Download or read book The Price of Non Gaussian Risk written by George Lentzas and published by . This book was released on 2005 with total page 79 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Nonlinear Valuation and Non Gaussian Risks in Finance written by Dilip B. Madan and published by Cambridge University Press. This book was released on 2022-02-03 with total page 283 pages. Available in PDF, EPUB and Kindle. Book excerpt: Explore how market valuation must abandon linearity to deliver efficient resource allocation.
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 Encyclopedia of Financial Models Volume I written by Frank J. Fabozzi and published by John Wiley & Sons. This book was released on 2012-09-26 with total page 948 pages. Available in PDF, EPUB and Kindle. Book excerpt: Volume 1 of the Encyclopedia of Financial Models The need for serious coverage of financial modeling has never been greater, especially with the size, diversity, and efficiency of modern capital markets. With this in mind, the Encyclopedia of Financial Models has been created to help a broad spectrum of individuals ranging from finance professionals to academics and students understand financial modeling and make use of the various models currently available. Incorporating timely research and in-depth analysis, Volume 1 of the Encyclopedia of Financial Models covers both established and cutting-edge models and discusses their real-world applications. Edited by Frank Fabozzi, this volume includes contributions from global financial experts as well as academics with extensive consulting experience in this field. Organized alphabetically by category, this reliable resource consists of thirty-nine informative entries and provides readers with a balanced understanding of today's dynamic world of financial modeling. Volume 1 addresses Asset Pricing Models, Bayesian Analysis and Financial Modeling Applications, Bond Valuation Modeling, Credit Risk Modeling, and Derivatives Valuation Emphasizes both technical and implementation issues, providing researchers, educators, students, and practitioners with the necessary background to deal with issues related to financial modeling The 3-Volume Set contains coverage of the fundamentals and advances in financial modeling and provides the mathematical and statistical techniques needed to develop and test financial models Financial models have become increasingly commonplace, as well as complex. They are essential in a wide range of financial endeavors, and the Encyclopedia of Financial Models will help put them in perspective.
Download or read book Estimation of Market Risk in Case of Non Gaussian Asset s Returns written by Giuseppe Arbia and published by . This book was released on 2001 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Equilibrium Asset Pricing written by Dilip B. Madan and published by . This book was released on 2007 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt: We analyse the equilibrium asset pricing implications for an economy with single period return exposures to explicit non-Gaussian systematic factors, that may be both skewed and long-tailed, and Gaussian idiosyncratic components. Investors maximize expected exponential utility and equilibrium factor prices are shown to reflect exponentially tilted prices for non-Gaussian factor risk exposures. It is shown that these prices may be directly estimated from the univariate probability law of the factor exposure, given an estimate of average risk aversion in the economy. In addition a residual form of the capital asset pricing model continues to hold and prices the idiosyncratic or Gaussian risks. The theory is illustrated on data for the US economy using independent components analysis to identify the factors and the variance gamma model to describe the probability law of the non-Gaussian factors. It is shown that the residual CAPM accounts for no more than one percent of the pricing of risky assets, while the exponentially tilted systematic factor risk exposures account for the bulk of risky asset pricing.
Download or read book The Statistical Mechanics of Financial Markets written by Johannes Voit and published by Springer Science & Business Media. This book was released on 2013-04-17 with total page 298 pages. Available in PDF, EPUB and Kindle. Book excerpt: This textbook describes parallels between statistical physics and finance - both those established in the 100-year-long interaction between these disciplines, as well as new research results on capital markets. The random walk, well known in physics, is also the basic model in finance, upon which are built, for example, the Black--Scholes theory of option pricing and hedging, or methods of risk control using diversification. Here the underlying assumptions are discussed using empirical financial data and analogies to physical models such as fluid flows, turbulence, or superdiffusion. On this basis, new theories of derivative pricing and risk control can be formulated. Computer simulations of interacting agent models of financial markets provide insights into the origins of asset price fluctuations. Stock exchange crashes can be modelled in ways analogous to phase transitions and earthquakes. These models allow for predictions. This study edition has been updated with a presentation of several new and significant developments, e.g. the dynamics of volatility smiles and implied volatility surfaces, path integral approaches to option pricing, a new and accurate simulation scheme for options, multifractals, the application of nonextensive statistical mechanics to financial markets, and the minority game. Moreover, the book was scanned for and corrected from errors, both typographical and in presentation.
