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Modelling financial time series
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BookPublication details: Singapore: World Scientific, 2008.Edition: 2nd edDescription: xxvi, 268 p.: ill.; 24 cmISBN: - 9789812770844
- 332.01 TAY
| Item type | Current library | Collection | Call number | Status | Date due | Barcode |
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IIT Gandhinagar | General | 332.01 TAY (Browse shelf(Opens below)) | Available | 002619 |
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| 332.6401513 MAK Mathematical techniques in financial market trading | 330.015195 CUR Comparative statics analysis in economics | 332 BIA Financial economics, risk and information : an introduction to methods and models : | 332.01 TAY Modelling financial time series | 332.0151 JOS Concepts and practice of mathematical finance | 519.2 MIK Elementary stochastic calculus with finance in view | 657.3 BHA Introduction to financial statement analysis |
This book contains several models for the prices of financial assets. It presents ARCH and stochastic volatility models that are often used and cited in academic research and are applied by quantitative analysts in many banks. Another often-cited contribution of the first edition is the documentation of statistical characteristics of financial returns, which are referred to as stylized facts--BOOK JACKET
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