Items related to Discrete Time Series, Processes, and Applications in...
Discrete Time Series, Processes, and Applications in Finance - Softcover
Book 41 of 53: Springer Finance
Synopsis
Preface.- List of Figures.-List of Tables.- 1. Introduction.- 2.Notation, naming and general definitions.- 3.Stylized facts.- 4.Empirical mug shots.- 5.Process Overview.- 6.Logarithmic versus relative random walks.- 7.ARCH processes.- 8.Stochastic volatility processes.- 9.Regime switching process.- 10.Price and volatility using high-frequency data.- 11.Time reversal asymmetry.- 12.Characterizing heteroskedasticity.- 13.The innovation distributions.- 14.Leverage effect.- 15.Processes and market risk evaluation.- 16.Option pricing.- 17.Properties of large covariance matrices.- 18.Multivariate ARCH processes.- 19.The processes compatible with the stylized facts.- 20.Further thoughts.-Bibliography.- Index.
"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.