Download or read book Financial Signal Processing and Machine Learning written by Ali N. Akansu and published by John Wiley & Sons. This book was released on 2016-04-20 with total page 312 pages. Available in PDF, EPUB and Kindle. Book excerpt: The modern financial industry has been required to deal with large and diverse portfolios in a variety of asset classes often with limited market data available. Financial Signal Processing and Machine Learning unifies a number of recent advances made in signal processing and machine learning for the design and management of investment portfolios and financial engineering. This book bridges the gap between these disciplines, offering the latest information on key topics including characterizing statistical dependence and correlation in high dimensions, constructing effective and robust risk measures, and their use in portfolio optimization and rebalancing. The book focuses on signal processing approaches to model return, momentum, and mean reversion, addressing theoretical and implementation aspects. It highlights the connections between portfolio theory, sparse learning and compressed sensing, sparse eigen-portfolios, robust optimization, non-Gaussian data-driven risk measures, graphical models, causal analysis through temporal-causal modeling, and large-scale copula-based approaches. Key features: Highlights signal processing and machine learning as key approaches to quantitative finance. Offers advanced mathematical tools for high-dimensional portfolio construction, monitoring, and post-trade analysis problems. Presents portfolio theory, sparse learning and compressed sensing, sparsity methods for investment portfolios. including eigen-portfolios, model return, momentum, mean reversion and non-Gaussian data-driven risk measures with real-world applications of these techniques. Includes contributions from leading researchers and practitioners in both the signal and information processing communities, and the quantitative finance community.
Download or read book Econophysics and Financial Economics written by Franck Jovanovic and published by Oxford University Press. This book was released on 2017 with total page 249 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides the first extensive analytic comparison between models and results from econophysics and financial economics in an accessible and common vocabulary. Unlike other publications dedicated to econophysics, it situates this field in the evolution of financial economics by laying the foundations for common theoretical framework and models.
Download or read book Data Analysis and Applications 4 written by Andreas Makrides and published by John Wiley & Sons. This book was released on 2020-03-31 with total page 310 pages. Available in PDF, EPUB and Kindle. Book excerpt: Data analysis as an area of importance has grown exponentially, especially during the past couple of decades. This can be attributed to a rapidly growing computer industry and the wide applicability of computational techniques, in conjunction with new advances of analytic tools. This being the case, the need for literature that addresses this is self-evident. New publications are appearing, covering the need for information from all fields of science and engineering, thanks to the universal relevance of data analysis and statistics packages. This book is a collective work by a number of leading scientists, analysts, engineers, mathematicians and statisticians who have been working at the forefront of data analysis. The chapters included in this volume represent a cross-section of current concerns and research interests in these scientific areas. The material is divided into three parts: Financial Data Analysis and Methods, Statistics and Stochastic Data Analysis and Methods, and Demographic Methods and Data Analysis- providing the reader with both theoretical and applied information on data analysis methods, models and techniques and appropriate applications.
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 Handbook Of Heavy tailed Distributions In Asset Management And Risk Management written by Michele Leonardo Bianchi and published by World Scientific. This book was released on 2019-03-08 with total page 598 pages. Available in PDF, EPUB and Kindle. Book excerpt: The study of heavy-tailed distributions allows researchers to represent phenomena that occasionally exhibit very large deviations from the mean. The dynamics underlying these phenomena is an interesting theoretical subject, but the study of their statistical properties is in itself a very useful endeavor from the point of view of managing assets and controlling risk. In this book, the authors are primarily concerned with the statistical properties of heavy-tailed distributions and with the processes that exhibit jumps. A detailed overview with a Matlab implementation of heavy-tailed models applied in asset management and risk managements is presented. The book is not intended as a theoretical treatise on probability or statistics, but as a tool to understand the main concepts regarding heavy-tailed random variables and processes as applied to real-world applications in finance. Accordingly, the authors review approaches and methodologies whose realization will be useful for developing new methods for forecasting of financial variables where extreme events are not treated as anomalies, but as intrinsic parts of the economic process.
