The Volatility Process

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The Art of Memory Forensics

Author : Michael Hale Ligh
Publisher : John Wiley & Sons
ISBN 13 : 1118824997
Total Pages : 912 pages
Book Rating : 4.1/5 (188 download)

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Book Synopsis The Art of Memory Forensics by : Michael Hale Ligh

Download or read book The Art of Memory Forensics written by Michael Hale Ligh and published by John Wiley & Sons. This book was released on 2014-07-22 with total page 912 pages. Available in PDF, EPUB and Kindle. Book excerpt: Memory forensics provides cutting edge technology to help investigate digital attacks Memory forensics is the art of analyzing computer memory (RAM) to solve digital crimes. As a follow-up to the best seller Malware Analyst's Cookbook, experts in the fields of malware, security, and digital forensics bring you a step-by-step guide to memory forensics—now the most sought after skill in the digital forensics and incident response fields. Beginning with introductory concepts and moving toward the advanced, The Art of Memory Forensics: Detecting Malware and Threats in Windows, Linux, and Mac Memory is based on a five day training course that the authors have presented to hundreds of students. It is the only book on the market that focuses exclusively on memory forensics and how to deploy such techniques properly. Discover memory forensics techniques: How volatile memory analysis improves digital investigations Proper investigative steps for detecting stealth malware and advanced threats How to use free, open source tools for conducting thorough memory forensics Ways to acquire memory from suspect systems in a forensically sound manner The next era of malware and security breaches are more sophisticated and targeted, and the volatile memory of a computer is often overlooked or destroyed as part of the incident response process. The Art of Memory Forensics explains the latest technological innovations in digital forensics to help bridge this gap. It covers the most popular and recently released versions of Windows, Linux, and Mac, including both the 32 and 64-bit editions.

Statistical Analysis of Stochastic Processes in Time

Author : J. K. Lindsey
Publisher : Cambridge University Press
ISBN 13 : 9781139454513
Total Pages : 356 pages
Book Rating : 4.4/5 (545 download)

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Book Synopsis Statistical Analysis of Stochastic Processes in Time by : J. K. Lindsey

Download or read book Statistical Analysis of Stochastic Processes in Time written by J. K. Lindsey and published by Cambridge University Press. This book was released on 2004-08-02 with total page 356 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book was first published in 2004. Many observed phenomena, from the changing health of a patient to values on the stock market, are characterised by quantities that vary over time: stochastic processes are designed to study them. This book introduces practical methods of applying stochastic processes to an audience knowledgeable only in basic statistics. It covers almost all aspects of the subject and presents the theory in an easily accessible form that is highlighted by application to many examples. These examples arise from dozens of areas, from sociology through medicine to engineering. Complementing these are exercise sets making the book suited for introductory courses in stochastic processes. Software (available from www.cambridge.org) is provided for the freely available R system for the reader to apply to all the models presented.

The Volatility Process

Author : Alireza Javaheri
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (991 download)

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Book Synopsis The Volatility Process by : Alireza Javaheri

Download or read book The Volatility Process written by Alireza Javaheri and published by . This book was released on 2007 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Financial Models with Levy Processes and Volatility Clustering

Author : Svetlozar T. Rachev
Publisher : John Wiley & Sons
ISBN 13 : 0470937262
Total Pages : 316 pages
Book Rating : 4.4/5 (79 download)

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Book Synopsis Financial Models with Levy Processes and Volatility Clustering by : Svetlozar T. Rachev

Download or read book Financial Models with Levy Processes and Volatility Clustering written by Svetlozar T. Rachev and published by John Wiley & Sons. This book was released on 2011-02-08 with total page 316 pages. Available in PDF, EPUB and Kindle. Book excerpt: An in-depth guide to understanding probability distributions and financial modeling for the purposes of investment management In Financial Models with Lévy Processes and Volatility Clustering, the expert author team provides a framework to model the behavior of stock returns in both a univariate and a multivariate setting, providing you with practical applications to option pricing and portfolio management. They also explain the reasons for working with non-normal distribution in financial modeling and the best methodologies for employing it. The book's framework includes the basics of probability distributions and explains the alpha-stable distribution and the tempered stable distribution. The authors also explore discrete time option pricing models, beginning with the classical normal model with volatility clustering to more recent models that consider both volatility clustering and heavy tails. Reviews the basics of probability distributions Analyzes a continuous time option pricing model (the so-called exponential Lévy model) Defines a discrete time model with volatility clustering and how to price options using Monte Carlo methods Studies two multivariate settings that are suitable to explain joint extreme events Financial Models with Lévy Processes and Volatility Clustering is a thorough guide to classical probability distribution methods and brand new methodologies for financial modeling.

