Download or read book Financial Modeling Under Non Gaussian Distributions written by Eric Jondeau and published by Springer Science & Business Media. This book was released on 2007-04-05 with total page 541 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book examines non-Gaussian distributions. It addresses the causes and consequences of non-normality and time dependency in both asset returns and option prices. 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.

Download or read book Financial Models with Levy Processes and Volatility Clustering written by Svetlozar T. Rachev and published by John Wiley & Sons. This book was released on 2011-02-08 with total page 316 pages. Available in PDF, EPUB and Kindle. Book excerpt: An in-depth guide to understanding probability distributions and financial modeling for the purposes of investment management In Financial Models with Lévy Processes and Volatility Clustering, the expert author team provides a framework to model the behavior of stock returns in both a univariate and a multivariate setting, providing you with practical applications to option pricing and portfolio management. They also explain the reasons for working with non-normal distribution in financial modeling and the best methodologies for employing it. The book's framework includes 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. Reviews the basics of probability distributions Analyzes a continuous time option pricing model (the so-called exponential Lévy model) Defines a discrete time model with volatility clustering and how to price options using Monte Carlo methods Studies two multivariate settings that are suitable to explain joint extreme events Financial Models with Lévy Processes and Volatility Clustering is a thorough guide to classical probability distribution methods and brand new methodologies for financial modeling.

Download or read book VaR Methodology for Non Gaussian Finance written by Marine Habart-Corlosquet and published by John Wiley & Sons. This book was released on 2013-05-06 with total page 176 pages. Available in PDF, EPUB and Kindle. Book excerpt: With the impact of the recent financial crises, more attention must be given to new models in finance rejecting “Black-Scholes-Samuelson” assumptions leading to what is called non-Gaussian finance. With the growing importance of Solvency II, Basel II and III regulatory rules for insurance companies and banks, value at risk (VaR) – one of the most popular risk indicator techniques plays a fundamental role in defining appropriate levels of equities. The aim of this book is to show how new VaR techniques can be built more appropriately for a crisis situation. VaR methodology for non-Gaussian finance looks at the importance of VaR in standard international rules for banks and insurance companies; gives the first non-Gaussian extensions of VaR and applies several basic statistical theories to extend classical results of VaR techniques such as the NP approximation, the Cornish-Fisher approximation, extreme and a Pareto distribution. Several non-Gaussian models using Copula methodology, Lévy processes along with particular attention to models with jumps such as the Merton model are presented; as are the consideration of time homogeneous and non-homogeneous Markov and semi-Markov processes and for each of these models. Contents 1. Use of Value-at-Risk (VaR) Techniques for Solvency II, Basel II and III. 2. Classical Value-at-Risk (VaR) Methods. 3. VaR Extensions from Gaussian Finance to Non-Gaussian Finance. 4. New VaR Methods of Non-Gaussian Finance. 5. Non-Gaussian Finance: Semi-Markov Models.

Download or read book A Non Gaussian Pricing Model for Structured Products written by Denis Zuev and published by . This book was released on 2018 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt: The paper aims to reconstruct the empirical premia of the structured products with two underlying assets. We apply various models that differ in probability distributions of the underlying price processes.Pricing techniques, currently worldwide accepted, are based on the Black-Scholes model modifications with Gaussian distributions. Conventionally a correlation between underlying price processes is not considered. In order to achieve the overall objective the paper suggests a pricing model of structured products. The model considers a non-Gaussian realistic market framework for pricing the underlying assets and takes into account their correlation.The theoretical and methodological basis of our research is quantitative finance, evolutionary equations, dynamical systems and field theory.The paper presents an example of pricing a range of structured products.We find that the approach to the theoretical premium valuation of the complex financial instrument is interrelated bijectively with statistical properties of the underlying assets. In particular, the paper presents the effectiveness of our model with regard to the structured derivatives with the correlated assets that obey non-Gaussian distributions. The fair value of the structured product evaluated using our model outperforms estimates obtained by means of other methods as it allows lower fair price of the derivatives.The results of our research may be beneficial to academics, market participants including market analysts, risk-managers and developers of financial products.We have concluded that market participants carry extra costs due to the simple models of the structured products' fair value pricing they apply.The proposed model looks especially promising within the context of the complex derivatives market which growth has been accompanied by low liquidity and high premia, in the absence of a unique framework for pricing the structured products that would be consistent with financial market practice.

