Calibration Multivariate Generalized Hyperbolic by Wenbo (3 results)

Taschenbuch. Condition: Neu. Calibration of Multivariate Generalized Hyperbolic Distributions | Applications in Risk Management, Portfolio optimization, and Portfolio Credit Risk | Wenbo Hu | Taschenbuch | Englisch | VDM Verlag Dr. Müller | EAN 9783639123609 | Verantwortliche Person für die EU: preigu GmbH & Co. KG, Lengericher Landstr. 19, 49078 Osnabrück, mail[at]preigu[dot]de | Anbieter: preigu. …

Taschenbuch. Condition: Neu. nach der Bestellung gedruckt Neuware - Printed after ordering - The distributions of many financial quantities arewell-known to have heavy tails, exhibit skewness. We study an especially promising family: multivariate generalized hyperbolic distributions(GH). This family includes Gaussian and Student t distributions, and the so-called skewed t distributions. We describe a way to stably calibrate GH distributions for a wider range ofparameters than has previously been reported. We apply GH distributions in three financialapplications. First, we forecast the VaR for stockindex returns, and show that the GH distributionsoutperform the Gaussian distribution. Second, wecalculate an efficient frontier for equity portfoliooptimization under the skewed-t distribution and weshow that the Gaussian efficient frontier is actuallyunreachable. Third, we build an intensity-based modelto price Basket Credit Default Swaps by calibratingthe skewed t distribution directly, without the needto separately calibrate the skewed t copula.This book is useful to academic research of GHdistributions for both theory and calibration. It isalso useful to quantitative finance analysts andnumeric algorithm developers.…

Paperback. Condition: Brand New. 116 pages. 8.66x5.91x0.28 inches. In Stock. This item is printed on demand.