Financial Models with Levy Processes and Volatility Clustering.
The financial crisis that began in the summer of 2007 has led to criticisms that the financial models used by risk managers, portfolio managers, and even regulators simply do not reflect the realities of today's markets. While one tool cannot be blamed for the entire global financial crisis, im...
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| Online Access: |
Full Text (via ProQuest) |
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| Main Authors: | , , |
| Format: | eBook |
| Language: | English |
| Published: |
Wiley
2011.
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| Series: | Frank J. Fabozzi series.
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| Subjects: |
| Summary: | The financial crisis that began in the summer of 2007 has led to criticisms that the financial models used by risk managers, portfolio managers, and even regulators simply do not reflect the realities of today's markets. While one tool cannot be blamed for the entire global financial crisis, improving the flexibility and statistical reliability of existing models, in addition to developing better models, is essential for both financial practitioners and academics seeking to explain and prevent extreme events. Nobody understands this better than the expert author team of Svetlozar Rachev, Young Shin Kim, Michele Leonardo Bianchi, and Frank Fabozzi, and in Financial Models with Levy Processes and Volatility Clustering, they present a framework for modeling the behavior of stock returns in a univariate and multivariate setting--providing you with practical applications to option pricing and portfolio management. They also explain the reasons for working with non-normal distributions in financial modeling and the best methodologies for employing them. This reliable resource includes detailed discussions of the basics of probability distributions and explains the alpha-stable distribution and the tempered stable distribution. The authors also explore discrete-time option pricing models, beginning with the classical normal model with volatility clustering to more recent models that consider both volatility clustering and heavy tails. Filled with in-depth insights and expert advice, Financial Models with Levy Processes and Volatility Clustering is a thorough guide to both current probability distribution methods and brand new methodologies for financial modeling. --Book Jacket. |
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| Physical Description: | 1 online resource (400 pages) |
| Bibliography: | Includes bibliographical references and index. |
| ISBN: | 9781118268070 1118268075 9780470937167 0470937165 |