Financial Mathematics, Volatility And Covariance Modelling

By Julien Chevallier, Stéphane Goutte, David Guerreiro, Sophie Saglio

Subjects: Macroeconomics, Stochastic processes, Econometrics, Statistical modelling, Multivariate analysis, Mathematical models, Statistical inference, Mathematical modelling, Market research, BUSINESS & ECONOMICS / Econometrics, Mathematical statistics, Modèles mathématiques, Time series analysis, Finances, BUSINESS & ECONOMICS / Economics / General, Finance, Finance, mathematical models, BUSINESS & ECONOMICS / General

Description: 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.