Jump Diffusion and Stochastic Volatility Models in Securities Pricing
Language: English
Published by LAP LAMBERT Academic Publishing Okt 2012, 2012
- Softcover
- New
Seller: buchversandmimpf2000, Emtmannsberg, BAYE, Germanybuchversandmimpf2000
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Condition: New
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Add to basketItem description from seller
This item is printed on demand - Print on Demand Titel. 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.VDM Verlag, Dudweiler Landstraße 99, 66123 Saarbrücken 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
- 220x150x9 mm
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About the Author
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buchversandmimpf2000
Emtmannsberg, BAYE, Germany
AbeBooks seller since January 23, 2017
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