Книга: Prashant Joshi «Volatility and Volatility Models with R»
|
Производитель: "LAP Lambert Academic Publishing" One of the most important features of financial assets is the asset price volatility. Understanding volatility and its modelling has been subject matter of great concern for academicians, policy makers and practitioners. The objective of the book is to analyze and capture volatility using ARCH/GARCH classes of models and suggest the best model which explains volatility and its characteristics in a better way. The unique feature of the book is that it uses open source software R to analyse the data set. It implements various functions in R to carry out analysis. The data codes are given in the book. This will help researcher to analyse his/her data set with little bit of modification in the codes. The approach adopted in the book will facilitate any researcher to perform advanced time series data analysis at ease. ISBN:9783659580185 Издательство: "LAP Lambert Academic Publishing" (2014)
ISBN: 9783659580185 |
Другие книги схожей тематики:
| Автор | Книга | Описание | Год | Цена | Тип книги |
|---|---|---|---|---|---|
| Luc Bauwens | Handbook of Volatility Models and Their Applications | A complete guide to the theory and practice of volatility models in financial engineering Volatility has become a hot topic in this era of instant communications, spawning a great deal of research in… — John Wiley&Sons Limited, электронная книга Подробнее... | 13204.47 | электронная книга | |
| Stefano Iacus M. | Option Pricing and Estimation of Financial Models with R | Presents inference and simulation of stochastic process in the field of model calibration for financial times series modelled by continuous time processes and numerical option pricing. Introduces the… — John Wiley&Sons Limited, электронная книга Подробнее... | 9049.6 | электронная книга | |
| Frank Fabozzi J. | Financial Models with Levy Processes and Volatility Clustering | 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… — John Wiley&Sons Limited (USD), электронная книга Подробнее... | 7154.35 | электронная книга | |
| Adam Iqbal S. | Volatility. Practical Options Theory | Gain a deep, intuitive and technical understanding of practical options theory The main challenges in successful options trading are conceptual, not mathematical. Volatility: Practical Options Theory… — John Wiley&Sons Limited (USD), электронная книга Подробнее... | 5619.41 | электронная книга | |
| Euan Sinclair | Volatility Trading | Popular guide to options pricing and position sizing for quant traders In this second edition of this bestselling book, Sinclair offers a quantitative model for measuring volatility in order to gain… — John Wiley&Sons Limited (USD), электронная книга Подробнее... | 4877.96 | электронная книга | |
| Emanuel Derman | The Volatility Smile | The Volatility Smile The Black-Scholes-Merton option model was the greatest innovation of 20th century finance, and remains the most widely applied theory in all of finance. Despite this success, the… — John Wiley&Sons Limited (USD), электронная книга Подробнее... | 5528.36 | электронная книга | |
| Wetterau Daniel | Financial Modelling. Theory, Implementation and Practice with MATLAB Source | Financial modelling Theory, Implementation and Practice with Matlab Source Jörg Kienitz and Daniel Wetterau Financial Modelling – Theory, Implementation and Practice with MATLAB Source is a unique… — John Wiley&Sons Limited, электронная книга Подробнее... | 10536.4 | электронная книга | |
| Gregory Vainberg | Option Pricing Models and Volatility Using Excel-VBA | This comprehensive guide offers traders, quants, and students the tools and techniques for using advanced models for pricing options. The accompanying website includes data files, such as options… — John Wiley&Sons Limited (USD), электронная книга Подробнее... | 7479.54 | электронная книга | |
| Antonio Castagna | FX Options and Smile Risk | The FX options market represents one of the most liquid and strongly competitive markets in the world, and features many technical subtleties that can seriously harm the uninformed and unaware… — John Wiley&Sons Limited, электронная книга Подробнее... | 10146.16 | электронная книга | |
| Peter Carr | Advanced Equity Derivatives. Volatility and Correlation | In Advanced Equity Derivatives: Volatility and Correlation, Sébastien Bossu reviews and explains the advanced concepts used for pricing and hedging equity exotic derivatives. Designed for financial… — John Wiley&Sons Limited, электронная книга Подробнее... | 10810.32 | электронная книга |
См. также в других словарях:
Volatility smile — In finance, the volatility smile is a long observed pattern in which at the money options tend to have lower implied volatilities than in or out of the money options. The pattern displays different characteristics for different markets and… … Wikipedia
Stochastic volatility — models are used in the field of quantitative finance to evaluate derivative securities, such as options. The name derives from the models treatment of the underlying security s volatility as a random process, governed by state variables such as… … Wikipedia
Local volatility — is a term used in quantitative finance to denote the set of diffusion coefficients, sigma(S T,T), that are consistent with the set of market prices for all option prices on a given underlier. This model is used to calculate values of exotic… … Wikipedia
Stable and tempered stable distributions with volatility clustering - financial applications — Classical financial models which assume homoskedasticity and normality cannot explain stylized phenomena such as skewness, heavy tails, and volatility clustering of the empirical asset returns in finance. In 1963, Benoit Mandelbrot first used the … Wikipedia
Business and Industry Review — ▪ 1999 Introduction Overview Annual Average Rates of Growth of Manufacturing Output, 1980 97, Table Pattern of Output, 1994 97, Table Index Numbers of Production, Employment, and Productivity in Manufacturing Industries, Table (For Annual… … Universalium
Interest rate cap and floor — Interest rate c An interest rate cap is a derivative in which the buyer receives payments at the end of each period in which the interest rate exceeds the agreed strike price. An example of a cap would be an agreement to receive a payment for… … Wikipedia
