This book examines non-Gaussian distributions. It addresses the causes and consequences of non-normality and time dependency in both asset returns and option prices. The book is written for non-mathematicians who want to model financial market prices so the emphasis throughout is on practice. There are abundant empirical illustrations of the models and techniques described, many of which could be equally applied to other financial time series.
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This book examines non-Gaussian distributions. It addresses the causes and consequences of non-normality and time dependency in both asset returns and option prices. The book is written for non-mathematicians who want to model financial market prices so the emphasis throughout is on practice. There are abundant empirical illustrations of the models and techniques described, many of which could be equally applied to other financial time series.
Imprint | Springer London |
Country of origin | United Kingdom |
Series | Springer Finance |
Release date | October 2010 |
Availability | Expected to ship within 10 - 15 working days |
First published | 2007 |
Authors | Eric Jondeau, Ser-Huang Poon, Michael Rockinger |
Dimensions | 235 x 155 x 28mm (L x W x T) |
Format | Paperback |
Pages | 541 |
Edition | Softcover reprint of hardcover 1st ed. 2007 |
ISBN-13 | 978-1-84996-599-6 |
Barcode | 9781849965996 |
Categories | |
LSN | 1-84996-599-4 |