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Financial Modeling Under Non-Gaussian Distributions Eric Jondeau, Michael Rockinger, Ser-Huang Poon
Publisher: Springer

As financial returns have non-Gaussian distributions with heavy tails, therefore PCA and FA are not suitable for modelling multivariate financial data, as both these second-order approaches are based on the assumption of Gaussianity [17]. Financial Modeling Under Non-Gaussian Distributions Eric Jondeau, Ser-Huang Poon and Michael Rockinger.pdf. The general nature of these problems is discussed under Mathematical finance, while specific techniques are listed under Outline of finance: Mathematical tools; see also Financial models with long-tailed distributions and volatility clustering. Practitioners and researchers who have handled financial market data know that asset returns do not behave according to the bell-shaped curve, associated with the Gaussian or normal distribution. Financial Modeling Under Non-Gaussian Distributions. Bank and Insurance Capital Management (Wiley Finance) by Frans De. No hassle with Excel sheets, no financial modelling . Titles in the Wiley Finance series: A. This site stores matlab codes accompanying the book Financial Modeling Under Non-Gaussian Distributions, a wonderful and easy to read book, which was used by my professor last semester, you can imagin . Financial Modeling 3ed simon benninga.pdf. Eric Jondeau, Ser-Huang Poon, Michael Rockinger (Springer Finance ) Financial Modeling Under Non-Gaussian Distributions [1st Edition . Financial Modeling Under Non-Gaussian Distributions (Springer Finance) . GO Financial Modeling Under Non-Gaussian Distributions Author: Eric Jondeau, Michael Rockinger, Ser-Huang Poon Type: eBook. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. Financial Modelling wit Jump processes R Cont & P Tankov.pdf. Publisher: Springer Page Count: 548. Language: English Released: 2006. Modellers are generally referred to as “quants” (quantitative analysts), and typically have Financial Modeling Under Non-Gaussian Distributions. Eric Jondeau, Ser-Huang Poon, Michael Rockinger More information.