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Financial Mathematics, Volatility and Covariance Modelling

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advanced volatility forecasting models
ARMA Representation
Asymptotic Mixed Normality
Category=KCH
Category=KCVG
Category=PBW
commodities finance
commodity markets
control optimization
Convexity Correction
econometric modelling
econometrics
energy markets
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finance markets
GARCH Equation
GARCH Model
GARCH Parameter
Gdp Growth
GJR GARCH Model
HAR Model
Heston Stochastic Volatility Model
Heterogeneous Autoregressive Model
high-frequency data analysis
Intra-day Returns
Intraday Seasonality
Limit Order Books
Lob Model
Merton Jump Diffusion Model
Microstructure Noise
Realized Covariance Matrix
Realized Kernel
Realized Volatilities Series
Realized Volatility Measures
risk management strategies
Risk Neutral Measure
Robust Loss Functions
sovereign debt modelling
stochastic modelling
stochastic processes
Stochastic Volatility Models
term structure analysis
Volatility Swaps

Product details

  • ISBN 9780367785581
  • Weight: 560g
  • Dimensions: 156 x 234mm
  • Publication Date: 31 Mar 2021
  • Publisher: Taylor & Francis Ltd
  • Publication City/Country: GB
  • Product Form: Paperback
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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.
About

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 Maître de Conférences-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.