Financial Mathematics Volatility And Covariance Modelling

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Financial Mathematics, Volatility and Covariance Modelling

Julien Chevallier,Stéphane Goutte,David Guerreiro,Sophie Saglio,Bilel Sanhaji
Financial Mathematics Volatility and Covariance Modelling Book PDF

Author : Julien Chevallier,Stéphane Goutte,David Guerreiro,Sophie Saglio,Bilel Sanhaji
Publisher : Routledge
Page : 344 pages
File Size : 53,9 Mb
Release : 2019-06-28
Category : Business & Economics
ISBN : 9781351669085

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Financial Mathematics, Volatility and Covariance Modelling by Julien Chevallier,Stéphane Goutte,David Guerreiro,Sophie Saglio,Bilel Sanhaji Pdf

This book provides an up-to-date series of advanced chapters on applied financial econometric techniques pertaining the various fields of commodities finance, mathematics & stochastics, international macroeconomics and financial econometrics. Financial Mathematics, Volatility and Covariance Modelling: Volume 2 provides a key repository on the current state of knowledge, the latest debates and recent literature on financial mathematics, volatility and covariance modelling. The first section is devoted to mathematical finance, stochastic modelling and control optimization. Chapters explore the recent financial crisis, the increase of uncertainty and volatility, and propose an alternative approach to deal with these issues. The second section covers financial volatility and covariance modelling and explores proposals for dealing with recent developments in financial econometrics This book will be useful to students and researchers in applied econometrics; academics and students seeking convenient access to an unfamiliar area. It will also be of great interest established researchers seeking a single repository on the current state of knowledge, current debates and relevant literature.

Financial Mathematics, Volatility and Covariance Modelling

Julien Chevallier,Stéphane Goutte,David Guerreiro,Sophie Saglio,Bilel Sanhaji
Financial Mathematics Volatility and Covariance Modelling Book PDF

Author : Julien Chevallier,Stéphane Goutte,David Guerreiro,Sophie Saglio,Bilel Sanhaji
Publisher : Routledge
Page : 381 pages
File Size : 46,6 Mb
Release : 2019-06-28
Category : Business & Economics
ISBN : 9781351669092

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Financial Mathematics, Volatility and Covariance Modelling by Julien Chevallier,Stéphane Goutte,David Guerreiro,Sophie Saglio,Bilel Sanhaji Pdf

This book provides an up-to-date series of advanced chapters on applied financial econometric techniques pertaining the various fields of commodities finance, mathematics & stochastics, international macroeconomics and financial econometrics. Financial Mathematics, Volatility and Covariance Modelling: Volume 2 provides a key repository on the current state of knowledge, the latest debates and recent literature on financial mathematics, volatility and covariance modelling. The first section is devoted to mathematical finance, stochastic modelling and control optimization. Chapters explore the recent financial crisis, the increase of uncertainty and volatility, and propose an alternative approach to deal with these issues. The second section covers financial volatility and covariance modelling and explores proposals for dealing with recent developments in financial econometrics This book will be useful to students and researchers in applied econometrics; academics and students seeking convenient access to an unfamiliar area. It will also be of great interest established researchers seeking a single repository on the current state of knowledge, current debates and relevant literature.

Modeling and Pricing of Swaps for Financial and Energy Markets with Stochastic Volatilities

Anatoli? Vital?evich Svishchuk
Modeling and Pricing of Swaps for Financial and Energy Markets with Stochastic Volatilities Book PDF

Author : Anatoli? Vital?evich Svishchuk
Publisher : World Scientific
Page : 326 pages
File Size : 47,9 Mb
Release : 2013
Category : Business & Economics
ISBN : 9789814440134

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Modeling and Pricing of Swaps for Financial and Energy Markets with Stochastic Volatilities by Anatoli? Vital?evich Svishchuk Pdf

Modeling and Pricing of Swaps for Financial and Energy Markets with Stochastic Volatilities is devoted to the modeling and pricing of various kinds of swaps, such as those for variance, volatility, covariance, correlation, for financial and energy markets with different stochastic volatilities, which include CIR process, regime-switching, delayed, mean-reverting, multi-factor, fractional, Levy-based, semi-Markov and COGARCH(1,1). One of the main methods used in this book is change of time method. The book outlines how the change of time method works for different kinds of models and problems arising in financial and energy markets and the associated problems in modeling and pricing of a variety of swaps. The book also contains a study of a new model, the delayed Heston model, which improves the volatility surface fitting as compared with the classical Heston model. The author calculates variance and volatility swaps for this model and provides hedging techniques. The book considers content on the pricing of variance and volatility swaps and option pricing formula for mean-reverting models in energy markets. Some topics such as forward and futures in energy markets priced by multi-factor Levy models and generalization of Black-76 formula with Markov-modulated volatility are part of the book as well, and it includes many numerical examples such as S&P60 Canada Index, S&P500 Index and AECO Natural Gas Index.

