Financial Modeling Under Non-Gaussian Distributions
Eric Jondeau, University of Lausanne and Swiss Finance Institute;
Michael Rockinger, University of Lausanne and Swiss Finance Institute;
Ser-Huang Poon, University of Manchester
Springer International Publishing, 2007
ISBN: 1-84628-419-8;
Language: English
Written for postgraduate students and practitioners, this book uses MATLAB examples to address the causes and consequences of non-normality and time dependency in both asset returns and option prices. Topics covered include option pricing, exchange, and interest rates.
MATLAB is introduced and used to solve numerous examples in the book.
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