Financial Models with Levy Processes and Volatility Clustering.

The financial crisis that began in the summer of 2007 has led to criticisms that the financial models used by risk managers, portfolio managers, and even regulators simply do not reflect the realities of today's markets. While one tool cannot be blamed for the entire global financial crisis, im...

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Bibliographic Details

Online Access:	Full Text (via Wiley)
Main Authors:	Kim, Young Shin (Author), Bianchi, Michele Leonardo (Author), Fabozzi, Frank J. (Author)
Format:	eBook
Language:	English
Published:	Wiley 2011.
Series:	Frank J. Fabozzi series.
Subjects:	Capital assets pricing model. Lévy processes. Finance > Mathematical models. Probabilities.