عنوان

Return distributions in finance /

شابک

0080516246

شابک

0750647515

شابک

9780080516240

شابک

9780750647519

شماره

b784551

عنوان اصلي

Return distributions in finance /

نام عام مواد

[Book]

نام نخستين پديدآور

edited by John Knight, Stephen Satchell.

محل نشرو پخش و غیره

Boston :

نام ناشر، پخش کننده و غيره

Butterworth-Heinemann,

تاریخ نشرو بخش و غیره

2001.

نام خاص و کميت اثر

1 online resource (xiv, 313 pages) :

ساير جزييات

illustrations.

عنوان فروست

Quantitative finance series

متن يادداشت

Includes bibliographical references and index.

متن يادداشت

Modelling asset returns with hyperbolic distributions / N.H. Bingham and Rüdiger Kiesel -- A review of asymmetric conditional density functions in autoregressive conditional heteroscedasticity models / Shaun A. Bond -- The distribution of commercial real estate returns / Colin Lizieri and Charles Ward -- Modelling emerging market risk premia using higher moments / Soosung Hwang and Stephen E. Satchell -- Are stock prices driven by the volume of trade? Empirical analysis of the FT30, FT100 and certain British shares over 1988-1990 / L.C.G. Rogers, Stephen E. Satchell and Youngjun Yoon -- Testing for a finite variance in stock return distributions / Jun Yu -- Implementing option pricing models when asset returns are predictable and discontinuous / George J. Jiang -- The probability functions of option prices, risk-neutral pricing and Value-at-Risk / John L. Knight, Stephen E. Satchell and Guoqiang Wang -- Pricing derivatives written on assets with arbitrary skewness and kurtosis / John L. Knight and Stephen E. Satchell -- The distribution of realized returns from moving average trading rules with application to Canadian stock market data / Alexander Fritsche.

بدون عنوان

0

متن يادداشت

Quantitative methods have revolutionised the area of trading, regulation, risk management, portfolio construction, asset pricing and treasury activities, and governmental activity such as central banking. One of the original contributions in this area is the classic by Cootner entitled 'The Random Nature of Stock Market Prices'. This work investigated the statistical properties of asset prices and was one of the first works to investigate this area in a rigorous manner. Much has happened in this field in the last 35 years and 'Return Distributions in Finance' contains much new information that reflects this huge growth. The authors combined experience reflects not only the new theory but also the new practice in this fascinating area. The rise of financial engineering now allows us to change the nature of asset returns to whatever pattern we desire, albeit at a cost. Benefits and costs can only be understood if we understand the underlying processes. 'Return Distributions in Finance' allows us to gain that understanding. Assists in understanding asset return distributions Provides a full overview of financial risk management techniques in asset allocation Demonstrates how to use asset return forecast applications.

منبع سفارش / آدرس اشتراک

Elsevier Science & Technology

شماره انبار

95066:95065

عنوان

Return distributions in finance.

شماره استاندارد بين المللي کتاب و موسيقي

9780750647519

موضوع مستند نشده

Asset allocation.

موضوع مستند نشده

Financial engineering.

موضوع مستند نشده

Investments-- Mathematics.

موضوع مستند نشده

Asset allocation.

موضوع مستند نشده

Financial engineering.

موضوع مستند نشده

Investments-- Mathematics.

شماره

ويراست

شماره رده

نشانه اثر

مستند نام اشخاص تاييد نشده

Knight, John L.

مستند نام اشخاص تاييد نشده

Satchell, S., (Stephen)

تاريخ عمليات

20201206223941.0

قواعد فهرست نويسي ( بخش توصيفي )

pn

نام الکترونيکي

نوع ماده

[Book]

تكميل شده

Y