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Financial Models with Levy Processes and Volatility Clustering

By Svetlozar T. Rachev, Young Shin Kim, Michele L. Bianchi, Frank J. Fabozzi
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By Svetlozar T. Rachev, Young Shin Kim, Michele L. Bianchi, Frank J. Fabozzi
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An in-depth guide to understanding probability distributions and financial modeling for the purposes of investment management

In Financial Models with Lévy Processes and Volatility Clustering, the expert author team provides a framework to model the behavior of stock returns in both a univariate and a multivariate setting, providing you with practical applications to option pricing and portfolio management. They also explain the reasons for working with non-normal distribution in finan…

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