Financial Models With Levy Processes And Volatility Clustering

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Financial Models with Levy Processes and Volatility Clustering

Svetlozar T. Rachev,Young Shin Kim,Michele L. Bianchi,Frank J. Fabozzi
Financial Models with Levy Processes and Volatility Clustering Book PDF

Author : Svetlozar T. Rachev,Young Shin Kim,Michele L. Bianchi,Frank J. Fabozzi
Publisher : John Wiley & Sons
Page : 316 pages
File Size : 44,6 Mb
Release : 2011-02-08
Category : Business & Economics
ISBN : 9780470937266

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Financial Models with Levy Processes and Volatility Clustering by Svetlozar T. Rachev,Young Shin Kim,Michele L. Bianchi,Frank J. Fabozzi Pdf

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.

Encyclopedia of Financial Models

Frank J. Fabozzi
Encyclopedia of Financial Models Book PDF

Author : Frank J. Fabozzi
Publisher : John Wiley & Sons
Page : 3180 pages
File Size : 43,7 Mb
Release : 2012-10-15
Category : Business & Economics
ISBN : 9781118539958

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Encyclopedia of Financial Models by Frank J. Fabozzi Pdf

An essential reference dedicated to a wide array of financial models, issues in financial modeling, and mathematical and statistical tools for financial modeling 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, 3 Volume Set 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, the Encyclopedia of Financial Models is an informative 3-Volume Set that covers both established and cutting-edge models and discusses their real-world applications. Edited by Frank Fabozzi, this set 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 three separate volumes and 127 entries—touching on everything from asset pricing and bond valuation models to trading cost models and volatility—and provides readers with a balanced understanding of today's dynamic world of financial modeling. Frank Fabozzi follows up his successful Handbook of Finance with another major reference work, The Encyclopedia of Financial Models Covers the two major topical areas: asset valuation for cash and derivative instruments, and portfolio modeling Fabozzi explores the critical background tools from mathematics, probability theory, statistics, and operations research needed to understand these complex models Organized alphabetically by category, this book gives readers easy and quick access to specific topics sorted by an applicable category among them Asset Allocation, Credit Risk Modeling, Statistical Tools 3 Volumes onlinelibrary.wiley.com Financial models have become increasingly commonplace, as well as complex. They are essential in a wide range of financial endeavors, and this 3-Volume Set will help put them in perspective.

Encyclopedia of Financial Models, Volume III

Frank J. Fabozzi
Encyclopedia of Financial Models Volume III Book PDF

Author : Frank J. Fabozzi
Publisher : John Wiley & Sons
Page : 1249 pages
File Size : 53,9 Mb
Release : 2012-09-20
Category : Business & Economics
ISBN : 9781118539835

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Encyclopedia of Financial Models, Volume III by Frank J. Fabozzi Pdf

Volume 3 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 3 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 forty-four informative entries and provides readers with a balanced understanding of today’s dynamic world of financial modeling. Volume 3 covers Mortgage-Backed Securities Analysis and Valuation, Operational Risk, Optimization Tools, Probability Theory, Risk Measures, Software for Financial Modeling, Stochastic Processes and Tools, Term Structure Modeling, Trading Cost Models, and Volatility 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.

Encyclopedia of Financial Models

Frank J. Fabozzi
Encyclopedia of Financial Models Book PDF

Author : Frank J. Fabozzi
Publisher : John Wiley & Sons
Page : 832 pages
File Size : 55,7 Mb
Release : 2012-09-12
Category : Business & Economics
ISBN : 9781118539880

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Encyclopedia of Financial Models by Frank J. Fabozzi Pdf

Volume 2 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 2 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 forty-four informative entries and provides readers with a balanced understanding of today's dynamic world of financial modeling. Volume 2 explores Equity Models and Valuation, Factor Models for Portfolio Construction, Financial Econometrics, Financial Modeling Principles, Financial Statements Analysis, Finite Mathematics for Financial Modeling, and Model Risk and Selection 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.

