Financial models with Lévy processes and volatility clustering / Svetlozar T. Rachev, Young Shin Kim, Michele Leonardo Bianchi [and] Frank J. Fabozzi ,
Material type: TextLanguage: İngilizce Series: The Frank J. Fabozzi seriesPublisher: Hoboken, NJ : Wiley, 2011Copyright date: ©2011Description: 1 online resource (xx, 394 pages)Content type:- text
- computer
- online resource
- 9780470482353 (cloth)
- 9780470937167 (ebook)
- 9780470937266 (ebook)
- 9781118006702 (ebook)
- HG4637 .F56 2011
Item type | Current library | Home library | Collection | Call number | Status | Notes | Date due | Barcode | |
---|---|---|---|---|---|---|---|---|---|
E-Book | Merkez Kütüphane | Merkez Kütüphane | E-Kitap Koleksiyonu | HG4637 .F56 2011EBK (Browse shelf(Opens below)) | Geçerli değil-e-Kitap / Not applicable-e-Book | İŞL | EBK01090 |
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
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