Financial Mathematics, Volatility and Covariance Modelling: Volume 2

ISBN-13: 9781138060944 / Angielski / Twarda / 2019 / 370 str.

Julien Chevallier; Stephane Goutte; David Guerreiro

Opis

This book provides a key repository on the current state of knowledge, the latest debates and recent literature on financial mathematics, volatility and covariance modelling.

Spis treści

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