Financial Models with Levy Processes and Volatility Clusterin... - 9780470482353

Financial Models with Levy Processes and Volatility ClusteringAuthor(s): Svetlozar T. Rachev, Young Shin Kim, Michele L. Bianchi, Frank J. Fabozzi\nFormat: Hardback\nPublisher: John Wiley & Sons Inc, United States\nImprint: John Wiley & Sons Inc\nISBN-13: 9780470482353, 978-0470482353\nSynopsis\nAn in-depth guide to understanding probability distributions and financial modeling for the purposes of investment management In Financial Models with Lvy 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.\n\n The book's framework includes the basics of probability distributions and explains the alpha-stable distribution and the tempered stable dis.