Book description
This book provides a key repository on the current state of knowledge, the latest debates and recent literature on financial mathematics, volatility and covariance modelling.
Table of contents
- Cover
- Half Title
- Series Page
- Title
- Copyright
- Contents
- About the editors
- List of contributors
- Introduction
- PART 1 Commodities finance
-
PART 2 Mathematical stochastical finance
- 4 Variance and volatility swaps and futures pricing for stochastic volatility models
- 5 A nonparametric ACD model
- 6 Sovereign debt crisis and economic growth: new evidence for the euro area
- 7 On the spot-futures no-arbitrage relations in commodity markets
- 8 Compound hawkes processes in limit order books
-
PART 3 Financial volatility and covariance modeling
- 9 Models with multiplicative decomposition of conditional variances and correlations
- 10 Do high-frequency-based measures improve conditional covariance forecasts?
- 11 Forecasting realized volatility measures with multivariate and univariate models: the case of the US banking sector
- 12 Covariance estimation and quasi-likelihood analysis
- 13 The Log-GARCH model via ARMA representations
- Index
Product information
- Title: Financial Mathematics, Volatility and Covariance Modelling
- Author(s):
- Release date: June 2019
- Publisher(s): Routledge
- ISBN: 9781351669085
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