Download or read book Hearings Mar 3 5 9 13 16 20 23 24 1942 v 2 Hearings Mar 25 27 30 31 April 1 3 7 9 1942 v 3 Hearings Apr 10 13 17 1942 written by United States. Congress. House. Committee on Ways and Means and published by . This book was released on 1942 with total page 1236 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book A Discussion of Non Gaussian Price Processes for Energy and Commodity Operations written by Anna Gambaro and published by . This book was released on 2020 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: Energy sources and commodities exhibit high price risk. This risk is thus an important feature of operational models of the value chains for these goods. These models typically employ Gaussian-based representations of the evolution of this uncertainty. This approach facilitates the optimization of operational policies but is at odds with empirical facts about energy and commodity prices, which are better captured by non-Gaussian processes. We discuss this alternative modeling strategy, focusing on Lévy processes. As an illustration, we show that it substantially increases the optimal policy value in a simplified merchant natural gas storage setting. Further, we highlight potential implications of using this approach to formulate realistic energy and commodity operations models. Our work has broader relevance for modeling the dynamics of both other market variables and operational quantities, such as exchange rates and demand forecasts. The study of how the adoption of non-Gaussian processes may impact energy and commodity operations is an appealing area for future research.
Download or read book Non Gaussian GARCH Option Pricing Models and Their Diffusion Limits written by Alex Badescu and published by . This book was released on 2015 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates the weak convergence of general non-Gaussian GARCH models together with an application to the pricing of European style options determined using an extended Girsanov principle and a conditional Esscher transform as the pricing kernel candidates. Applying these changes of measure to asymmetric GARCH models sampled at increasing frequencies, we obtain two risk neutral families of processes which converge to different bivariate diffusions, which are no longer standard Hull-White stochastic volatility models. Regardless of the innovations used, the GARCH implied diffusion limit based on the Esscher transform can be obtained by applying the minimal martingale measure under the physical measure. However, we further show that for skewed GARCH driving noise, the risk neutral diffusion limit of the extended Girsanov principle exhibits a non-zero market price of volatility risk which is proportional to the market price of the equity risk, where the constant of proportionality depends on the skewness and kurtosis of the underlying distribution. Our theoretical results are further supported by numerical simulations and a calibration exercise to observed market quotes.
Download or read book Optimal Portfolios with Stochastic Short Rate written by Holger Kraft and published by . This book was released on 2005 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: The aim of this paper is to highlight some of the problems occuring when one leaves the usual path of portfolio problems with Gaussian interest rates and bounded market price of risk. We solve several portfolio problems for different specifications of the short rate and the market price of risk. More precisely, we consider a Gaussian model, the Cox-Ingersoll-Ross model, and squared Gaussian as well as lognormal specifications of the short rate. Even for the seemingly innocent Gaussian model, the problem may explode in a certain sense if the market price of risk is unbounded. From an economic point of view, in this case the model does not exhibit a partial equilibrium indicating that, for instants, the time-preferences of the investor are not properly modeled. This problem can be overcome by introducing short rate depending time preferences. Above all, we strongly emphasize that it is not straightforward to generalize the existing results on continuous-time portfolio optimization to the case of a Non-Gaussian stochastic short rate or to a Gaussian term structure with unbounded market price of risk.
Download or read book Normal Childbirth written by Soo Downe and published by Elsevier Health Sciences. This book was released on 2004-01-01 with total page 194 pages. Available in PDF, EPUB and Kindle. Book excerpt: With the increasing risk of litigation in midwifery, there is often a move to err on the side of caution and classify women as 'at risk' even if they present with only a hint of a problem. Reflecting the need for global professional standards, this unique book presents the available evidence on normality in childbirth and proposes new approaches and paradigms for future research and practice. Covering a variety of subjects, international contributors present evidence-based, practical expertise on normal birth to help readers become aware of the wide parameters of "normal" in order to practice effectively and safely. Explores the nature and implications of normal childbirth as opposed to birth with medical intervention. Challenges the fundamental assumptions underpinning current beliefs and attitudes surrounding normal birth. Synthesizes evidence to provide different ways of seeing normality and interpreting its meanings. Provides a highly applicable reference for readers with an interest in the multiple aspects of normal birth. With 18 expert contributors
