Related Books

Jump-diffusion Models in Empirical Asset Pricing
Language: en
Pages: 158

Jump-diffusion Models in Empirical Asset Pricing

Authors: Adam Alexander Purzitsky
Categories:
Type: BOOK - Published: 2007 - Publisher:

DOWNLOAD EBOOK

Continuous-time Markov processes are widely used to model a variety of variables in financial economics. When estimating the parameters of a continuous-time Mar
An Empirical Study on the Jump-diffusion Two-beta Asset Pricing Model
Language: en
Pages: 158

An Empirical Study on the Jump-diffusion Two-beta Asset Pricing Model

Authors: Hongqing Chen
Categories: Investment analysis
Type: BOOK - Published: 1996 - Publisher:

DOWNLOAD EBOOK

Jump-diffusion Models of Asset Prices : Theory and Empirical Evidence
Language: en
Pages: 254

Jump-diffusion Models of Asset Prices : Theory and Empirical Evidence

Authors: Jun Pan
Categories: Options (Finance)
Type: BOOK - Published: 2000 - Publisher:

DOWNLOAD EBOOK

Empirical Performance and Asset Pricing in Markov Jump Diffusion Models
Language: en
Pages:

Empirical Performance and Asset Pricing in Markov Jump Diffusion Models

Authors:
Categories:
Type: BOOK - Published: - Publisher:

DOWNLOAD EBOOK

為了改進Black-Scholes模式的實證現象, 許多其他的模型被建議有leptokurtic特性以及波動度聚集的現象. 然而對於其他的模型分
Financial Modelling with Jump Processes
Language: en
Pages: 552

Financial Modelling with Jump Processes

Authors: Peter Tankov
Categories: Business & Economics
Type: BOOK - Published: 2003-12-30 - Publisher: CRC Press

DOWNLOAD EBOOK

WINNER of a Riskbook.com Best of 2004 Book Award! During the last decade, financial models based on jump processes have acquired increasing popularity in risk m