Tempered Stable Models And Finance
DOWNLOAD
Download Tempered Stable Models And Finance PDF/ePub or read online books in Mobi eBooks. Click Download or Read Online button to get Tempered Stable Models And Finance book now. This website allows unlimited access to, at the time of writing, more than 1.5 million titles, including hundreds of thousands of titles in various foreign languages. If the content not found or just blank you must refresh this page
Tempered Stable Models And Finance
DOWNLOAD
Author : Young Shin Kim
language : en
Publisher:
Release Date : 2010
Tempered Stable Models And Finance written by Young Shin Kim and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with categories.
Tempered Stable Distributions
DOWNLOAD
Author : Michael Grabchak
language : en
Publisher: Springer
Release Date : 2016-01-26
Tempered Stable Distributions written by Michael Grabchak and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-01-26 with Mathematics categories.
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.
Stable Paretian Models In Finance
DOWNLOAD
Author : Svetlozar T. Rachev
language : en
Publisher:
Release Date : 2000-06-15
Stable Paretian Models In Finance written by Svetlozar T. Rachev and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000-06-15 with Business & Economics categories.
The authors reconsider the problem of parametrically specifying distribution suitable for asset-return models. They describe alternative distributions, showing how they can be estimated and applied to stock-index and exchange-rate data. The implications for options pricing are also investigated.
Financial Models With Levy Processes And Volatility Clustering
DOWNLOAD
Author : Svetlozar T. Rachev
language : en
Publisher: John Wiley & Sons
Release Date : 2011-02-08
Financial Models With Levy Processes And Volatility Clustering written by Svetlozar T. Rachev and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-02-08 with Business & Economics categories.
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.
Risk Estimation On High Frequency Financial Data
DOWNLOAD
Author : Florian Jacob
language : en
Publisher: Springer
Release Date : 2015-03-28
Risk Estimation On High Frequency Financial Data written by Florian Jacob and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-03-28 with Mathematics categories.
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.
Encyclopedia Of Financial Models Volume Iii
DOWNLOAD
Author : Frank J. Fabozzi
language : en
Publisher: John Wiley & Sons
Release Date : 2012-09-20
Encyclopedia Of Financial Models Volume Iii written by Frank J. Fabozzi and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-09-20 with Business & Economics categories.
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.
Contributions To Infinite Divisibility For Financial Modeling
DOWNLOAD
Author : Reiichiro Kawai
language : en
Publisher:
Release Date : 2004
Contributions To Infinite Divisibility For Financial Modeling written by Reiichiro Kawai and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with Distribution (Probability theory) categories.
Infinitely divisible distributions and processes have been the object of extensive research not only from the theoretical point of view but also for practical use, for example, in queueing theory or mathematical finance. In this thesis, we will study some of their subclasses with a view towards financial modeling. As generalizations of stable distributions, we study the tempered stable distributions and introduce the new classes of layered stable distributions as well as the mixed stable distributions, along with the corresponding Levy processes. As a further generalization of infinitely divisible processes, fractional tempered stable motions are defined. These theoretical studies will be complemented by some more practical ones, such as the simulation of sample paths, parameter estimations, financial portfolio hedging, and solving stochastic differential equations.
Handbook Of Heavy Tailed Distributions In Asset Management And Risk Management
DOWNLOAD
Author : Michele Leonardo Bianchi
language : en
Publisher: World Scientific
Release Date : 2019-03-08
Handbook Of Heavy Tailed Distributions In Asset Management And Risk Management written by Michele Leonardo Bianchi and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-03-08 with Business & Economics categories.
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.
Advances In Heavy Tailed Risk Modeling
DOWNLOAD
Author : Gareth W. Peters
language : en
Publisher: John Wiley & Sons
Release Date : 2015-05-21
Advances In Heavy Tailed Risk Modeling written by Gareth W. Peters and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-05-21 with Mathematics categories.
ADVANCES IN HEAVY TAILED RISK MODELING A cutting-edge guide for the theories, applications, and statistical methodologies essential to heavy tailed risk modeling Focusing on the quantitative aspects of heavy tailed loss processes in operational risk and relevant insurance analytics, Advances in Heavy Tailed Risk Modeling: A Handbook of Operational Risk presents comprehensive coverage of the latest research on the theories and applications in risk measurement and modeling techniques. Featuring a unique balance of mathematical and statistical perspectives, the handbook begins by introducing the motivation for heavy tailed risk processes. A companion with Fundamental Aspects of Operational Risk and Insurance Analytics: A Handbook of Operational Risk, the handbook provides a complete framework for all aspects of operational risk management and includes: Clear coverage on advanced topics such as splice loss models, extreme value theory, heavy tailed closed form loss distribution approach models, flexible heavy tailed risk models, risk measures, and higher order asymptotic approximations of risk measures for capital estimation An exploration of the characterization and estimation of risk and insurance modeling, which includes sub-exponential models, alpha-stable models, and tempered alpha stable models An extended discussion of the core concepts of risk measurement and capital estimation as well as the details on numerical approaches to evaluation of heavy tailed loss process model capital estimates Numerous detailed examples of real-world methods and practices of operational risk modeling used by both financial and non-financial institutions Advances in Heavy Tailed Risk Modeling: A Handbook of Operational Risk is an excellent reference for risk management practitioners, quantitative analysts, financial engineers, and risk managers. The handbook is also useful for graduate-level courses on heavy tailed processes, advanced risk management, and actuarial science.
Maximum Likelihood Estimation Of Parametric Tempered Stable Distributions On The Real Line With Applications To Finance
DOWNLOAD
Author : Michael Grabchak
language : en
Publisher:
Release Date : 2008
Maximum Likelihood Estimation Of Parametric Tempered Stable Distributions On The Real Line With Applications To Finance written by Michael Grabchak and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with categories.