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Asset price dynamics, volatility, and prediction
Taylor, Stephen J.; Taylor, Stephen - 2005
Persistent link: https://www.econbiz.de/10002746484
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Analytically tractable stochastic stock price models
Gulisashvili, Archil - 2012
Persistent link: https://www.econbiz.de/10009623216
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Statistics and finance : an introduction
Ruppert, David - 2004
This textbook emphasizes the applications of statistics and probability to finance. Students are assumed to have had a prior course in statistics, but no background in finance or economics. The basics of probability and statistics are reviewed and more advanced topics in statistics, such as...
Persistent link: https://www.econbiz.de/10001805902
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Finance and derivatives : theory and practice
Bossu, Sébastien; Henrotte, Philippe - 2006
Persistent link: https://www.econbiz.de/10002934278
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Fitting local volatility : analytic and numerical approaches in Black-Scholes and local variance gamma models
Itkin, Andrey - 2020
"The concept of local volatility as well as the local volatility model are one of the classical topics of mathematical … volatility function; b) construction of parametric or non-parametric regression of the local volatility surface suitable for fast … calibration; c) no-arbitrage interpolation and extrapolation of the local and implied volatility surfaces; d) extension of the …
Persistent link: https://www.econbiz.de/10012199721
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Interest rate models - theory and practice : with smile, inflation and credit ; with 131 tables
Brigo, Damiano; Mercurio, Fabio - 2006 - 2. ed.
Persistent link: https://www.econbiz.de/10002116360
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Discrete time series, processes, and applications in finance
Zumbach, Gilles O. - 2013
-frequency volatility estimators, market risk evaluation, covariance estimation and multivariate extensions of the processes. The book … and continues to be engaged in research on many topics in finance. His primary areas of interest are volatility, ARCH …
Persistent link: https://www.econbiz.de/10009634376
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Derivate im Portfoliomanagement
Bossert, Thomas - 2017
Persistent link: https://www.econbiz.de/10011648924
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The Art of Quantitative Finance Vol.2 : Volatilities, Stochastic Analysis and Valuation Tools
Larcher, Gerhard - 2023
Volatilities -- Extensions of the Black-Scholes theory to other types of options (futures options, currency options, American options, path-dependent options, multi-asset options) -- Fundamentals: stochastic analysis and applications, interest rate dynamics, and basic principles of pricing...
Persistent link: https://www.econbiz.de/10014239929
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Nonlinear time series models in empirical finance
Franses, Philip Hans; Dijk, Dick van - 2000 - 1. publ.
Persistent link: https://www.econbiz.de/10001484071