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Essays on financial econometrics - Derivatives pricing
Mateusz P. Dziubinski
eBook Edition: 2012

The unifying themes of this dissertation are financial econometrics and derivatives pricing. An underlying topic is the price behavior of a financial asset, be it a stock market index or a commodity derivative, with an additional focus on the factors affecting this behavior, like the volatility and inventory levels. Practical implementation issues arising in applying the models, together with an empirical motivation for the why are emphasized over a purely theoretical model treatment and development or the sole focus on the how. (From author)

eBook Contents

Preface - Summary - Option Valuation with the Simplified Component GARCH Model - Conditionally-Uniform Feasible Grid Search Algorithm - Commodity Derivatives Pricing with Inventory Effects

eBook License: Copyrighted (Personal Use Only)

Free PDF eBook - 1.82 Mb - 141 pages