The Mathematics of Financial Modeling and Investment Management

Sergio M. Focardi,Frank J. Fabozzi, CFA
The Mathematics of Financial Modeling and Investment Management Book PDF

Author : Sergio M. Focardi,Frank J. Fabozzi, CFA
Publisher : John Wiley & Sons
Page : 804 pages
File Size : 55,9 Mb
Release : 2004-03-29
Category : Business & Economics
ISBN : 0471465992

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The Mathematics of Financial Modeling and Investment Management by Sergio M. Focardi,Frank J. Fabozzi, CFA Pdf

the mathematics of financial modeling & investment management The Mathematics of Financial Modeling & Investment Management covers a wide range of technical topics in mathematics and finance-enabling the investment management practitioner, researcher, or student to fully understand the process of financial decision-making and its economic foundations. This comprehensive resource will introduce you to key mathematical techniques-matrix algebra, calculus, ordinary differential equations, probability theory, stochastic calculus, time series analysis, optimization-as well as show you how these techniques are successfully implemented in the world of modern finance. Special emphasis is placed on the new mathematical tools that allow a deeper understanding of financial econometrics and financial economics. Recent advances in financial econometrics, such as tools for estimating and representing the tails of the distributions, the analysis of correlation phenomena, and dimensionality reduction through factor analysis and cointegration are discussed in depth. Using a wealth of real-world examples, Focardi and Fabozzi simultaneously show both the mathematical techniques and the areas in finance where these techniques are applied. They also cover a variety of useful financial applications, such as: * Arbitrage pricing * Interest rate modeling * Derivative pricing * Credit risk modeling * Equity and bond portfolio management * Risk management * And much more Filled with in-depth insight and expert advice, The Mathematics of Financial Modeling & Investment Management clearly ties together financial theory and mathematical techniques.

ARCH Models and Financial Applications

Christian Gourieroux
ARCH Models and Financial Applications Book PDF

Author : Christian Gourieroux
Publisher : Springer Science & Business Media
Page : 234 pages
File Size : 42,8 Mb
Release : 2012-12-06
Category : Business & Economics
ISBN : 9781461218609

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ARCH Models and Financial Applications by Christian Gourieroux Pdf

The classical ARMA models have limitations when applied to the field of financial and monetary economics. Financial time series present nonlinear dynamic characteristics and the ARCH models offer a more adaptive framework for this type of problem. This book surveys the recent work in this area from the perspective of statistical theory, financial models, and applications and will be of interest to theorists and practitioners. From the view point of statistical theory, ARCH models may be considered as specific nonlinear time series models which allow for an exhaustive study of the underlying dynamics. It is possible to reexamine a number of classical questions such as the random walk hypothesis, prediction interval building, presence of latent variables etc., and to test the validity of the previously studied results. There are two main categories of potential applications. One is testing several economic or financial theories concerning the stocks, bonds, and currencies markets, or studying the links between the short and long run. The second is related to the interventions of the banks on the markets, such as choice of optimal portfolios, hedging portfolios, values at risk, and the size and times of block trading.

ARCH Models for Financial Applications

Evdokia Xekalaki,Stavros Degiannakis
ARCH Models for Financial Applications Book PDF

Author : Evdokia Xekalaki,Stavros Degiannakis
Publisher : John Wiley & Sons
Page : 558 pages
File Size : 40,6 Mb
Release : 2010-03-18
Category : Mathematics
ISBN : 0470688025

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ARCH Models for Financial Applications by Evdokia Xekalaki,Stavros Degiannakis Pdf

