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9783642436543

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From the reviews: The book aims to synthesize the present status of the field, but it also represents a subjective snapshot of the current situation, as viewed by the author. It is written in a very concise and elegant way, explaining the notation used as it is required. ... This book is definitely recommended to anyone (practitioners, quants, academics or graduate students) interested in attaining a deeper understanding of the dynamics of prices, as well as the corresponding stylized facts ... . (Omar Rojas, MAA Reviews, January, 2013)

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Gilles Zumbach has worked for several institutions, including banks, hedge funds and service providers, while continuing to engage in research on many topics in finance, including tick-by-tick time series, market risk evaluations and option pricing, as well as long-term forecasts, bond portfolio construction, and real-time optimization of market orders. His primary areas of interest are volatility, ARCH processes and financial applications.  

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