Discrete Time Series, Processes, and Applications in Finance (Springer Finance)

0 avg rating
( 0 ratings by Goodreads )
 
9783642317415: Discrete Time Series, Processes, and Applications in Finance (Springer Finance)

Most financial and investment decisions are based on considerations of possible future changes and require forecasts on the evolution of the financial world. Time series and processes are the natural tools for describing the dynamic behavior of financial data, leading to the required forecasts. This book presents a survey of the empirical properties of financial time series, their descriptions by means of mathematical processes, and some implications for important financial applications used in many areas like risk evaluation, option pricing or portfolio construction. The statistical tools used to extract information from raw data are introduced. Extensive multiscale empirical statistics provide a solid benchmark of stylized facts (heteroskedasticity, long memory, fat-tails, leverage...), in order to assess various mathematical structures that can capture the observed regularities. The author introduces a broad range of processes and evaluates them systematically against the benchmark, summarizing the successes and limitations of these models from an empirical point of view. The outcome is that only multiscale ARCH processes with long memory, discrete multiplicative structures and non-normal innovations are able to capture correctly the empirical properties. In particular, only a discrete time series framework allows to capture all the stylized facts in a process, whereas the stochastic calculus used in the continuum limit is too constraining. The present volume offers various applications and extensions for this class of processes including high-frequency volatility estimators, market risk evaluation, covariance estimation and multivariate extensions of the processes. The book discusses many practical implications and is addressed to practitioners and quants in the financial industry, as well as to academics, including graduate (Master or PhD level) students. The prerequisites are basic statistics and some elementary financial mathematics.

"synopsis" may belong to another edition of this title.

About the Author:

Gilles Zumbach has worked for several institutions, including banks, hedge funds and service providers, while continuing to engage in research on many topics in finance, including tick-by-tick time series, market risk evaluations and option pricing, as well as long-term forecasts, bond portfolio construction, and real-time optimization of market orders. His primary areas of interest are volatility, ARCH processes and financial applications.

 

Review:

“The layout of the book is well done and very easy to read. From my experience, there are not many books of a similar approach; I believe it is quite unique in its nature. ... it provides an incredible amount of information that researchers interested in both mathematical and applied finance will find it a useful resource to learn basic asset behavior. The level is right for all researchers in the area with a master’s degree in statistics.” (Stergios B. Fotopoulos, Technometrics, Vol. 58 (3), August, 2016)

“The book aims to synthesize the present status of the field, but it also represents a subjective snapshot of the current situation, as viewed by the author. It is written in a very concise and elegant way, explaining the notation used as it is required. ... This book is definitely recommended to anyone (practitioners, quants, academics or graduate students) interested in attaining a deeper understanding of the dynamics of prices, as well as the corresponding stylized facts ... .” (Omar Rojas, MAA Reviews, January, 2013)

"About this title" may belong to another edition of this title.

Top Search Results from the AbeBooks Marketplace

1.

Gilles Zumbach
Published by Springer-Verlag Berlin and Heidelberg GmbH and Co. KG (2012)
ISBN 10: 3642317413 ISBN 13: 9783642317415
New Quantity Available: > 20
Print on Demand
Seller:
Pbshop
(Wood Dale, IL, U.S.A.)
Rating
[?]

Book Description Springer-Verlag Berlin and Heidelberg GmbH and Co. KG, 2012. HRD. Book Condition: New. New Book.Shipped from US within 10 to 14 business days.THIS BOOK IS PRINTED ON DEMAND. Established seller since 2000. Bookseller Inventory # IP-9783642317415

More Information About This Seller | Ask Bookseller a Question

Buy New
US$ 87.50
Convert Currency

Add to Basket

Shipping: US$ 3.99
Within U.S.A.
Destination, Rates & Speeds

2.

Gilles Zumbach
Published by Springer Berlin Heidelberg 2012-09-26, Berlin |London (2012)
ISBN 10: 3642317413 ISBN 13: 9783642317415
New Hardcover Quantity Available: 10
Seller:
Blackwell's
(Oxford, OX, United Kingdom)
Rating
[?]

Book Description Springer Berlin Heidelberg 2012-09-26, Berlin |London, 2012. hardback. Book Condition: New. Bookseller Inventory # 9783642317415

More Information About This Seller | Ask Bookseller a Question

Buy New
US$ 95.28
Convert Currency

Add to Basket

Shipping: US$ 4.05
From United Kingdom to U.S.A.
Destination, Rates & Speeds

3.

Gilles Zumbach
Published by Springer-Verlag Berlin and Heidelberg GmbH and Co. KG (2012)
ISBN 10: 3642317413 ISBN 13: 9783642317415
New Quantity Available: > 20
Print on Demand
Seller:
Books2Anywhere
(Fairford, GLOS, United Kingdom)
Rating
[?]

