Jondeau E., Poon S.-H., Rockinger M. Financial Modeling Under Non-Gaussian Distributions

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размер 5.37 МБ
добавлен 14 сентября 2011 г.

London, Springer-Verlag London Limited, 2007. - 546p.

Монография посвящена вопросу повышения достоверности анализа и моделирования финансовых рядов (цен активов, доходностей и т.п.)путём отказа от постулирования нормального распределения. В первой части рассматриваются статистические свойства финансовых временных рядов и модели ценообразования. Во второй части исследуются эконометрические методы моделирования и прогноза рядов.Третья часть рассматривает такие приложения этих моделей, как риск-менеджмент и оптимальное размещение портфеля. Четвёртая часть посвящена ценообразованию опционов при негауссовых доходностях. Пятая представляет собой математическое приложение.
Для научных работников, аспирантов и студентов по специальности "финансовая математика" и "теория вероятностей и матстатистика", а также для математиков в финансовых компаниях.

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