Financial Modeling Under Non-Gaussian Distributions

Eric Jondeau,Ser-Huang Poon,Michael Rockinger

Financial Modeling Under Non-Gaussian Distributions
Format
Hardback
Publisher
Springer London Ltd
Country
United Kingdom
Published
23 November 2006
Pages
541
ISBN
9781846284199

Financial Modeling Under Non-Gaussian Distributions

Eric Jondeau,Ser-Huang Poon,Michael Rockinger

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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.

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