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    Financial Models with Levy Processes and Volatility Clustering
    Unavailable
    Financial Models with Levy Processes and Volatility Clustering
    Unavailable
    Financial Models with Levy Processes and Volatility Clustering
    Ebook416 pages7 hours

    Financial Models with Levy Processes and Volatility Clustering

    By Svetlozar T. Rachev, Young Shin Kim, Michele L. Bianchi and Frank J. Fabozzi

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    About this ebook

    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.

    LanguageEnglish
    PublisherWiley
    Release dateFeb 2, 2011
    ISBN9780470937167
    Unavailable
    Financial Models with Levy Processes and Volatility Clustering
    Author

    Svetlozar T. Rachev

    Svetlozar (Zari) Rachev completed his PhD in 1979 from Moscow State University, and his Doctor of Science degree in 1986 from the Steklov mathematical Institute in Moscow. Currently he is Chair-Professor at the University of Karlsruhe in the School of Economics and Business Engineering. He is also Professor Emeritus at the University of California Santa Barbara in the Dept of Statistics and Applied Probability. He has published six monographs and over 230 research articles. He is a Fellow of the Institute of Mathematical Statistics, Elected member of the International statistical Institute, foreign Member of the Russian Academy of Natural Science, and hols an honorary doctorate degree from St. Petersburg Technical University. He is co-founder of Bravo Risk Management Group specializing in financial risk management software. Bravo Group was recently acquired by FinAnalytics for which he currently serves as Chief-Scientist.

    Read more from Svetlozar T. Rachev

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