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eISBN : 978-1400839254

Sommaire : Preface

Chapter 1. Introduction

Part 1. Foundations

Chapter 2. Prices and Returns
Chapter 3. Stochastic Processes: Definitions and Examples
Chapter 4. Stylized Facts for Financial Returns

Part 2. Conditional Expected Returns

Chapter 5. The Variance-Ratio Test of the Random Walk Hypothesis
Chapter 6. Further Tests of the Random Walk Hypothesis
Chapter 7. Trading Rules and Market Efficiency

Part 3. Volatility Processes

Chapter 8. An Introduction to Volatility
Chapter 9. ARCH Models: Definitions and Examples
Chapter 10. ARCH Models: Selection and Likelihood Methods
Chapter 11. Stochastic Volatility Models

Part 4. High-Frequency Methods

Chapter 12. High-Frequency Data and Models

Part 5. Inferences from Option Prices

Chapter 13. Continuous-Time Stochastic Processes
Chapter 14. Option Pricing Formulae
Chapter 15. Forecasting Volatility
Chapter 16. Density Prediction for Asset Prices

Langue : Anglais

Edition : Illustrated edition

Localisation : Bibliothèque Campus de Nice

Support : Numérique

Etat : Présent

Propriétaire : Bibliothèque