Financial Models with Levy Processes and Volatility Clustering
FINANCIAL MODELS WITH LéVY PROCESSES AND VOLATILITY CLUSTERING The failure of financial models has been identified by some market observers as a major contributor to the global financial crisis. More specifically, it's been argued that the underlying assumption made in most of these models-that distributions of prices and returns are normally distributed-have been responsible for their undoing. Financial crises and black swan events may not be precisely predictable by models, but improving the reliability and flexibility of those models is essential for both financial practitioners and academics intent on limiting the impact of major market c…
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Produktdetails
Weitere Autoren: Rachev, Svetlozar T. / Bianchi, Michele L. / Kim, Young Shin
- ISBN: 978-0-470-93726-6
- EAN: 9780470937266
- Produktnummer: 13921254
- Verlag: Wiley
- Sprache: Englisch
- Erscheinungsjahr: 2011
- Seitenangabe: 416 S.
- Plattform: EPUB
- Masse: 6'028 KB
Über den Autor
SVETLOZAR T. RACHEV is Chair-Professor in Statistics, Econometrics, and Mathematical Finance at the Karlsruhe Institute of Technology (KIT) in the School of Economics and Business Engineering; Professor Emeritus at the University of California, Santa Barbara; and Chief Scientist at FinAnalytica Inc. YOUNG SHIN KIM is a scientific assistant in the Department of Statistics, Econometrics, and Mathematical Finance at the Karlsruhe Institute of Technology (KIT). MICHELE Leonardo BIANCHI is an analyst in the Division of Risk and Financial Innovation Analysis at the Specialized Intermediaries Supervision Department of the Bank of Italy. FRANK J. FABOZZI is Professor in the Practice of Finance and Becton Fellow at the Yale School of Management and Editor of the Journal of PortfolioManagement. He is an Affiliated Professor at the University of Karlsruhe's Institute of Statistics, Econometrics, and Mathematical Finance and serves on the Advisory Council for the Department of Operations Research and Financial Engineering at Princeton University.
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