New PDF release: Financial Modeling Under Non-Gaussian Distributions

By Eric Jondeau

ISBN-10: 1846284198

ISBN-13: 9781846284199

Practitioners and researchers who've dealt with monetary marketplace facts comprehend that asset returns don't behave based on the bell-shaped curve, linked to the Gaussian or common distribution. certainly, using Gaussian types whilst the asset go back distributions will not be general could lead on to a improper number of portfolio, the underestimation of maximum losses or mispriced by-product items. hence, non-Gaussian types and versions in keeping with procedures with jumps, are becoming more popular between monetary industry practitioners.

Non-Gaussian distributions are the foremost topic of this ebook which addresses the reasons and effects of non-normality and time dependency in either asset returns and alternative costs. one of many major goals is to bridge the space among the theoretical advancements and the sensible implementations of what many clients and researchers understand as "sophisticated" types or black packing containers. The booklet is written for non-mathematicians who are looking to version monetary marketplace costs so the emphasis all through is on perform. There are considerable empirical illustrations of the types and methods defined, a lot of that can be both utilized to different monetary time sequence, akin to trade and rates of interest.

The authors have taken care to make the fabric available to someone with a simple wisdom of records, calculus and chance, whereas even as conserving the mathematical rigor and complexity of the unique versions.

This publication could be a necessary reference for practitioners within the finance undefined, in particular these liable for handling portfolios and tracking monetary probability, however it may also be worthy for mathematicians who need to know extra approximately how their mathematical instruments are utilized in finance, and as a textual content for complicated classes in empirical finance; monetary econometrics and fiscal derivatives.

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Financial Modeling Under Non-Gaussian Distributions by Eric Jondeau


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