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: 53.98 EUR
Availability: InStock

Theory and Estimation for Various Asset Classes

Автор: Mthuli Ncube, . Sambulo Malumisa

Език:

Корици: С меки корици

Издател: LAP Lambert Academic Publishing

Наличност: Външен склад

Изпращаме след 5-8 дни

53.98 € 105.57 лв

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

Информация за книгата

Автор

Mthuli Ncube, . Sambulo Malumisa

Език

Английски език

Корици

Книга - С меки корици

Издадена

2012

страници

124

EAN

9783659241192

Enbook ID

07025070

Издател

LAP Lambert Academic Publishing

Теглоt

185

Размери

138 x 219 x 8

Пълно описание

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

Информация за книгата

Пълно описание

Може също да ви хареса

Клиенти, които купиха тази книга, купиха също