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Financial Modeling Under Non-Gaussian Distributions
Hardcover
Series: Springer Finance
Business GeneralInvesting & FinanceGeneral Mathematics
ISBN13: 9781846284199
Publisher: Springer Nature
Published: Nov 23 2006
Pages: 541
Weight: 1.93
Height: 1.13 Width: 6.45 Depth: 9.41
Language: English
Non-Gaussian distributions are the key theme of this book which addresses the causes and consequences of non-normality and time dependency in both asset returns and option prices. The aim is to bridge the gap between theoretical developments and the practical implementations of what many users and researchers perceive as sophisticated models. The emphasis throughout is on practice; there are abundant empirical illustrations of the models and techniques described, many of which could be equally applied to other financial time series, such as exchange and interest rates. Real applications are tailored for non-mathematicians who want to model financial market prices. The book is specially designed for course use, with the necessary background mathematics provided in appendices.
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