Commentaire :

ISBN 13 : 978-981-3274-91-4

Sommaire :
Part I Preliminaries
Chapter 1: Introduction
Chapter 2: Random Variables
Chapter 3: Stochastic Processes with Jumps

Part II Theory and Methodology
Chapter 4: The Generalized Hyperbolic Distribution
Chapter 5: The Class of Stable Distributions
Chapter 6: Tempered Stable Distributions
Chapter 7: Multivariate Time-Changed Brownian Motion
Chapter 8: Multivariate Time-Changed Brownian Motion: The Expectation–Maximization Estimation Method
Chapter 9: Extreme Value Theory

Part III Applications
Chapter 10: A Portfolio Selection Analysis with Non-Gaussian Models
Chapter 11: Implied Volatility Smile with Non-Gaussian Processes
Chapter 12: Application of Extreme Value Theory to Estimate Tail Thickness for Asset Return Distributions

Nbre volumes : 0

Langue : Anglais

Collection : WORLD SCIENTIFIC HANDBOOK IN FINANCIAL ECONOMICS SERIES

N° de collect° : Volume 7

Illustration(s) : Schémas

Localisation : Bibliothèque Campus de Nice

Support : Papier

Etat : Présent

Professeur EDHEC : Oui

Propriétaire : Bibliothèque