Financial Modeling Under Non-Gaussian Distributions by Eric Jondeau

By Eric Jondeau

Practitioners and researchers who've dealt with monetary industry information understand that asset returns don't behave in line with the bell-shaped curve, linked to the Gaussian or common distribution. certainly, using Gaussian versions while the asset go back distributions aren't common may lead to a mistaken number of portfolio, the underestimation of utmost losses or mispriced spinoff items. for that reason, non-Gaussian versions and types in keeping with approaches with jumps are rising in popularity between monetary marketplace practitioners.

Non-Gaussian distributions are the major topic of this ebook which addresses the motives and outcomes of non-normality and time dependency in either asset returns and alternative costs. one of many major goals is to bridge the space among the theoretical advancements and the sensible implementations of what many clients and researchers understand as "sophisticated" versions or black bins. The publication is written for non-mathematicians who are looking to version monetary marketplace costs so the emphasis all through is on perform. There are considerable empirical illustrations of the types and strategies defined, a lot of which can be both utilized to different monetary time sequence, comparable to trade and rates of interest. The authors have taken care to make the fabric available to a person with a simple wisdom of statistics, calculus and chance, whereas while keeping the mathematical rigor and complexity of the unique versions.

This booklet could be a necessary reference for practitioners within the finance undefined, specially these accountable for dealing with portfolios and tracking monetary chance, however it can be important for mathematicians who need to know extra approximately how their mathematical instruments are utilized in finance, and as a textual content for complicated classes in empirical finance; monetary econometrics and monetary derivatives

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