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Financial Models with Lévy Processes and Volatility Clustering: Rachev/Financial by Svetlozar T. Rachev, Young Shin Kim, Michele Leonardo Bianchi, Frank J. Fabozzi(auth.) is a nonfiction available to read on EtoBox.

What is Financial Models with Lévy Processes and Volatility Clustering: Rachev/Financial about?

An in-depth guide to understanding probability distributions and financial modeling for the purposes of investment management In __Financial Models with Levy 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 Levy model) * Defines a discrete time model with volatility clustering and how to price options using Monte Carlo methods * Studies two multivariate settings

Who reads Financial Models with Lévy Processes and Volatility Clustering: Rachev/Financial?

Author

Svetlozar T. Rachev, Young Shin Kim, Michele Leonardo Bianchi, Frank J. Fabozzi(auth.)

Publisher

John Wiley & Sons, Incorporated

Published

2011

Language

EN

ISBN

9781118268070

Category

nonfiction

Subjects

Finance, Economics, Business

Updated

2026-03-24