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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 - Livro de bolso

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… mais…

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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 - Livro de bolso

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… mais…

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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 - Livro de bolso

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 … mais…

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Statistical Mechanics of Financial Markets - Prabakaran Sella
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Statistical Mechanics of Financial Markets - primeira edição

2010, ISBN: 9783639245332

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Statistical Mechanics of Financial Markets - Prabakaran Sella
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Prabakaran Sella:
Statistical Mechanics of Financial Markets - Livro de bolso

ISBN: 9783639245332

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Statistical Mechanics of Financial Markets
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9783639245332


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.

Dados detalhados do livro - Statistical Mechanics of Financial Markets


EAN (ISBN-13): 9783639245332
ISBN (ISBN-10): 3639245334
Livro de capa dura
Livro de bolso
Ano de publicação: 2010
Editor/Editora: VDM Verlag Dr. Müller

Livro na base de dados desde 2008-08-04T21:20:04+01:00 (Lisbon)
Página de detalhes modificada pela última vez em 2023-11-02T15:52:52+00:00 (Lisbon)
Número ISBN/EAN: 9783639245332

Número ISBN - Ortografia alternativa:
3-639-24533-4, 978-3-639-24533-2
Ortografia alternativa e termos de pesquisa relacionados:
Autor do livro: sella
Título do livro: the statistical mechanics financial markets, capital returns, distribution mechanics

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