Handbook Of Heavy-tailed Distributions In Asset Management And Risk Management

Michele Leonardo Bianchi,Stoyan V Stoyanov,Gian Luca Tassinari,Frank J Fabozzi,Sergio Focardi
Handbook Of Heavy tailed Distributions In Asset Management And Risk Management Book PDF

Author : Michele Leonardo Bianchi,Stoyan V Stoyanov,Gian Luca Tassinari,Frank J Fabozzi,Sergio Focardi
Publisher : World Scientific
Page : 598 pages
File Size : 52,7 Mb
Release : 2019-03-08
Category : Business & Economics
ISBN : 9789813276215

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Handbook Of Heavy-tailed Distributions In Asset Management And Risk Management by Michele Leonardo Bianchi,Stoyan V Stoyanov,Gian Luca Tassinari,Frank J Fabozzi,Sergio Focardi Pdf

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.

Tempered Stable Distributions

Michael Grabchak
Tempered Stable Distributions Book PDF

Author : Michael Grabchak
Publisher : Springer
Page : 118 pages
File Size : 47,8 Mb
Release : 2016-01-26
Category : Mathematics
ISBN : 9783319249278

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Tempered Stable Distributions by Michael Grabchak Pdf

This brief is concerned with tempered stable distributions and their associated Levy processes. It is a good text for researchers interested in learning about tempered stable distributions. A tempered stable distribution is one which takes a stable distribution and modifies its tails to make them lighter. The motivation for this class comes from the fact that infinite variance stable distributions appear to provide a good fit to data in a variety of situations, but the extremely heavy tails of these models are not realistic for most real world applications. The idea of using distributions that modify the tails of stable models to make them lighter seems to have originated in the influential paper of Mantegna and Stanley (1994). Since then, these distributions have been extended and generalized in a variety of ways. They have been applied to a wide variety of areas including mathematical finance, biostatistics,computer science, and physics.

Handbook of Alternative Data in Finance, Volume I

Gautam Mitra,Christina Erlwein-Sayer,Kieu Thi Hoang,Diana Roman,Zryan Sadik
Handbook of Alternative Data in Finance Volume I Book PDF

Author : Gautam Mitra,Christina Erlwein-Sayer,Kieu Thi Hoang,Diana Roman,Zryan Sadik
Publisher : CRC Press
Page : 488 pages
File Size : 52,5 Mb
Release : 2023-07-12
Category : Business & Economics
ISBN : 9781000897982

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Handbook of Alternative Data in Finance, Volume I by Gautam Mitra,Christina Erlwein-Sayer,Kieu Thi Hoang,Diana Roman,Zryan Sadik Pdf

Handbook of Alternative Data in Finance, Volume I motivates and challenges the reader to explore and apply Alternative Data in finance. The book provides a robust and in-depth overview of Alternative Data, including its definition, characteristics, difference from conventional data, categories of Alternative Data, Alternative Data providers, and more. The book also offers a rigorous and detailed exploration of process, application and delivery that should be practically useful to researchers and practitioners alike. Features Includes cutting edge applications in machine learning, fintech, and more Suitable for professional quantitative analysts, and as a resource for postgraduates and researchers in financial mathematics Features chapters from many leading researchers and practitioners

Encyclopedia of Financial Models

Frank J. Fabozzi
Encyclopedia of Financial Models Book PDF

Author : Frank J. Fabozzi
Publisher : John Wiley & Sons
Page : 640 pages
File Size : 41,7 Mb
Release : 2012-09-12
Category : Business & Economics
ISBN : 9781118539767

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Encyclopedia of Financial Models by Frank J. Fabozzi Pdf

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.

