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Dynamic Models for Volatility and Heavy Tails

The volatility of financial returns changes over time and, for the last thirty years, Generalized Autoregressive Conditional;

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Dynamic Models for Volatility and Heavy Tails

The volatility of financial returns changes over time and, for the last thirty years, Generalized Autoregressive Conditional;

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Stochastic Models for Fractional Calculus

limit theorems for random variables and random vectors with heavy tails. This includes regular variation, triangular arrays, infinitely;

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Market Risk Analysis

-of' and spread options;* Libor model calibration;* Dynamic models for implied volatility based on principal component analysis;* Calibration;

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Asset Price Dynamics, Volatility, and Prediction

prices, their volatility, and their probability distributions. Stephen Taylor provides a comprehensive introduction to the dynamic behavior;

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The Volatility Smile

and dynamic replication * The Black-Scholes-Merton model * Hedging strategies * Transaction costs * The behavior of the volatility smile;

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Option Volatility Trading Strategies

volatility techniques. From the basis of implied volatility and how it's calculated, to the importance of dynamic hedging through delta and neutral;

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Option Pricing with Long Memory Stochastic Volatility Models

. Using the tools from stochastic calculus, fractional calculus and Fourier transform, we derive the (approximate) analytical solutions for option;

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Modeling Volatility in Financial Time Series

estimate various volatility models and how resulting estimates can be used for derivative pricing. This is extremely valuable for practitioners and;

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A Practical Guide To Forecasting Financial Market Volatility

Financial market volatility forecasting is one of today's most important areas of expertise for professionals and academics in investment;

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Exchange Rate Volatility, Trade, and Capital Flows under Alt

Recent years have seen a substantial increase in the volatility of exchange rates. This trend has prompted economists and finance analysts;

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Analytically Tractable Stochastic Stock Price Models

. In a stock price model with stochastic volatility, the random behavior of the volatility is described by a stochastic process. For instance;

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Volatility Surface and Term Structure

. This book studies the classical stochastic volatility and deterministic volatility models. For the former, the classical Heston model;

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Volatility Surface and Term Structure

. This book studies the classical stochastic volatility and deterministic volatility models. For the former, the classical Heston model;

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Advanced Equity Derivatives

In Advanced Equity Derivatives: Volatility and Correlation, Sebastien Bossu reviews and explains the advanced concepts used for pricing and;

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Stochastic Volatility in Financial Markets

Stochastic Volatility in Financial Markets presents advanced topics in financial econometrics and theoretical finance, and is divided into;

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Stochastic Volatility in Financial Markets

Stochastic Volatility in Financial Markets presents advanced topics in financial econometrics and theoretical finance, and is divided;

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Inference for Heavy-Tailed Data

, empirical likelihood based interval estimation for tail index and high quantiles, hypothesis tests for heavy tails, the choice of sample fraction;

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Market risk in transition countries - Value at Risk Approach

When using Value at Risk (VaR) models, created and suited for developed and liquid markets, in developing transition markets practitioners;

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Dynamic Linkages and Volatility Spillover

This book examines the dynamic relationship and volatility spillovers between crude oil prices, exchange rates and stock markets;

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Time Series Modelling in Earth Sciences

) extensions, the text also draws attention to non-linear methods, as well as state-space, dynamic linear, wavelet, volatility and long memory models;

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Interest Rate Derivatives Explained: Volume 2: Term Structure and Volatility Modelling

in practice. Such models are necessary to account for the volatility skew/smile and form the fundament for pricing and risk management of complex;

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Parameter Estimation in Stochastic Volatility Models

well as nontraditional continuous time stochastic volatility models driven by fractional Levy processes. By incorporating jumps and long memory;

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Forecasting Volatility in the Financial Markets

Forecasting Volatility in the Financial Markets, Third Editionassumes that the reader has a firm grounding in the key principles and;

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Dynamic Factor Models

Dynamic factor models (DFM) constitute an active and growing area of research, both in econometrics, in macroeconomics, and in finance;

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Japan-US Center UFJ Bank Monographs on International Financial Markets

Recent years have seen a substantial increase in the volatility of exchange rates. This trend has prompted economists and finance analysts;

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Market Risk Analysis Four Volume Boxset

options but excluding the calibration of stochastic volatility models, for which Matlab code is provided. The chapters on options and volatility;

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