Download or read book Decision Making with Quantitative Financial Market Data written by Alain Ruttiens and published by Springer Nature. This book was released on 2021-03-01 with total page 69 pages. Available in PDF, EPUB and Kindle. Book excerpt: Use of quantitative data, especially in financial markets, may provide rapid results due to the ease-of-use and availability of fast computational software, but this book advises caution and helps to understand and avoid potential pitfalls. It deals with often underestimated issues related to the use of financial quantitative data, such as non-stationarity issues, accuracy issues and modeling issues. It provides practical remedies or ways to develop new calculation methodologies to avoid pitfalls in using data, as well as solutions for risk management issues in financial market. The book is intended to help professionals in financial industry to use quantitative data in a safer way.

Download or read book Handbook of Heavy Tailed Distributions in Finance written by S.T Rachev and published by Elsevier. This book was released on 2003-03-05 with total page 707 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Handbooks in Finance are intended to be a definitive source for comprehensive and accessible information in the field of finance. Each individual volume in the series should present an accurate self-contained survey of a sub-field of finance, suitable for use by finance and economics professors and lecturers, professional researchers, graduate students and as a teaching supplement. The goal is to have a broad group of outstanding volumes in various areas of finance. The Handbook of Heavy Tailed Distributions in Finance is the first handbook to be published in this series. This volume presents current research focusing on heavy tailed distributions in finance. The contributions cover methodological issues, i.e., probabilistic, statistical and econometric modelling under non- Gaussian assumptions, as well as the applications of the stable and other non -Gaussian models in finance and risk management.

Download or read book Option Pricing and Estimation of Financial Models with R written by Stefano M. Iacus and published by John Wiley & Sons. This book was released on 2011-02-23 with total page 402 pages. Available in PDF, EPUB and Kindle. Book excerpt: Presents inference and simulation of stochastic process in the field of model calibration for financial times series modelled by continuous time processes and numerical option pricing. Introduces the bases of probability theory and goes on to explain how to model financial times series with continuous models, how to calibrate them from discrete data and further covers option pricing with one or more underlying assets based on these models. Analysis and implementation of models goes beyond the standard Black and Scholes framework and includes Markov switching models, Lévy models and other models with jumps (e.g. the telegraph process); Topics other than option pricing include: volatility and covariation estimation, change point analysis, asymptotic expansion and classification of financial time series from a statistical viewpoint. The book features problems with solutions and examples. All the examples and R code are available as an additional R package, therefore all the examples can be reproduced.

Download or read book Parameter Estimation in Stochastic Volatility Models written by Jaya P. N. Bishwal and published by Springer Nature. This book was released on 2022-08-06 with total page 634 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book develops alternative methods to estimate the unknown parameters in stochastic volatility models, offering a new approach to test model accuracy. While there is ample research to document stochastic differential equation models driven by Brownian motion based on discrete observations of the underlying diffusion process, these traditional methods often fail to estimate the unknown parameters in the unobserved volatility processes. This text studies the second order rate of weak convergence to normality to obtain refined inference results like confidence interval, as well as nontraditional continuous time stochastic volatility models driven by fractional Levy processes. By incorporating jumps and long memory into the volatility process, these new methods will help better predict option pricing and stock market crash risk. Some simulation algorithms for numerical experiments are provided.

Download or read book Advanced Modelling in Mathematical Finance written by Jan Kallsen and published by Springer. This book was released on 2016-12-01 with total page 508 pages. Available in PDF, EPUB and Kindle. Book excerpt: This Festschrift resulted from a workshop on “Advanced Modelling in Mathematical Finance” held in honour of Ernst Eberlein’s 70th birthday, from 20 to 22 May 2015 in Kiel, Germany. It includes contributions by several invited speakers at the workshop, including several of Ernst Eberlein’s long-standing collaborators and former students. Advanced mathematical techniques play an ever-increasing role in modern quantitative finance. Written by leading experts from academia and financial practice, this book offers state-of-the-art papers on the application of jump processes in mathematical finance, on term-structure modelling, and on statistical aspects of financial modelling. It is aimed at graduate students and researchers interested in mathematical finance, as well as practitioners wishing to learn about the latest developments.

Download or read book Martingale Methods in Financial Modelling written by Marek Musiela and published by Springer Science & Business Media. This book was released on 2013-06-29 with total page 521 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive and self-contained treatment of the theory and practice of option pricing. The role of martingale methods in financial modeling is exposed. The emphasis is on using arbitrage-free models already accepted by the market as well as on building the new ones. Standard calls and puts together with numerous examples of exotic options such as barriers and quantos, for example on stocks, indices, currencies and interest rates are analysed. The importance of choosing a convenient numeraire in price calculations is explained. Mathematical and financial language is used so as to bring mathematicians closer to practical problems of finance and presenting to the industry useful maths tools.