Autoregressive Conditional Heteroskedastic (ARCH) processes are used in finance to model asset price volatility over time. This book introduces both the theory and applications of ARCH models and provides the basic theoretical and empirical background, before proceeding to more advanced issues and applications. The Authors provide coverage of the recent developments in ARCH modelling which can be implemented using econometric software, model construction, fitting and forecasting and model evaluation and selection. Key Features: Presents a comprehensive overview of both the theory and the practical applications of ARCH, an increasingly popular financial modelling technique. Assumes no prior knowledge of ARCH models; the basics such as model construction are introduced, before proceeding to more complex applications such as value-at-risk, option pricing and model evaluation. Uses empirical examples to demonstrate how the recent developments in ARCH can be implemented. Provides step-by-step instructive examples, using econometric software, such as Econometric Views and the G@RCH module for the Ox software package, used in Estimating and Forecasting ARCH Models. Accompanied by a CD-ROM containing links to the software as well as the datasets used in the examples. Aimed at readers wishing to gain an aptitude in the applications of financial econometric modelling with a focus on practical implementation, via applications to real data and via examples worked with econometrics packages.

Modeling Financial Time Series with S-PLUS

Eric Zivot,Jiahui Wang
Modeling Financial Time Series with S PLUS Book PDF

Author : Eric Zivot,Jiahui Wang
Publisher : Springer Science & Business Media
Page : 648 pages
File Size : 42,7 Mb
Release : 2003-09-12
Category : Business & Economics
ISBN : 0387955496

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Modeling Financial Time Series with S-PLUS by Eric Zivot,Jiahui Wang Pdf

The field of financial econometrics has exploded since the early 1990s. This book represents an integration of theory, methods and examples using the S-PLUS statistical modeling language and the S+FinMetrics module to facilitate the practice of financial econometrics. It shows the power of S-PLUS for the analysis of time series data. It is written for researchers and practitioners in the finance industry, academic researchers in economics and finance, and advanced MBA and graduate students in economics and finance. Readers are assumed to have a basic knowledge of S-PLUS and a solid grounding in basic statistics and time series concepts.

Handbook of Volatility Models and Their Applications

Luc Bauwens,Christian M. Hafner,Sebastien Laurent
Handbook of Volatility Models and Their Applications Book PDF

Author : Luc Bauwens,Christian M. Hafner,Sebastien Laurent
Publisher : John Wiley & Sons
Page : 566 pages
File Size : 51,6 Mb
Release : 2012-04-17
Category : Business & Economics
ISBN : 9780470872512

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Handbook of Volatility Models and Their Applications by Luc Bauwens,Christian M. Hafner,Sebastien Laurent Pdf

A complete guide to the theory and practice of volatility models in financial engineering Volatility has become a hot topic in this era of instant communications, spawning a great deal of research in empirical finance and time series econometrics. Providing an overview of the most recent advances, Handbook of Volatility Models and Their Applications explores key concepts and topics essential for modeling the volatility of financial time series, both univariate and multivariate, parametric and non-parametric, high-frequency and low-frequency. Featuring contributions from international experts in the field, the book features numerous examples and applications from real-world projects and cutting-edge research, showing step by step how to use various methods accurately and efficiently when assessing volatility rates. Following a comprehensive introduction to the topic, readers are provided with three distinct sections that unify the statistical and practical aspects of volatility: Autoregressive Conditional Heteroskedasticity and Stochastic Volatility presents ARCH and stochastic volatility models, with a focus on recent research topics including mean, volatility, and skewness spillovers in equity markets Other Models and Methods presents alternative approaches, such as multiplicative error models, nonparametric and semi-parametric models, and copula-based models of (co)volatilities Realized Volatility explores issues of the measurement of volatility by realized variances and covariances, guiding readers on how to successfully model and forecast these measures Handbook of Volatility Models and Their Applications is an essential reference for academics and practitioners in finance, business, and econometrics who work with volatility models in their everyday work. The book also serves as a supplement for courses on risk management and volatility at the upper-undergraduate and graduate levels.

Stochastic Volatility Modeling

Lorenzo Bergomi
Stochastic Volatility Modeling Book PDF

Author : Lorenzo Bergomi
Publisher : CRC Press
Page : 520 pages
File Size : 52,5 Mb
Release : 2015-12-16
Category : Business & Economics
ISBN : 9781482244076

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Stochastic Volatility Modeling by Lorenzo Bergomi Pdf

Packed with insights, Lorenzo Bergomi's Stochastic Volatility Modeling explains how stochastic volatility is used to address issues arising in the modeling of derivatives, including:Which trading issues do we tackle with stochastic volatility? How do we design models and assess their relevance? How do we tell which models are usable and when does c

Mathematical and Statistical Methods for Actuarial Sciences and Finance

Marco Corazza,Manfred Gilli,Cira Perna,Claudio Pizzi,Marilena Sibillo
Mathematical and Statistical Methods for Actuarial Sciences and Finance Book PDF

