Financial Modeling Under Non-Gaussian Distributions by Eric Jondeau

Financial Modeling Under Non-Gaussian Distributions by Eric Jondeau

Non-Gaussian distributions are the key theme of this book which addresses the causes and consequences of non-normality and time dependency in both asset returns and option prices. The aim is to bridge the gap between theoretical developments and the practical implementations of what many users and researchers perceive as "sophisticated" models. The emphasis throughout is on practice: there are abundant empirical illustrations of the models and techniques described, many of which could be equally applied to other financial time series, such as exchange and interest rates. This book will be an essential reference for practitioners in the finance industry, especially those responsible for managing portfolios and monitoring financial risk, but it will also be useful for mathematicians who want to know more about how their mathematical tools are applied in finance, and as a text for advanced courses in empirical finance; financial econometrics and financial derivatives.

From the reviews:

"Financial Modeling Under Non-Gaussian Distributions … is thus very welcome as it provides an accessible and easy-to-understand treatment of a broad range of topics, including core material to more advanced techniques on the subject of capturing non-Gaussian properties in the distributions of asset returns… Financial Modeling Under Non-Gaussian Distributions is a very accessible textbook that covers a wide range of topics. … The authors define their target readers as specialized master and Ph.D. students, as well as financial industry practitioners." (Stephan Suess, Financial Markets and Portfolio Management, Vol. 22, 2008)

"This book is written for non-mathematicians who want to model financial market prices. ... It targets practioners in the financial industry. It is suitable for use as core text for students in empirical finance, financial econometrics and financial derivatives. It is useful for mathematician who want to know more about their mathematical tools are applied in finance." (Klaus Ehemann, Zentralblatt MATH, Vol. 1138 (16), 2008)

SKU	Non disponible
ISBN 13	9781846284199
ISBN 10	1846284198
Titre	Financial Modeling Under Non-Gaussian Distributions
Auteur	Eric Jondeau
Série	Springer Finance
État	Non disponible
Type de reliure	Hardback
Éditeur	Springer London Ltd
Année de publication	2006-11-23
Nombre de pages	541
Note de couverture	La photo du livre est présentée à titre d'illustration uniquement. La reliure, la couverture ou l'édition réelle peuvent varier.
Note	Non disponible