Jump Diffusion and Stochastic Volatility Models in Securities Pricing

Name: Jump Diffusion and Stochastic Volatility Models in Securities Pricing
Brand: LAP Lambert Academic Publishing
SKU: 9783659241192
Price: 1162 CZK
Availability: InStock

Theory and Estimation for Various Asset Classes

Autor: Mthuli Ncube, . Sambulo Malumisa

Jazyk:

Vazba: Brožovaná

Vydavatel: LAP Lambert Academic Publishing

Dostupnost: Skladem u dodavatele

Odesíláme za 5-8 dnů

1 162 Kč

The extreme financial markets volatility that the financial crisis unleashed in 2008, continues to c...

Informace o knize

Autor

Mthuli Ncube, . Sambulo Malumisa

Jazyk

Angličtina

Vazba

Kniha - Brožovaná

Vydáno

2012

Stránek

124

EAN

9783659241192

Enbook ID

07025070

Vydavatel

LAP Lambert Academic Publishing

Hmotnost

185

Rozměry

138 x 219 x 8

Kompletní popis

The extreme financial markets volatility that the financial crisis unleashed in 2008, continues to challenge researchers on how best to keep track and model such market movements. This book, entitled "Jump Diffusion and Stochastic Volatility Models in Securities Pricing", seeks to add value to the endeavor of modeling volatility and jumps across various asset classes. The aim is to improve risk management efforts and for more accurate pricing of primary and derivative securities. The book presents jump diffusion and stochastic volatility models for the movements of equities, currencies, interest rates, house prices and temperature. All asset classes demonstrate the presence of jumps and stochastic volatility in the movement of their prices.The jumps conform to the Poisson model while stochastic volatility conforms to a normal and a fat-tailed Garch models. Maximum likelihood methods are used to estimate various parameters in the mixture of distributions.

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Jump Diffusion and Stochastic Volatility Models in Securities Pricing

Theory and Estimation for Various Asset Classes

Informace o knize

Kompletní popis

Mohlo by vás zajímat

Zákaznicí kteří koupili tuto knihu koupili také