English
Handbook of Financial Econometrics : tools and techniques. Volume 1
Appartenance & droits
AIT-SAHALIA Yacine (Sous la dir.) ; HANSEN Lars (Sous la dir.)
2010
134.96-AITSA
STATISTIQUES FINANCIERES ; ECONOMETRIE ; PROCESSUS STOCHASTIQUE ; PROBABILITES ; ANALYSE DES DONNEES
| N° | Cote | Code barre | Commentaire | |
|---|---|---|---|---|
| 1 | [non empruntable] |
Commentaire :
ISBN 13 : 978-0-444-50897-3
Sommaire : Contributors: Yacine Aït-Sahalia, Lars Peter Hansen, TJosé A.Scheinkman, Torben G. Andersen, Tim Bollerslev, Francis X. Diebold, Federico M. Bandi, Peter C.B. Phillips, Bo Martin Bibby, Martin Jacobsen, Michael Sørensen, Stephanie E. Curcuru, John Heaton, Deborah Lucas, Damien Moore, Robert F. Engle, Jeffrey R. Russell, A. Ronald Gallant, George Tauchen, René Garcia, Eric Ghysels, Eric Renault, Christian Gourieroux, Joann Jasiak, Martin Lettau, Sidney C. Ludvigson, Monika Piazzesi, Michael W. Brandt.
Contents
1. Operator Methods for Continuous-Time Markov Processes
2. Parametric and Nonparametric Volatility Measurement
3. Nonstationary Continuous-Time Processes
4. Estimating Functions for Discretely Sampled Diffusion-Type Models
5. Portfolio Choice Problems
6. Heterogeneity and Portfolio Choice: Theory and Evidence
7. Analysis of High Frequency Data
8. Simulated Score Methods and Indirect Inference for Continuous-time Models
9. The Econometrics of Option Pricing
10. Value at Risk
11. Measuring and Modeling Variation in the Risk-Return Trade-off
12. Affine Term Structure Models
Langue : Anglais
Collection : HANDBOOKS IN FINANCE
Localisation : Bibliothèque Campus de Nice
Support : Papier
Etat : Présent
Propriétaire : Bibliothèque
Contient
-
[Chapitre]
The econometrics of option pricing
/ GARCIA René ; GHYSELS Eric ; RENAULT Eric.
2010. - 479-552