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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

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2010, ISBN: 3639245334

ID: 21954435537

[EAN: 9783639245332], [SC: 0.0], [PU: VDM Verlag Dr. Müller], Gebraucht - Sehr gut SG - Ungelesenes Mängelexemplar, gestempelt, mit leichten Lagerspuren, Versand per Büchersendung - 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. 236 pp. Englisch

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2010, ISBN: 9783639245332

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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. DISTRIBUTION OF RETURNS AND MEMORY EFFECTS IN INDIAN CAPITAL MARKETS Buch (fremdspr.) Taschenbuch 01.03.2010 Bücher>Fremdsprachige Bücher>Englische Bücher, VDM, .201

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ISBN: 9783639245332

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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. DISTRIBUTION OF RETURNS AND MEMORY EFFECTS IN INDIAN CAPITAL MARKETS Buch (fremdspr.) Bücher>Fremdsprachige Bücher>Englische Bücher, VDM

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ISBN: 3639245334

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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. Livre - Livre, [PU: VDM Verlag Dr. Müller, Saarbrücken]

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Statistical Mechanics of Financial Markets:DISTRIBUTION OF RETURNS AND MEMORY EFFECTS IN INDIAN CAPITAL MARKETS Prabakaran Sella Statistical Mechanics of Financial Markets:DISTRIBUTION OF RETURNS AND MEMORY EFFECTS IN INDIAN CAPITAL MARKETS Prabakaran Sella Bücher > Wissenschaft > Wirtschaftswissenschaft, VDM Verlag

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** Details of the book - Statistical Mechanics of Financial Markets: DISTRIBUTION OF RETURNS AND MEMORY EFFECTS IN INDIAN CAPITAL MARKETS**

EAN (ISBN-13): 9783639245332

ISBN (ISBN-10): 3639245334

Hardcover

Paperback

Publishing year: 2010

Publisher: VDM Verlag Mrz 2010

Book in our database since 04.08.2008 22:20:04

Book found last time on 17.07.2018 13:15:19

ISBN/EAN: 9783639245332

ISBN - alternate spelling:

3-639-24533-4, 978-3-639-24533-2

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