Author : Marco Corazza,Manfred Gilli,Cira Perna,Claudio Pizzi,Marilena Sibillo
Publisher : Springer Nature
Page : 389 pages
File Size : 40,8 Mb
Release : 2021-12-13
Category : Business & Economics
ISBN : 9783030789657

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Mathematical and Statistical Methods for Actuarial Sciences and Finance by Marco Corazza,Manfred Gilli,Cira Perna,Claudio Pizzi,Marilena Sibillo Pdf

The cooperation and contamination between mathematicians, statisticians and econometricians working in actuarial sciences and finance is improving the research on these topics and producing numerous meaningful scientific results. This volume presents new ideas, in the form of four- to six-page papers, presented at the International Conference eMAF2020 – Mathematical and Statistical Methods for Actuarial Sciences and Finance. Due to the now sadly famous COVID-19 pandemic, the conference was held remotely through the Zoom platform offered by the Department of Economics of the Ca’ Foscari University of Venice on September 18, 22 and 25, 2020. eMAF2020 is the ninth edition of an international biennial series of scientific meetings, started in 2004 at the initiative of the Department of Economics and Statistics of the University of Salerno. The effectiveness of this idea has been proven by wide participation in all editions, which have been held in Salerno (2004, 2006, 2010 and 2014), Venice (2008, 2012 and 2020), Paris (2016) and Madrid (2018). This book covers a wide variety of subjects: artificial intelligence and machine learning in finance and insurance, behavioral finance, credit risk methods and models, dynamic optimization in finance, financial data analytics, forecasting dynamics of actuarial and financial phenomena, foreign exchange markets, insurance models, interest rate models, longevity risk, models and methods for financial time series analysis, multivariate techniques for financial markets analysis, pension systems, portfolio selection and management, real-world finance, risk analysis and management, trading systems, and others. This volume is a valuable resource for academics, PhD students, practitioners, professionals and researchers. Moreover, it is also of interest to other readers with quantitative background knowledge.

Uncertain Volatility Models

Robert Buff
Uncertain Volatility Models Book PDF

Author : Robert Buff
Publisher : Springer Science & Business Media
Page : 244 pages
File Size : 53,9 Mb
Release : 2012-12-06
Category : Mathematics
ISBN : 9783642563232

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Uncertain Volatility Models by Robert Buff Pdf

This is one of the only books to describe uncertain volatility models in mathematical finance and their computer implementation for portfolios of vanilla, barrier and American options in equity and FX markets. Uncertain volatility models place subjective constraints on the volatility of the stochastic process of the underlying asset and evaluate option portfolios under worst- and best-case scenarios. This book, which is bundled with software, is aimed at graduate students, researchers and practitioners who wish to study advanced aspects of volatility risk in portfolios of vanilla and exotic options. The reader is assumed to be familiar with arbitrage pricing theory.

GARCH Models

Christian Francq,Jean-Michel Zakoian
GARCH Models Book PDF

Author : Christian Francq,Jean-Michel Zakoian
Publisher : John Wiley & Sons
Page : 517 pages
File Size : 42,5 Mb
Release : 2019-06-10
Category : Mathematics
ISBN : 9781119313571

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GARCH Models by Christian Francq,Jean-Michel Zakoian Pdf

Provides a comprehensive and updated study of GARCH models and their applications in finance, covering new developments in the discipline This book provides a comprehensive and systematic approach to understanding GARCH time series models and their applications whilst presenting the most advanced results concerning the theory and practical aspects of GARCH. The probability structure of standard GARCH models is studied in detail as well as statistical inference such as identification, estimation, and tests. The book also provides new coverage of several extensions such as multivariate models, looks at financial applications, and explores the very validation of the models used. GARCH Models: Structure, Statistical Inference and Financial Applications, 2nd Edition features a new chapter on Parameter-Driven Volatility Models, which covers Stochastic Volatility Models and Markov Switching Volatility Models. A second new chapter titled Alternative Models for the Conditional Variance contains a section on Stochastic Recurrence Equations and additional material on EGARCH, Log-GARCH, GAS, MIDAS, and intraday volatility models, among others. The book is also updated with a more complete discussion of multivariate GARCH; a new section on Cholesky GARCH; a larger emphasis on the inference of multivariate GARCH models; a new set of corrected problems available online; and an up-to-date list of references. Features up-to-date coverage of the current research in the probability, statistics, and econometric theory of GARCH models Covers significant developments in the field, especially in multivariate models Contains completely renewed chapters with new topics and results Handles both theoretical and applied aspects Applies to researchers in different fields (time series, econometrics, finance) Includes numerous illustrations and applications to real financial series Presents a large collection of exercises with corrections Supplemented by a supporting website featuring R codes, Fortran programs, data sets and Problems with corrections GARCH Models, 2nd Edition is an authoritative, state-of-the-art reference that is ideal for graduate students, researchers, and practitioners in business and finance seeking to broaden their skills of understanding of econometric time series models.