Download or read book Engineering Investment Process written by Florian Ielpo and published by Elsevier. This book was released on 2017-03-22 with total page 432 pages. Available in PDF, EPUB and Kindle. Book excerpt: Engineering Investment Process: Making Value Creation Repeatable explores the quantitative steps of a financial investment process. The authors study how these steps are articulated in order to make any value creation, whatever the asset class, consistent and robust. The discussion includes factors, portfolio allocation, statistical and economic backtesting, but also the influence of negative rates, dynamical trading, state-space models, stylized facts, liquidity issues, or data biases. Besides the quantitative concepts detailed here, the reader will find useful references to other works to develop an in-depth understanding of an investment process. Blends academic research with practical experience from quants, fund managers, and economists Puts financial mathematics and econometrics in their rightful place Presents useful information that will increase the reader's understanding of markets Clearly provides both the global framework, the investment process, and the useful econometric and financial tools that help in its construction Includes efficient tools taken from up-to-date econometric and financial techniques

Download or read book Consequences of the European Monetary Integration on Financial Systems written by Stanislav Polouček and published by Cambridge Scholars Publishing. This book was released on 2009-01-23 with total page 295 pages. Available in PDF, EPUB and Kindle. Book excerpt: The volume consists of twelve chapters that represent updated and revised versions of papers presented at the 11th International Conference on Finance and Banking which took place at Silesian University - School of Business Administration in Karviná, Czech Republic on 17 – 18 October 2007. The chapters are arranged in three thematic parts focusing on exchange rates, financial markets and monetary policy. The purpose of the book is to identify effects of the European monetary integration in financial systems of original, new and potential euro area member countries. The book also aims to evaluate how different are the effects in countries at different stage of the integration process and how important are the implications for national economic policies. Although each chapter is originally an independent study all of them were selected by the editors in order to create consistent book offering a rich blend of well grounded theory, innovative empirical approaches, fresh ideas, and striking conclusions. Contributors include scholars, researchers, central bankers and financial practitioners from respected universities and financial institutions. “I highly recommend this book to everyone, economist or not, who want to better understand the enormous challenges that financial systems nowadays have to face, particularly in the context of the European monetary integration. One of the main advantages of this book is that it does not reflect the opinion of only one author, but instead, it presents the views of 23 authors, all academics and qualified researchers, working in well known universities and research institutions from different EU and non EU countries.” — Candida Ferreira, Associate Professor, School of Economics and Management, Technical University of Lisbon (ISEG-UTL) and Research Unit on Complexity and Economics (UECE) “Analyzing the consequences of the European monetary integration on financial systems is certainly a challenging task, but this book tackles it very successfully by presenting a rich collection of highly original studies on the most relevant issues: exchange rate convergence of euro-candidates, inflation targeting, portfolio choice, volatility, yield curve disturbances and many others, currently debated in finance, macroeconomics and political economy. The International Conference on Finance and Banking at Silesian University in Karviná is a well established scientific event where the hottest issues in the financial scenario are analyzed from an international perspective.” — Marco Mazzoli, Associate Professor of Monetary and International Economics, Director of CESPEM, Università Cattolica del S. Cuore, Italy

Download or read book Handbook of Computational Finance written by Jin-Chuan Duan and published by Springer Science & Business Media. This book was released on 2011-10-25 with total page 791 pages. Available in PDF, EPUB and Kindle. Book excerpt: Any financial asset that is openly traded has a market price. Except for extreme market conditions, market price may be more or less than a “fair” value. Fair value is likely to be some complicated function of the current intrinsic value of tangible or intangible assets underlying the claim and our assessment of the characteristics of the underlying assets with respect to the expected rate of growth, future dividends, volatility, and other relevant market factors. Some of these factors that affect the price can be measured at the time of a transaction with reasonably high accuracy. Most factors, however, relate to expectations about the future and to subjective issues, such as current management, corporate policies and market environment, that could affect the future financial performance of the underlying assets. Models are thus needed to describe the stochastic factors and environment, and their implementations inevitably require computational finance tools.

