ISBN: 9783659241192 - jump diffusion and stochastic volatility models in securities pricing: theory and estimation for various asset classes (9 risultati)

Condizione: New.

Paperback. Condizione: Brand New. 124 pages. 8.50x5.83x0.39 inches. In Stock.

Condizione: Hervorragend. Zustand: Hervorragend | Sprache: Englisch | Produktart: Bücher | 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.…

Taschenbuch. Condizione: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -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. 124 pp. Englisch.…

Taschenbuch. Condizione: Neu. nach der Bestellung gedruckt Neuware - Printed after ordering - 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.…

Condizione: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Autor/Autorin: Ncube MthuliProfessor 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 Mathema.…

Condizione: New. Print on Demand.

Condizione: New. PRINT ON DEMAND.

Taschenbuch. Condizione: Neu. This item is printed on demand - Print on Demand Titel. Neuware -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.VDM Verlag, Dudweiler Landstraße 99, 66123 Saarbrücken 124 pp. Englisch.…