Capital Markets, Fifth Edition

Frank J. Fabozzi
Capital Markets Fifth Edition Book PDF

Author : Frank J. Fabozzi
Publisher : MIT Press
Page : 1087 pages
File Size : 51,9 Mb
Release : 2015-10-23
Category : Business & Economics
ISBN : 9780262029483

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Capital Markets, Fifth Edition by Frank J. Fabozzi Pdf

The substantially revised fifth edition of a textbook covering the wide range of instruments available in financial markets, with a new emphasis on risk management. Over the last fifty years, an extensive array of instruments for financing, investing, and controlling risk has become available in financial markets, with demand for these innovations driven by the needs of investors and borrowers. The recent financial crisis offered painful lessons on the consequences of ignoring the risks associated with new financial products and strategies. This substantially revised fifth edition of a widely used text covers financial product innovation with a new emphasis on risk management and regulatory reform. Chapters from the previous edition have been updated, and new chapters cover material that reflects recent developments in financial markets. The book begins with an introduction to financial markets, offering a new chapter that provides an overview of risk—including the key elements of financial risk management and the identification and quantification of risk. The book then covers market participants, including a new chapter on collective investment products managed by asset management firms; the basics of cash and derivatives markets, with new coverage of financial derivatives and securitization; theories of risk and return, with a new chapter on return distributions and risk measures; the structure of interest rates and the pricing of debt obligations; equity markets; debt markets, including chapters on money market instruments, municipal securities, and credit sensitive securitized products; and advanced coverage of derivative markets. Each chapter ends with a review of key points and questions based on the material covered.

Risk Estimation on High Frequency Financial Data

Florian Jacob
Risk Estimation on High Frequency Financial Data Book PDF

Author : Florian Jacob
Publisher : Springer
Page : 70 pages
File Size : 53,5 Mb
Release : 2015-03-28
Category : Mathematics
ISBN : 9783658093891

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Risk Estimation on High Frequency Financial Data by Florian Jacob Pdf

By studying the ability of the Normal Tempered Stable (NTS) model to fit the statistical features of intraday data at a 5 min sampling frequency, Florian Jacobs extends the research on high frequency data as well as the appliance of tempered stable models. He examines the DAX30 returns using ARMA-GARCH NTS, ARMA-GARCH MNTS (Multivariate Normal Tempered Stable) and ARMA-FIGARCH (Fractionally Integrated GARCH) NTS. The models will be benchmarked through their goodness of fit and their VaR and AVaR, as well as in an historical Backtesting.

Econophysics and Financial Economics

Franck Jovanovic,Christophe Schinckus
Econophysics and Financial Economics Book PDF

Author : Franck Jovanovic,Christophe Schinckus
Publisher : Oxford University Press
Page : 249 pages
File Size : 47,7 Mb
Release : 2017
Category : Business & Economics
ISBN : 9780190205034

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Econophysics and Financial Economics by Franck Jovanovic,Christophe Schinckus Pdf

This work provides an 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.

Quantitative Financial Risk Management

Constantin Zopounidis,Emilios Galariotis
Quantitative Financial Risk Management Book PDF

Author : Constantin Zopounidis,Emilios Galariotis
Publisher : John Wiley & Sons
Page : 455 pages
File Size : 55,7 Mb
Release : 2015-05-18
Category : Business & Economics
ISBN : 9781118738184

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Quantitative Financial Risk Management by Constantin Zopounidis,Emilios Galariotis Pdf

A Comprehensive Guide to Quantitative Financial Risk Management Written by an international team of experts in the field, Quantitative Financial Risk Management: Theory and Practice provides an invaluable guide to the most recent and innovative research on the topics of financial risk management, portfolio management, credit risk modeling, and worldwide financial markets. This comprehensive text reviews the tools and concepts of financial management that draw on the practices of economics, accounting, statistics, econometrics, mathematics, stochastic processes, and computer science and technology. Using the information found in Quantitative Financial Risk Management can help professionals to better manage, monitor, and measure risk, especially in today's uncertain world of globalization, market volatility, and geo-political crisis. Quantitative Financial Risk Management delivers the information, tools, techniques, and most current research in the critical field of risk management. This text offers an essential guide for quantitative analysts, financial professionals, and academic scholars.

