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Financial Modeling Under Non-Gaussian Distributions
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Eric Jondeau, University of Lausanne and Swiss Finance Institute Ser-Huang Poon, University of Manchester Michael Rockinger, University of Lausanne and Swiss Finance Institute
Springer, 2007 Outside North America
ISBN: 1-84628-419-8 |
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Written for postgraduate students and practitioners, this book uses MATLAB examples to address the causes and consequences of non-normality and time dependency in both asset returns and option prices. Topics covered include option pricing, exchange, and interest rates.
MATLAB is introduced and used to solve numerous examples in the book. In addition, a companion set of MATLAB M-files is available for download.
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