Financial Modeling Under Non-Gaussian Distributions (Springer Finance)

Jondeau, Eric, Poon, Ser-Huang, Rockinger, Michael

ISBN 10: 1849965994 / ISBN 13: 9781849965996

Edité par Springer, 2010

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N° de réf. du vendeur ERICA77318499659946

Détails bibliographiques

• Titre: Financial Modeling Under Non-Gaussian Distributions (Springer Finance)
• Éditeur: Springer
• Date de parution: 2010
• Langue: anglais
• ISBN à 10 chiffres: 1849965994
• ISBN à 13 chiffres: 9781849965996
• Reliure: Paperback
• État de l'article: Like New
• Type de livre: book

A propos de ce titre

Synopsis

Non-Gaussian distributions are the key theme of this book which addresses the causes and consequences of non-normality and time dependency in both asset returns and option prices. The aim is to bridge the gap between theoretical developments and the practical implementations of what many users and researchers perceive as "sophisticated" models. 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, such as exchange and interest rates. Real applications are tailored for non-mathematicians who want to model financial market prices. The book is specially designed for course use, with the necessary background mathematics provided in appendices.

Revue de presse

"Financial Modeling Under Non-Gaussian Distributions ... is thus very welcome as it provides an accessible and easy-to-understand treatment of a broad range of topics, including core material to more advanced techniques on the subject of capturing non-Gaussian properties in the distributions of asset returns. ... Financial Modeling Under Non-Gaussian Distributions is a very accessible textbook that covers a wide range of topics. ... The authors define their target readers as specialized master and Ph.D. students, as well as financial industry practitioners." --Stephan Suess, Financial Markets and Portfolio Management, Vol. 22, 2008