Download or read book Implementing Models in Quantitative Finance Methods and Cases written by Gianluca Fusai and published by Springer Science & Business Media. This book was released on 2007-12-20 with total page 606 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book puts numerical methods in action for the purpose of solving practical problems in quantitative finance. The first part develops a toolkit in numerical methods for finance. The second part proposes twenty self-contained cases covering model simulation, asset pricing and hedging, risk management, statistical estimation and model calibration. Each case develops a detailed solution to a concrete problem arising in applied financial management and guides the user towards a computer implementation. The appendices contain "crash courses" in VBA and Matlab programming languages.

Download or read book Mathematics of the Financial Markets written by Alain Ruttiens and published by John Wiley & Sons. This book was released on 2013-04-25 with total page 354 pages. Available in PDF, EPUB and Kindle. Book excerpt: Mathematics of the Financial Markets Financial Instruments and Derivatives Modeling, Valuation and Risk Issues "Alain Ruttiens has the ability to turn extremely complex concepts and theories into very easy to understand notions. I wish I had read his book when I started my career!" Marco Dion, Global Head of Equity Quant Strategy, J.P. Morgan "The financial industry is built on a vast collection of financial securities that can be valued and risk profiled using a set of miscellaneous mathematical models. The comprehension of these models is fundamental to the modern portfolio and risk manager in order to achieve a deep understanding of the capabilities and limitations of these methods in the approximation of the market. In his book, Alain Ruttiens exposes these models for a wide range of financial instruments by using a detailed and user friendly approach backed up with real-life data examples. The result is an excellent entry-level and reference book that will help any student and current practitioner up their mathematical modeling skills in the increasingly demanding domain of asset and risk management." Virgile Rostand, Consultant, Toronto ON "Alain Ruttiens not only presents the reader with a synthesis between mathematics and practical market dealing, but, more importantly a synthesis of his thinking and of his life." René Chopard, CEO, Centro di Studi Bancari Lugano, Vezia / Professor, Università dell'Insubria, Varese "Alain Ruttiens has written a book on quantitative finance that covers a wide range of financial instruments, examples and models. Starting from first principles, the book should be accessible to anyone who is comfortable with trading strategies, numbers and formulas." Dr Yuh-Dauh Lyuu, Professor of Finance & Professor of Computer Science & Information Engineering, National Taiwan University

Download or read book Linear Models and Time Series Analysis written by Marc S. Paolella and published by John Wiley & Sons. This book was released on 2018-10-10 with total page 900 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive and timely edition on an emerging new trend in time series Linear Models and Time-Series Analysis: Regression, ANOVA, ARMA and GARCH sets a strong foundation, in terms of distribution theory, for the linear model (regression and ANOVA), univariate time series analysis (ARMAX and GARCH), and some multivariate models associated primarily with modeling financial asset returns (copula-based structures and the discrete mixed normal and Laplace). It builds on the author's previous book, Fundamental Statistical Inference: A Computational Approach, which introduced the major concepts of statistical inference. Attention is explicitly paid to application and numeric computation, with examples of Matlab code throughout. The code offers a framework for discussion and illustration of numerics, and shows the mapping from theory to computation. The topic of time series analysis is on firm footing, with numerous textbooks and research journals dedicated to it. With respect to the subject/technology, many chapters in Linear Models and Time-Series Analysis cover firmly entrenched topics (regression and ARMA). Several others are dedicated to very modern methods, as used in empirical finance, asset pricing, risk management, and portfolio optimization, in order to address the severe change in performance of many pension funds, and changes in how fund managers work. Covers traditional time series analysis with new guidelines Provides access to cutting edge topics that are at the forefront of financial econometrics and industry Includes latest developments and topics such as financial returns data, notably also in a multivariate context Written by a leading expert in time series analysis Extensively classroom tested Includes a tutorial on SAS Supplemented with a companion website containing numerous Matlab programs Solutions to most exercises are provided in the book Linear Models and Time-Series Analysis: Regression, ANOVA, ARMA and GARCH is suitable for advanced masters students in statistics and quantitative finance, as well as doctoral students in economics and finance. It is also useful for quantitative financial practitioners in large financial institutions and smaller finance outlets.

Download or read book Essays in Honor of Joon Y Park written by Yoosoon Chang and published by Emerald Group Publishing. This book was released on 2023-04-24 with total page 382 pages. Available in PDF, EPUB and Kindle. Book excerpt: Volumes 45a and 45b of Advances in Econometrics honor Professor Joon Y. Park, who has made numerous and substantive contributions to the field of econometrics over a career spanning four decades since the 1980s and counting.