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Statistical Mechanics of Financial Markets: DISTRIBUTION OF RETURNS AND MEMORY EFFECTS IN INDIAN CAPITAL MARKETS - Prabakaran Sella
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Statistical Mechanics of Financial Markets: DISTRIBUTION OF RETURNS AND MEMORY EFFECTS IN INDIAN CAPITAL MARKETS - Paperback

2001, ISBN: 9783639245332

[ED: Taschenbuch], [PU: VDM Verlag Dr. Müller], Gebraucht - Sehr gut sg - ungelesenes mängelexemplar, gestempelt, mit leichten lagerspuren - The Black Scholes model of option pricing cons… More...

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Statistical Mechanics of Financial Markets: DISTRIBUTION OF RETURNS AND MEMORY EFFECTS IN INDIAN CAPITAL MARKETS : DISTRIBUTION OF RETURNS AND MEMORY EFFECTS IN INDIAN CAPITAL MARKETS - Prabakaran Sella
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Prabakaran Sella:

Statistical Mechanics of Financial Markets: DISTRIBUTION OF RETURNS AND MEMORY EFFECTS IN INDIAN CAPITAL MARKETS : DISTRIBUTION OF RETURNS AND MEMORY EFFECTS IN INDIAN CAPITAL MARKETS - Paperback

2010, ISBN: 3639245334

[EAN: 9783639245332], [SC: 0.0], [PU: VDM Verlag Dr. Müller], Gebraucht - Sehr gut sg - ungelesenes mängelexemplar, gestempelt, mit leichten lagerspuren - The Black Scholes model of optio… More...

Shipping costs:Versandkostenfrei. (EUR 0.00) AHA-BUCH, Einbeck, Germany [61614070] [Rating: 5 (von 5)]
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Statistical Mechanics of Financial Markets / DISTRIBUTION OF RETURNS AND MEMORY EFFECTS IN INDIAN CAPITAL MARKETS / Prabakaran Sella / Taschenbuch / Englisch / VDM Verlag Dr. Müller - Sella, Prabakaran
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Sella, Prabakaran:
Statistical Mechanics of Financial Markets / DISTRIBUTION OF RETURNS AND MEMORY EFFECTS IN INDIAN CAPITAL MARKETS / Prabakaran Sella / Taschenbuch / Englisch / VDM Verlag Dr. Müller - Paperback

ISBN: 9783639245332

[ED: Taschenbuch], [PU: VDM Verlag Dr. Müller], The Black Scholes model of option pricing constitutes the cornerstone of contemporary valuation theory. However, the model presupposes the … More...

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Statistical Mechanics of Financial Markets - Prabakaran Sella
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Prabakaran Sella:
Statistical Mechanics of Financial Markets - First edition

2010, ISBN: 9783639245332

Hardcover

[ED: Kartoniert / Broschiert], [PU: VDM Verlag Dr. Mueller], Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Autor/Autorin: Sella Prabakar… More...

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Statistical Mechanics of Financial Markets - Prabakaran Sella
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Prabakaran Sella:
Statistical Mechanics of Financial Markets - Paperback

ISBN: 9783639245332

*Statistical Mechanics of Financial Markets* - DISTRIBUTION OF RETURNS AND MEMORY EFFECTS IN INDIAN CAPITAL MARKETS / Taschenbuch für 78.99 € / Aus dem Bereich: Bücher, Wissenschaft, Wirt… More...

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Statistical Mechanics of Financial Markets
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ISBN:

3639245334


The Black Scholes model of option pricing constitutes the cornerstone of contemporary valuation theory. However, the model presupposes the existence of several unrealistic assumptions including the lognormal distribution of stock market price processes. There, now, subsists abundant empirical evidence that this is not the case. It contemplates a statistical feedback process for the stochastic term in the Black Scholes partial differential equation. Several interesting implications of this modification emanate from the analysis and are explored. The Black Scholes model also assumes constancy of the return on the 'hedge portfolio'. Here the generalisation based on the assumption that the return process on the 'hedge portfolio' follows a stochastic process similar to the Vasicek model of short-term interest rates. The return process of stock markets has also been modeled as a Levy process in several studies relating to valuation of contingent claims. Performance of R/S analysis on the data also showed that memory effects are prevalent in the price time series with a possibility of nonlinearities and chaos.

Details of the book - Statistical Mechanics of Financial Markets


EAN (ISBN-13): 9783639245332
ISBN (ISBN-10): 3639245334
Hardcover
Paperback
Publishing year: 2010
Publisher: VDM Verlag Dr. Müller

Book in our database since 2008-08-04T16:20:04-04:00 (New York)
Detail page last modified on 2023-11-02T11:52:52-04:00 (New York)
ISBN/EAN: 3639245334

ISBN - alternate spelling:
3-639-24533-4, 978-3-639-24533-2
Alternate spelling and related search-keywords:
Book author: sella
Book title: the statistical mechanics financial markets, capital returns, distribution mechanics

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