Book Description Springer-Verlag Berlin and Heidelberg GmbH and Co. KG, 2012. HRD. Book Condition: New. New Book. Delivered from our US warehouse in 10 to 14 business days. THIS BOOK IS PRINTED ON DEMAND.Established seller since 2000. Bookseller Inventory # IP-9783642317415

More Information About This Seller | Ask Bookseller a Question

Buy New
US$ 93.22
Convert Currency

Add to Basket

Shipping: US$ 12.16
From United Kingdom to U.S.A.
Destination, Rates & Speeds

4.

Zumbach, Gilles
Published by Springer (2017)
ISBN 10: 3642317413 ISBN 13: 9783642317415
New Hardcover Quantity Available: 19
Print on Demand
Seller:
Murray Media
(North Miami Beach, FL, U.S.A.)
Rating
[?]

Book Description Springer, 2017. Hardcover. Book Condition: New. Never used! This item is printed on demand. Bookseller Inventory # 3642317413

More Information About This Seller | Ask Bookseller a Question

Buy New
US$ 106.38
Convert Currency

Add to Basket

Shipping: US$ 1.99
Within U.S.A.
Destination, Rates & Speeds

5.

GILLES ZUMBACH
Published by Springer (2012)
ISBN 10: 3642317413 ISBN 13: 9783642317415
New Hardcover Quantity Available: 1
Seller:
Herb Tandree Philosophy Books
(Stroud, GLOS, United Kingdom)
Rating
[?]

Book Description Springer, 2012. Hardback. Book Condition: NEW. 9783642317415 This listing is a new book, a title currently in-print which we order directly and immediately from the publisher. Bookseller Inventory # HTANDREE0359681

More Information About This Seller | Ask Bookseller a Question

Buy New
US$ 100.22
Convert Currency

Add to Basket

Shipping: US$ 10.81
From United Kingdom to U.S.A.
Destination, Rates & Speeds

6.

Zumbach, Gilles
Published by Springer (2016)
ISBN 10: 3642317413 ISBN 13: 9783642317415
New Paperback Quantity Available: 1
Print on Demand
Seller:
Ria Christie Collections
(Uxbridge, United Kingdom)
Rating
[?]

Book Description Springer, 2016. Paperback. Book Condition: New. PRINT ON DEMAND Book; New; Publication Year 2016; Not Signed; Fast Shipping from the UK. No. book. Bookseller Inventory # ria9783642317415_lsuk

More Information About This Seller | Ask Bookseller a Question

Buy New
US$ 106.10
Convert Currency

Add to Basket

Shipping: US$ 5.23
From United Kingdom to U.S.A.
Destination, Rates & Speeds

7.

Gilles Zumbach
Published by Springer-Verlag Gmbh Okt 2012 (2012)
ISBN 10: 3642317413 ISBN 13: 9783642317415
New Quantity Available: 1
Seller:
Rating
[?]

Book Description Springer-Verlag Gmbh Okt 2012, 2012. Buch. Book Condition: Neu. Neuware - Most financial and investment decisions are based on considerations of possible future changes and require forecasts on the evolution of the financial world. Time series and processes are the natural tools for describing the dynamic behavior of financial data, leading to the required forecasts. This book presents a survey of the empirical properties of financial time series, their descriptions by means of mathematical processes, and some implications for important financial applications used in many areas like risk evaluation, option pricing or portfolio construction. The statistical tools used to extract information from raw data are introduced. Extensive multiscale empirical statistics provide a solid benchmark of stylized facts (heteroskedasticity, long memory, fat-tails, leverage.), in order to assess various mathematical structures that can capture the observed regularities. The author introduces a broad range of processes and evaluates them systematically against the benchmark, summarizing the successes and limitations of these models from an empirical point of view. The outcome is that only multiscale ARCH processes with long memory, discrete multiplicative structures and non-normal innovations are able to capture correctly the empirical properties. In particular, only a discrete time series framework allows to capture all the stylized facts in a process, whereas the stochastic calculus used in the continuum limit is too constraining. The present volume offers various applications and extensions for this class of processes including high-frequency volatility estimators, market risk evaluation, covariance estimation and multivariate extensions of the processes. The book discusses many practical implications and is addressed to practitioners and quants in the financial industry, as well as to academics, including graduate (Master or PhD level) students. The prerequisites are basic statistics and some elementary financial mathematics. 319 pp. Englisch. Bookseller Inventory # 9783642317415

More Information About This Seller | Ask Bookseller a Question

Buy New
US$ 105.68
Convert Currency

Add to Basket

Shipping: US$ 14.40
From Germany to U.S.A.
Destination, Rates & Speeds

8.