Quantitative Methods for Economics and Finance

J.E. Trinidad-Segovia,Miguel Ángel Sánchez-Granero
Quantitative Methods for Economics and Finance Book PDF

Author : J.E. Trinidad-Segovia,Miguel Ángel Sánchez-Granero
Publisher : MDPI
Page : 418 pages
File Size : 50,7 Mb
Release : 2021-02-12
Category : Business & Economics
ISBN : 9783036501963

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Quantitative Methods for Economics and Finance by J.E. Trinidad-Segovia,Miguel Ángel Sánchez-Granero Pdf

This book is a collection of papers for the Special Issue “Quantitative Methods for Economics and Finance” of the journal Mathematics. This Special Issue reflects on the latest developments in different fields of economics and finance where mathematics plays a significant role. The book gathers 19 papers on topics such as volatility clusters and volatility dynamic, forecasting, stocks, indexes, cryptocurrencies and commodities, trade agreements, the relationship between volume and price, trading strategies, efficiency, regression, utility models, fraud prediction, or intertemporal choice.

Inspired by Finance

Yuri Kabanov,Marek Rutkowski,Thaleia Zariphopoulou
Inspired by Finance Book PDF

Author : Yuri Kabanov,Marek Rutkowski,Thaleia Zariphopoulou
Publisher : Springer Science & Business Media
Page : 543 pages
File Size : 53,5 Mb
Release : 2013-10-23
Category : Mathematics
ISBN : 9783319020693

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Inspired by Finance by Yuri Kabanov,Marek Rutkowski,Thaleia Zariphopoulou Pdf

The present volume is dedicated to Marek Musiela, an eminent scholar and practitioner who is perhaps best-known for his important contributions to problems of derivative pricing, theory of term structure of interest rates, theory of defaultable securities and other topics in modern mathematical finance. It includes 25 research papers by 47 authors, established experts and newcomers alike, that cover the whole range of the "hot" topics in the discipline. The contributed articles not only give a clear picture about what is going on in this rapidly developing field of knowledge but provide methods ready for practical implementation. They also open new prospects for further studies in risk management, portfolio optimization and financial engineering.

Levy Processes in Credit Risk

Wim Schoutens,Jessica Cariboni
Levy Processes in Credit Risk Book PDF

Author : Wim Schoutens,Jessica Cariboni
Publisher : John Wiley & Sons
Page : 200 pages
File Size : 41,6 Mb
Release : 2010-06-15
Category : Business & Economics
ISBN : 9780470685068

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Levy Processes in Credit Risk by Wim Schoutens,Jessica Cariboni Pdf

This book is an introductory guide to using Lévy processes for credit risk modelling. It covers all types of credit derivatives: from the single name vanillas such as Credit Default Swaps (CDSs) right through to structured credit risk products such as Collateralized Debt Obligations (CDOs), Constant Proportion Portfolio Insurances (CPPIs) and Constant Proportion Debt Obligations (CPDOs) as well as new advanced rating models for Asset Backed Securities (ABSs). Jumps and extreme events are crucial stylized features, essential in the modelling of the very volatile credit markets - the recent turmoil in the credit markets has once again illustrated the need for more refined models. Readers will learn how the classical models (driven by Brownian motions and Black-Scholes settings) can be significantly improved by using the more flexible class of Lévy processes. By doing this, extreme event and jumps can be introduced into the models to give more reliable pricing and a better assessment of the risks. The book brings in high-tech financial engineering models for the detailed modelling of credit risk instruments, setting up the theoretical framework behind the application of Lévy Processes to Credit Risk Modelling before moving on to the practical implementation. Complex credit derivatives structures such as CDOs, ABSs, CPPIs, CPDOs are analysed and illustrated with market data.