Financial Models with Levy Processes and Volatility Clustering Ed. 1 / Svetlozar T. RACHEV / John Wiley & Sons (2011)  

Titre : Financial Models with Levy Processes and Volatility Clustering Ed. 1 Type de document : e-book Auteurs : Svetlozar T. RACHEV Editeur : John Wiley & Sons Année de publication : 2011 ISBN/ISSN/EAN : 9780470482353 Note générale : copyrighted Langues : Anglais (eng) Résumé : An in-depth guide to understanding probability distributions and financial modeling for the purposes of investment management In Financial Models with Lévy Processes and Volatility Clustering, the expert author team provides a framework to model the behavior of stock returns in both a univariate and a multivariate setting, providing you with practical applications to option pricing and portfolio management. They also explain the reasons for working with non-normal distribution in financial modeling and the best methodologies for employing it. The book's framework includes the basics of probability distributions and explains the alpha-stable distribution and the tempered stable distribution. The authors also explore discrete time option pricing models, beginning with the classical normal model with volatility clustering to more recent models that consider both volatility clustering and heavy tails. Reviews the basics of probability distributions Analyzes a continuous time option pricing model (the so-called exponential Lévy model) Defines a discrete time model with volatility clustering and how to price options using Monte Carlo methods Studies two multivariate settings that are suitable to explain joint extreme events Financial Models with Lévy Processes and Volatility Clustering is a thorough guide to classical probability distribution methods and brand new methodologies for financial modeling. Nombre d'accès : Illimité En ligne : https://neoma-bs.idm.oclc.org/login?url=https://www.scholarvox.com/book/88944749 Permalink : https://cataloguelibrary.neoma-bs.fr/index.php?lvl=notice_display&id=578407

Advanced Stochastic Models, Risk Assessment, and Portfolio Optimization : The Ideal Risk, Uncertainty, and Performance Measures Ed. 1 / Svetlozar T. RACHEV / John Wiley & Sons (2008)  

Titre : Advanced Stochastic Models, Risk Assessment, and Portfolio Optimization : The Ideal Risk, Uncertainty, and Performance Measures Ed. 1 Type de document : e-book Auteurs : Svetlozar T. RACHEV Editeur : John Wiley & Sons Année de publication : 2008 ISBN/ISSN/EAN : 9780470053164 Note générale : copyrighted Langues : Anglais (eng) Résumé : This groundbreaking book extends traditional approaches of risk measurement and portfolio optimization by combining distributional models with risk or performance measures into one framework. Throughout these pages, the expert authors explain the fundamentals of probability metrics, outline new approaches to portfolio optimization, and discuss a variety of essential risk measures. Using numerous examples, they illustrate a range of applications to optimal portfolio choice and risk theory, as well as applications to the area of computational finance that may be useful to financial engineers. Nombre d'accès : Illimité En ligne : https://neoma-bs.idm.oclc.org/login?url=https://www.scholarvox.com/book/88944650 Permalink : https://cataloguelibrary.neoma-bs.fr/index.php?lvl=notice_display&id=578335

Bayesian Methods in Finance Ed. 1 / Svetlozar T. RACHEV / John Wiley & Sons (2008)  

Titre : Bayesian Methods in Finance Ed. 1 Type de document : e-book Auteurs : Svetlozar T. RACHEV Editeur : John Wiley & Sons Année de publication : 2008 ISBN/ISSN/EAN : 9780471920830 Note générale : copyrighted Langues : Anglais (eng) Résumé : Bayesian Methods in Finance provides a detailed overview of the theory of Bayesian methods and explains their real-world applications to financial modeling. While the principles and concepts explained throughout the book can be used in financial modeling and decision making in general, the authors focus on portfolio management and market risk management?since these are the areas in finance where Bayesian methods have had the greatest penetration to date. Nombre d'accès : Illimité En ligne : https://neoma-bs.idm.oclc.org/login?url=https://www.scholarvox.com/book/88944042 Permalink : https://cataloguelibrary.neoma-bs.fr/index.php?lvl=notice_display&id=577890

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• Bayesian methods in finance / John Wiley & Sons (2008)

Financial Econometrics : From Basics to Advanced Modeling Techniques Ed. 1 / Svetlozar T. RACHEV / John Wiley & Sons (2007)  

Titre : Financial Econometrics : From Basics to Advanced Modeling Techniques Ed. 1 Type de document : e-book Auteurs : Svetlozar T. RACHEV Editeur : John Wiley & Sons Année de publication : 2007 ISBN/ISSN/EAN : 9780471784500 Note générale : copyrighted Langues : Anglais (eng) Résumé : A comprehensive guide to financial econometrics Financial econometrics is a quest for models that describe financial time series such as prices, returns, interest rates, and exchange rates. In Financial Econometrics, readers will be introduced to this growing discipline and the concepts and theories associated with it, including background material on probability theory and statistics. The experienced author team uses real-world data where possible and brings in the results of published research provided by investment banking firms and journals. Financial Econometrics clearly explains the techniques presented and provides illustrative examples for the topics discussed. Svetlozar T. Rachev, PhD (Karlsruhe, Germany) is currently Chair-Professor at the University of Karlsruhe. Stefan Mittnik, PhD (Munich, Germany) is Professor of Financial Econometrics at the University of Munich. Frank J. Fabozzi, PhD, CFA, CFP (New Hope, PA) is an adjunct professor of Finance at Yale University's School of Management. Sergio M. Focardi (Paris, France) is a founding partner of the Paris-based consulting firm The Intertek Group. Teo Jasic, PhD, (Frankfurt, Germany) is a senior manager with a leading international management consultancy firm in Frankfurt. Nombre d'accès : Illimité En ligne : https://neoma-bs.idm.oclc.org/login?url=https://www.scholarvox.com/book/88944625 Permalink : https://cataloguelibrary.neoma-bs.fr/index.php?lvl=notice_display&id=578315

Fat-Tailed and Skewed Asset Return Distributions : Implications for Risk Management, Portfolio Selection, and Option Pricing Ed. 1 / Svetlozar T. RACHEV / John Wiley & Sons (2005)  

Titre : Fat-Tailed and Skewed Asset Return Distributions : Implications for Risk Management, Portfolio Selection, and Option Pricing Ed. 1 Type de document : e-book Auteurs : Svetlozar T. RACHEV Editeur : John Wiley & Sons Année de publication : 2005 ISBN/ISSN/EAN : 9780471718864 Note générale : copyrighted Langues : Anglais (eng) Résumé : While mainstream financial theories and applications assume that asset returns are normally distributed, overwhelming empirical evidence shows otherwise. Yet many professionals don't appreciate the highly statistical models that take this empirical evidence into consideration. Fat-Tailed and Skewed Asset Return Distributions examines this dilemma and offers readers a less technical look at how portfolio selection, risk management, and option pricing modeling should and can be undertaken when the assumption of a non-normal distribution for asset returns is violated. Topics covered in this comprehensive book include an extensive discussion of probability distributions, estimating probability distributions, portfolio selection, alternative risk measures, and much more. Fat-Tailed and Skewed Asset Return Distributions provides a bridge between the highly technical theory of statistical distributional analysis, stochastic processes, and econometrics of financial returns and real-world risk management and investments. Nombre d'accès : Illimité En ligne : https://neoma-bs.idm.oclc.org/login?url=https://www.scholarvox.com/book/88944108 Permalink : https://cataloguelibrary.neoma-bs.fr/index.php?lvl=notice_display&id=577939