Financial Modeling Under Non-Gaussian Distributions (Springer Finance)

Eric Jondeau

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Lingua: inglese

Editore: Springer London, 2010

1849965994 / 9781849965996

Serie: Libro 25 di 53 - Springer Finance

Da: AHA-BUCH GmbH, Einbeck, GermaniaAHA-BUCH GmbH

Venditore con 5 stelle

Venditore AbeBooks dal 14 agosto 2006

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Descrizione dell’articolo da parte del venditore

Gebraucht - Sehr gut SG - leichte Beschädigungen oder Verschmutzungen, ungelesenes Mängelexemplar, gestempelt - Practitioners and researchers who have handled financial market data know that asset returns do not behave according to the bell-shaped curve, associated with the Gaussian or normal distribution. Indeed, the use of Gaussian models when the asset return distributions are not normal could lead to a wrong choice of portfolio, the underestimation of extreme losses or mispriced derivative products. Consequently, non-Gaussian models and models based on processes with jumps are gaining popularity among financial market practitioners.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. One of the main aims is to bridge the gap between the theoretical developments and the practical implementations of what many users and researchers perceive as 'sophisticated' models or black boxes. The book is written for non-mathematicians who want to model financial market prices so 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. The authors have taken care to make the material accessible to anyone with a basic knowledge of statistics, calculus and probability, while at the same time preserving the mathematical rigor and complexity of the original models. This book will be an essential reference for practitioners in the finance industry, especially those responsible for managing portfolios and monitoring financial risk, but it will also be useful for mathematicians who want to know more about how their mathematical tools are applied in finance, and as a text for advanced courses in empirical finance; financial econometrics and financial derivatives This book examines non-Gaussian distributions. It addresses the causes and consequences of non-normality and time dependency in both asset returns and option prices. The book is written for non-mathematicians who want to model financial market prices so 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. …

Codice articolo INF1000547907

Titolo
Financial Modeling Under Non-Gaussian Distributions (Springer Finance)
Autore
Eric Jondeau
Editore
Springer London
Anno di pubblicazione
2010
Condizione
Sehr gut
Rilegatura
Taschenbuch
Lingua
inglese
ISBN 10
1849965994
ISBN 13
9781849965996
Peso dell'articolo
838 grammi
Dimensioni
235x155x29 mm
Serie
Libro 25 di 53: Springer Finance

AHA-BUCH GmbH

Einbeck, Germania

Venditore con 5 stelle

Venditore AbeBooks dal 14 agosto 2006

Tariffe di spedizione da Germania a U.S.A.

ArticoloDa 7 a 10 giorni lavorativiDa 5 a 7 giorni lavorativi
Primo articoloEUR 35,00EUR 45,00
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