Non-Linear Time Series Models in Empirical Finance

Philip Hans Franses,Dick van Dijk
Non Linear Time Series Models in Empirical Finance Book PDF

Author : Philip Hans Franses,Dick van Dijk
Publisher : Cambridge University Press
Page : 299 pages
File Size : 50,6 Mb
Release : 2000-07-27
Category : Business & Economics
ISBN : 9780521770415

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Non-Linear Time Series Models in Empirical Finance by Philip Hans Franses,Dick van Dijk Pdf

This 2000 volume reviews non-linear time series models, and their applications to financial markets.

State-Space Models

Yong Zeng,Shu Wu
State Space Models Book PDF

Author : Yong Zeng,Shu Wu
Publisher : Springer Science & Business Media
Page : 347 pages
File Size : 45,7 Mb
Release : 2013-08-15
Category : Business & Economics
ISBN : 9781461477891

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State-Space Models by Yong Zeng,Shu Wu Pdf

State-space models as an important mathematical tool has been widely used in many different fields. This edited collection explores recent theoretical developments of the models and their applications in economics and finance. The book includes nonlinear and non-Gaussian time series models, regime-switching and hidden Markov models, continuous- or discrete-time state processes, and models of equally-spaced or irregularly-spaced (discrete or continuous) observations. The contributed chapters are divided into four parts. The first part is on Particle Filtering and Parameter Learning in Nonlinear State-Space Models. The second part focuses on the application of Linear State-Space Models in Macroeconomics and Finance. The third part deals with Hidden Markov Models, Regime Switching and Mathematical Finance and the fourth part is on Nonlinear State-Space Models for High Frequency Financial Data. The book will appeal to graduate students and researchers studying state-space modeling in economics, statistics, and mathematics, as well as to finance professionals.

Handbook of Modeling High-Frequency Data in Finance

Frederi G. Viens,Maria Cristina Mariani,Ionut Florescu
Handbook of Modeling High Frequency Data in Finance Book PDF

Author : Frederi G. Viens,Maria Cristina Mariani,Ionut Florescu
Publisher : John Wiley & Sons
Page : 468 pages
File Size : 54,5 Mb
Release : 2011-12-20
Category : Business & Economics
ISBN : 9780470876886

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Handbook of Modeling High-Frequency Data in Finance by Frederi G. Viens,Maria Cristina Mariani,Ionut Florescu Pdf

CUTTING-EDGE DEVELOPMENTS IN HIGH-FREQUENCY FINANCIAL ECONOMETRICS In recent years, the availability of high-frequency data and advances in computing have allowed financial practitioners to design systems that can handle and analyze this information. Handbook of Modeling High-Frequency Data in Finance addresses the many theoretical and practical questions raised by the nature and intrinsic properties of this data. A one-stop compilation of empirical and analytical research, this handbook explores data sampled with high-frequency finance in financial engineering, statistics, and the modern financial business arena. Every chapter uses real-world examples to present new, original, and relevant topics that relate to newly evolving discoveries in high-frequency finance, such as: Designing new methodology to discover elasticity and plasticity of price evolution Constructing microstructure simulation models Calculation of option prices in the presence of jumps and transaction costs Using boosting for financial analysis and trading The handbook motivates practitioners to apply high-frequency finance to real-world situations by including exclusive topics such as risk measurement and management, UHF data, microstructure, dynamic multi-period optimization, mortgage data models, hybrid Monte Carlo, retirement, trading systems and forecasting, pricing, and boosting. The diverse topics and viewpoints presented in each chapter ensure that readers are supplied with a wide treatment of practical methods. Handbook of Modeling High-Frequency Data in Finance is an essential reference for academics and practitioners in finance, business, and econometrics who work with high-frequency data in their everyday work. It also serves as a supplement for risk management and high-frequency finance courses at the upper-undergraduate and graduate levels.