Lien ebook : http://ezproxy.univ-catholille.fr/login?url=https://www.vleb...

eISBN : 978-1846286964

Sommaire : Part 1. Financial Markets and Financial Time Series.
Introduction.
Statistical Properties of Financial Market Data.
Functioning of Financial Markets and Theoretical Models for Returns.

Part 2. Econometric Modeling of Asset Returns.
Modeling Volatility.
Modeling Higher Moments.
Modeling Correlation.
Extreme Value Theory.

Part 3. Applications of Non-Gaussian Econometrics.
Risk Management and VaR.
Portfolio Allocation.

Part 4. Option Pricing with Non-Gaussian Returns.
Fundamentals of Option Pricing.
Non-Structural Option Pricing.
Structural Option Pricing.

Part 5. Appendices on Option Pricing Mathematics.
Brownian Motion and Stochastic Calculus.
Martingale and Changing Measure.
Characteristic Functions and Fourier Transforms.
Jump Processes.

References.
Index.

Langue : Anglais

Collection : SPRINGER FINANCE

Localisation : Bibliothèque Campus de Nice

Support : Numérique

Etat : Présent

Propriétaire : Bibliothèque