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Full Product Details

Author:   Eric Jondeau ,  Ser-Huang Poon ,  Michael Rockinger
Publisher:   Springer London Ltd
Imprint:   Springer London Ltd
Edition:   Softcover reprint of hardcover 1st ed. 2007
Dimensions:   Width: 15.50cm , Height: 2.80cm , Length: 23.50cm
Weight:   0.848kg
ISBN:  

9781849965996

ISBN 10:   1849965994
Pages:   541
Publication Date:   21 October 2010
Audience:   Professional and scholarly ,  Professional & Vocational
Format:   Paperback
Publisher's Status:   Active
Availability:   Out of print, replaced by POD  
We will order this item for you from a manufatured on demand supplier.

Table of Contents

Financial Markets and Financial Time Series.- Statistical Properties of Financial Market Data.- Functioning of Financial Markets and Theoretical Models for Returns.- Econometric Modeling of Asset Returns.- Modeling Volatility.- Modeling Higher Moments.- Modeling Correlation.- Extreme Value Theory.- Applications of Non-Gaussian Econometrics.- Risk Management and VaR.- Portfolio Allocation.- Option Pricing with Non-Gaussian Returns.- Fundamentals of Option Pricing.- Non-structural Option Pricing.- Structural Option Pricing.- Appendices on Option Pricing Mathematics.- Brownian Motion and Stochastic Calculus.- Martingale and Changing Measure.- Characteristic Functions and Fourier Transforms.- Jump Processes.- Lévy Processes.

Reviews

From the reviews: ""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) ""This book is written for non-mathematicians who want to model financial market prices. ... It targets practioners in the financial industry. It is suitable for use as core text for students in empirical finance, financial econometrics and financial derivatives. It is useful for mathematician who want to know more about their mathematical tools are applied in finance."" (Klaus Ehemann, Zentralblatt MATH, Vol. 1138 (16), 2008)

From the reviews: 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) This book is written for non-mathematicians who want to model financial market prices. ... It targets practioners in the financial industry. It is suitable for use as core text for students in empirical finance, financial econometrics and financial derivatives. It is useful for mathematician who want to know more about their mathematical tools are applied in finance. (Klaus Ehemann, Zentralblatt MATH, Vol. 1138 (16), 2008)

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