Gilles Zumbach
Published by Springer (2012)
ISBN 10: 3642317413 ISBN 13: 9783642317415
New Hardcover Quantity Available: 1
Seller:
Rating
[?]

Book Description Springer, 2012. Book Condition: New. Bookseller Inventory # L9783642317415

More Information About This Seller | Ask Bookseller a Question

Buy New
US$ 120.10
Convert Currency

Add to Basket

Shipping: US$ 3.59
From Germany to U.S.A.
Destination, Rates & Speeds

9.

Gilles Zumbach
Published by Springer-Verlag Gmbh Okt 2012 (2012)
ISBN 10: 3642317413 ISBN 13: 9783642317415
New Quantity Available: 1
Seller:
Rheinberg-Buch
(Bergisch Gladbach, Germany)
Rating
[?]

Book Description Springer-Verlag Gmbh Okt 2012, 2012. Buch. Book Condition: Neu. Neuware - Most financial and investment decisions are based on considerations of possible future changes and require forecasts on the evolution of the financial world. Time series and processes are the natural tools for describing the dynamic behavior of financial data, leading to the required forecasts. This book presents a survey of the empirical properties of financial time series, their descriptions by means of mathematical processes, and some implications for important financial applications used in many areas like risk evaluation, option pricing or portfolio construction. The statistical tools used to extract information from raw data are introduced. Extensive multiscale empirical statistics provide a solid benchmark of stylized facts (heteroskedasticity, long memory, fat-tails, leverage.), in order to assess various mathematical structures that can capture the observed regularities. The author introduces a broad range of processes and evaluates them systematically against the benchmark, summarizing the successes and limitations of these models from an empirical point of view. The outcome is that only multiscale ARCH processes with long memory, discrete multiplicative structures and non-normal innovations are able to capture correctly the empirical properties. In particular, only a discrete time series framework allows to capture all the stylized facts in a process, whereas the stochastic calculus used in the continuum limit is too constraining. The present volume offers various applications and extensions for this class of processes including high-frequency volatility estimators, market risk evaluation, covariance estimation and multivariate extensions of the processes. The book discusses many practical implications and is addressed to practitioners and quants in the financial industry, as well as to academics, including graduate (Master or PhD level) students. The prerequisites are basic statistics and some elementary financial mathematics. 319 pp. Englisch. Bookseller Inventory # 9783642317415

More Information About This Seller | Ask Bookseller a Question

Buy New
US$ 105.68
Convert Currency

Add to Basket

Shipping: US$ 20.55
From Germany to U.S.A.
Destination, Rates & Speeds

10.

Gilles Zumbach
Published by Springer-Verlag Gmbh Okt 2012 (2012)
ISBN 10: 3642317413 ISBN 13: 9783642317415
New Quantity Available: 1
Seller:
Agrios-Buch
(Bergisch Gladbach, Germany)
Rating
[?]

Book Description Springer-Verlag Gmbh Okt 2012, 2012. Buch. Book Condition: Neu. Neuware - Most financial and investment decisions are based on considerations of possible future changes and require forecasts on the evolution of the financial world. Time series and processes are the natural tools for describing the dynamic behavior of financial data, leading to the required forecasts. This book presents a survey of the empirical properties of financial time series, their descriptions by means of mathematical processes, and some implications for important financial applications used in many areas like risk evaluation, option pricing or portfolio construction. The statistical tools used to extract information from raw data are introduced. Extensive multiscale empirical statistics provide a solid benchmark of stylized facts (heteroskedasticity, long memory, fat-tails, leverage.), in order to assess various mathematical structures that can capture the observed regularities. The author introduces a broad range of processes and evaluates them systematically against the benchmark, summarizing the successes and limitations of these models from an empirical point of view. The outcome is that only multiscale ARCH processes with long memory, discrete multiplicative structures and non-normal innovations are able to capture correctly the empirical properties. In particular, only a discrete time series framework allows to capture all the stylized facts in a process, whereas the stochastic calculus used in the continuum limit is too constraining. The present volume offers various applications and extensions for this class of processes including high-frequency volatility estimators, market risk evaluation, covariance estimation and multivariate extensions of the processes. The book discusses many practical implications and is addressed to practitioners and quants in the financial industry, as well as to academics, including graduate (Master or PhD level) students. The prerequisites are basic statistics and some elementary financial mathematics. 319 pp. Englisch. Bookseller Inventory # 9783642317415

More Information About This Seller | Ask Bookseller a Question

Buy New
US$ 105.68
Convert Currency

Add to Basket

Shipping: US$ 20.55
From Germany to U.S.A.
Destination, Rates & Speeds

There are more copies of this book

View all search results for this book