Asset price dynamics, volatility, and prediction
Auteur :
Taylor, Stephen J.
Éditeur :
Princeton University Press
ISBN :
9780691134796
Date de publication :
2 sept. 2007
Dimensions :
21,0 x 15,0 x 2,5 cm
Poids :
765 g
Format :
Trade paperback (US)
Langue :
Anglais
Pays d'origine :
Grande Bretagne
Moving beyond purely theoretical models, the author applies methods supported by empirical research of equity and foreign exchange markets to show how daily and more frequent asset prices, and the prices of option contracts, can be used to construct and assess predictions about future prices, their volatility, and their probability distributions.