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: 282.0 RON
Availability: InStock

Theory and Estimation for Various Asset Classes

Autor: Mthuli Ncube, . Sambulo Malumisa

Limbă:

Legare: Carte broșată

Editura: LAP Lambert Academic Publishing

Disponibilitate: În depozitul extern

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282.00 lei

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

Informații despre carte

Autor

Mthuli Ncube, . Sambulo Malumisa

Limbă

engleză

Legare

Carte - Carte broșată

Publicat

2012

Pagini

124

EAN

9783659241192

Enbook ID

07025070

Editura

LAP Lambert Academic Publishing

Greutate

185

Dimensiuni

138 x 219 x 8

Descriere completă

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

Informații despre carte

Descriere completă

S-ar putea să te intereseze

Clienții care au cumpărat această carte au mai cumpărat și