TY  - BOOK
AU  - Rachev,S.T.
AU  - Kim, Young Shin
AU  - Bianchi,Michele Leonardo
AU  - Fabozzi,Frank J.
TI  - Financial models with Lévy processes and volatility clustering
T2  - The Frank J. Fabozzi series
SN  - 9780470482353 (cloth)
AV  - HG4637 .F56 2011
PY  - 2011///
CY  - Hoboken, NJ
PB  - Wiley
KW  - Capital assets pricing model
KW  - Lévy processes
KW  - Finance
KW  - Mathematical models
KW  - Probabilities
KW  - Electronic books
N1  - Includes bibliography at the end of all the chapters and includes index at the very end of the book; Chapter 1: Introduction -- Chapter 2: Probability Distributions -- Chapter 3: Stable and Tempered Stable Distributions -- Chapter 4: Stochastic Processes in Continuous Time -- Chapter 5: Conditional Expectation and Change of Measure -- Chapter 6: Exponential Lévy Models -- Chapter 7: Option Pricing in Exponential Lévy Models -- Chapter 8: Simulation -- Chapter 9: Multi-Tail t-Distribution -- Chapter 10: Non-Gaussian Portfolio Allocation -- Chapter 11: Normal GARCH Models -- Chapter 12: Smoothly Truncated Stable GARCH Models -- Chapter 13: Infinitely Divisible GARCH Models -- Chapter 14: Option Pricing with Monte Carlo Methods
UR  - https://search.ebscohost.com/login.aspx?direct=true&db=nlebk&AN=356217
ER  -