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Springer Finance

Financial Modeling Under Non-Gaussian Distributions

Authors: Jondeau, Eric, Poon, Ser-Huang, Rockinger, Michael

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  • ISBN 978-1-84628-696-4
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Hardcover $119.99
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  • ISBN 978-1-84628-419-9
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Softcover $109.99
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  • ISBN 978-1-84996-599-6
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
About this book

Practitioners and researchers who have handled financial market data know that asset returns do not behave according to the bell-shaped curve, associated with the Gaussian or normal distribution. Indeed, the use of Gaussian models when the asset return distributions are not normal could lead to a wrong choice of portfolio, the underestimation of extreme losses or mispriced derivative products. Consequently, non-Gaussian models and models based on processes with jumps are gaining popularity among financial market practitioners.

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. One of the main aims is to bridge the gap between the theoretical developments and the practical implementations of what many users and researchers perceive as "sophisticated" models or black boxes. The book is written for non-mathematicians who want to model financial market prices so 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. The authors have taken care to make the material accessible to anyone with a basic knowledge of statistics, calculus and probability, while at the same time preserving the mathematical rigor and complexity of the original models.

This book will be an essential reference for practitioners in the finance industry, especially those responsible for managing portfolios and monitoring financial risk, but it will also be useful for mathematicians who want to know more about how their mathematical tools are applied in finance, and as a text for advanced courses in empirical finance; financial econometrics and financial derivatives

Reviews

From the reviews:

"Financial Modeling Under Non-Gaussian Distributions … is thus very welcome as it provides an accessible and easy-to-understand treatment of a broad range of topics, including core material to more advanced techniques on the subject of capturing non-Gaussian properties in the distributions of asset returns. … Financial Modeling Under Non-Gaussian Distributions is a very accessible textbook that covers a wide range of topics. … The authors define their target readers as specialized master and Ph.D. students, as well as financial industry practitioners." (Stephan Suess, Financial Markets and Portfolio Management, Vol. 22, 2008)

"This book is written for non-mathematicians who want to model financial market prices. ... It targets practioners in the financial industry. It is suitable for use as core text for students in empirical finance, financial econometrics and financial derivatives. It is useful for mathematician who want to know more about their mathematical tools are applied in finance." (Klaus Ehemann, Zentralblatt MATH, Vol. 1138 (16), 2008)


Table of contents (17 chapters)

Table of contents (17 chapters)
  • Introduction

    Pages 3-6

  • Statistical Properties of Financial Market Data

    Pages 7-32

  • Functioning of Financial Markets and Theoretical Models for Returns

    Pages 33-76

  • Modeling Volatility

    Pages 79-142

  • Modeling Higher Moments

    Pages 143-193

Buy this book

eBook $84.99
price for USA in USD (gross)
  • ISBN 978-1-84628-696-4
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $119.99
price for USA in USD
  • ISBN 978-1-84628-419-9
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Softcover $109.99
price for USA in USD
  • ISBN 978-1-84996-599-6
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
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Bibliographic Information

Bibliographic Information
Book Title
Financial Modeling Under Non-Gaussian Distributions
Authors
Series Title
Springer Finance
Copyright
2007
Publisher
Springer-Verlag London
Copyright Holder
Springer-Verlag London
eBook ISBN
978-1-84628-696-4
DOI
10.1007/978-1-84628-696-4
Hardcover ISBN
978-1-84628-419-9
Softcover ISBN
978-1-84996-599-6
Series ISSN
1616-0533
Edition Number
1
Number of Pages
XVIII, 541
Topics