Financial Mathematics, Volatility and Covariance Modelling
Volume 2
1st Edition
Published on 28. June 2019
380 pages
978-1-351-66909-2 (ISBN)
Description
This book provides an up-to-date series of advanced chapters on applied financial econometric techniques pertaining the various fields of commodities finance, mathematics & stochastics, international macroeconomics and financial econometrics.
Financial Mathematics, Volatility and Covariance Modelling: Volume 2 provides a key repository on the current state of knowledge, the latest debates and recent literature on financial mathematics, volatility and covariance modelling. The first section is devoted to mathematical finance, stochastic modelling and control optimization. Chapters explore the recent financial crisis, the increase of uncertainty and volatility, and propose an alternative approach to deal with these issues. The second section covers financial volatility and covariance modelling and explores proposals for dealing with recent developments in financial econometrics
This book will be useful to students and researchers in applied econometrics; academics and students seeking convenient access to an unfamiliar area. It will also be of great interest established researchers seeking a single repository on the current state of knowledge, current debates and relevant literature.
Financial Mathematics, Volatility and Covariance Modelling: Volume 2 provides a key repository on the current state of knowledge, the latest debates and recent literature on financial mathematics, volatility and covariance modelling. The first section is devoted to mathematical finance, stochastic modelling and control optimization. Chapters explore the recent financial crisis, the increase of uncertainty and volatility, and propose an alternative approach to deal with these issues. The second section covers financial volatility and covariance modelling and explores proposals for dealing with recent developments in financial econometrics
This book will be useful to students and researchers in applied econometrics; academics and students seeking convenient access to an unfamiliar area. It will also be of great interest established researchers seeking a single repository on the current state of knowledge, current debates and relevant literature.
More details
Series
Edition
1. Auflage
Language
English
Place of publication
London
United Kingdom
Publishing group
Taylor & Francis Ltd
Target group
College/higher education
Illustrations
36 Tables, black and white; 121 Line drawings, black and white; 121 Illustrations, black and white
ISBN-13
978-1-351-66909-2 (9781351669092)
Copyright in bibliographic data and cover images is held by Nielsen Book Services Limited or by the publishers or by their respective licensors: all rights reserved.
Schweitzer Classification
Other editions
Additional editions
Julien Chevallier | Stephane Goutte | David Guerreiro
Financial Mathematics, Volatility and Covariance Modelling
Volume 2
Book
03/2021
1st Edition
Routledge
€69.30
Shipment within 15-20 days
Julien Chevallier | Stephane Goutte | David Guerreiro
Financial Mathematics, Volatility and Covariance Modelling
Volume 2
Book
07/2019
1st Edition
Routledge
€264.70
Shipment within 10-20 days
Persons
Julien Chevallier is Full Professor of Economics at the University Paris 8 (LED), France. He undertakes research and lectures on empirical finance, applied time-series econometrics, and commodity markets. He has published articles in leading refereed journals.
Stephane Goutte is a Maitre de Conferences-HDR of Financial Mathematics at University Paris 8, France and Senior Lecturer in Mathematics at University of Luxembourg. He is also a researcher at the Chair European Electricity Markets of Paris Dauphine PSL University.
David Guerreiro is an Assistant Professor of Economics at the University Paris 8 (LED), France. His fields of research are International Macroeconomics, Monetary Economics and Meta-Analysis and he has published in numerous peer-reviewed journals.
Sophie Saglio is an Assistant Professor of Economics at the University Paris 8 (LED), France. Her research focuses on international economics and finance and she has published in various peer-reviewed journals.
Bilel Sanhaji is an Assistant Professor of Economics at the University Paris 8 (LED), France. His main research focuses on nonlinear time series econometrics and modelling volatility. He has published theoretical and applied research papers in various peer-reviewed journals.
Stephane Goutte is a Maitre de Conferences-HDR of Financial Mathematics at University Paris 8, France and Senior Lecturer in Mathematics at University of Luxembourg. He is also a researcher at the Chair European Electricity Markets of Paris Dauphine PSL University.
David Guerreiro is an Assistant Professor of Economics at the University Paris 8 (LED), France. His fields of research are International Macroeconomics, Monetary Economics and Meta-Analysis and he has published in numerous peer-reviewed journals.
Sophie Saglio is an Assistant Professor of Economics at the University Paris 8 (LED), France. Her research focuses on international economics and finance and she has published in various peer-reviewed journals.
Bilel Sanhaji is an Assistant Professor of Economics at the University Paris 8 (LED), France. His main research focuses on nonlinear time series econometrics and modelling volatility. He has published theoretical and applied research papers in various peer-reviewed journals.
Content
Introduction. Part 1: Commodities Finance. 1. Long Memory and Asymmetry in Commodity Returns and Risk: The Role of Term Spread. 2. The Quantile-Heterogeneous Autoregressive Model of Realized Volatility: New Evidence from Commodity Markets. 3. The Importance of Rollover in Commodity Returns using PARCH models. 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 Modelling. 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
