube is the Chief Economist and Vice President of the African Development Bank Group & Professor of Finance, Wits Business School, University of the Witwatersrand, South Africa. He holds a PhD in Mathematical Finance from Cambridge University, UK, was also a Lecturer in Finance at the London School of Economics, UK.

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

Éditeur
LAP LAMBERT Academic Publishing
Date d'édition
2012
Langue
anglais
ISBN 10 
3659241199
ISBN 13 
9783659241192
Reliure
Broché
Nombre de pages
124
Coordonnées du fabricant
non disponible
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