Jump Diffusion and Stochastic Volatility Models in Securities Pricing
Language: English
Published by LAP LAMBERT Academic Publishing Okt 2012, 2012
- Softcover
- New
Seller: BuchWeltWeit Ludwig Meier e.K., Bergisch Gladbach, GermanyBuchWeltWeit Ludwig Meier e.K.
AbeBooks seller since January 11, 2012
Condition: New
£ 51.44
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Add to basketItem description from seller
This item is printed on demand - it takes 3-4 days longer - Neuware -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. 124 pp. Englisch.…
Seller Inventory # 9783659241192
- Title
- Jump Diffusion and Stochastic Volatility Models in Securities Pricing
- Author
- Mthuli Ncube
- Publisher
- LAP LAMBERT Academic Publishing Okt 2012
- Publication year
- 2012
- Condition
- Neu
- Binding
- Taschenbuch
- Language
- English
- ISBN 10
- 3659241199
- ISBN 13
- 9783659241192
- Item weight
- 203 grams
- Dimensions
- 220x150x8 mm
"Synopsis" may belong to another edition of this title.
About the Author
"About the title" may belong to another edition of this title.
BuchWeltWeit Ludwig Meier e.K.
Bergisch Gladbach, Germany
AbeBooks seller since January 11, 2012
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