The Fused Salt-fluoride Volatility Process for Recovering Uranium

Author : G. I. Gathers
Publisher :
ISBN 13 :
Total Pages : 40 pages
Book Rating : 4.3/5 (91 download)

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Book Synopsis The Fused Salt-fluoride Volatility Process for Recovering Uranium by : G. I. Gathers

Download or read book The Fused Salt-fluoride Volatility Process for Recovering Uranium written by G. I. Gathers and published by . This book was released on 1959 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Modelling and Simulation of Stochastic Volatility in Finance

Author : Christian Kahl
Publisher : Universal-Publishers
ISBN 13 : 1581123833
Total Pages : 219 pages
Book Rating : 4.5/5 (811 download)

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Book Synopsis Modelling and Simulation of Stochastic Volatility in Finance by : Christian Kahl

Download or read book Modelling and Simulation of Stochastic Volatility in Finance written by Christian Kahl and published by Universal-Publishers. This book was released on 2008 with total page 219 pages. Available in PDF, EPUB and Kindle. Book excerpt: The famous Black-Scholes model was the starting point of a new financial industry and has been a very important pillar of all options trading since. One of its core assumptions is that the volatility of the underlying asset is constant. It was realised early that one has to specify a dynamic on the volatility itself to get closer to market behaviour. There are mainly two aspects making this fact apparent. Considering historical evolution of volatility by analysing time series data one observes erratic behaviour over time. Secondly, backing out implied volatility from daily traded plain vanilla options, the volatility changes with strike. The most common realisations of this phenomenon are the implied volatility smile or skew. The natural question arises how to extend the Black-Scholes model appropriately. Within this book the concept of stochastic volatility is analysed and discussed with special regard to the numerical problems occurring either in calibrating the model to the market implied volatility surface or in the numerical simulation of the two-dimensional system of stochastic differential equations required to price non-vanilla financial derivatives. We introduce a new stochastic volatility model, the so-called Hyp-Hyp model, and use Watanabe's calculus to find an analytical approximation to the model implied volatility. Further, the class of affine diffusion models, such as Heston, is analysed in view of using the characteristic function and Fourier inversion techniques to value European derivatives.

Handbook of Volatility Models and Their Applications

Author : Luc Bauwens
Publisher : John Wiley & Sons
ISBN 13 : 1118272056
Total Pages : 566 pages
Book Rating : 4.1/5 (182 download)

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Book Synopsis Handbook of Volatility Models and Their Applications by : Luc Bauwens

Download or read book Handbook of Volatility Models and Their Applications written by Luc Bauwens and published by John Wiley & Sons. This book was released on 2012-03-22 with total page 566 pages. Available in PDF, EPUB and Kindle. Book excerpt: A complete guide to the theory and practice of volatility models in financial engineering Volatility has become a hot topic in this era of instant communications, spawning a great deal of research in empirical finance and time series econometrics. Providing an overview of the most recent advances, Handbook of Volatility Models and Their Applications explores key concepts and topics essential for modeling the volatility of financial time series, both univariate and multivariate, parametric and non-parametric, high-frequency and low-frequency. Featuring contributions from international experts in the field, the book features numerous examples and applications from real-world projects and cutting-edge research, showing step by step how to use various methods accurately and efficiently when assessing volatility rates. Following a comprehensive introduction to the topic, readers are provided with three distinct sections that unify the statistical and practical aspects of volatility: Autoregressive Conditional Heteroskedasticity and Stochastic Volatility presents ARCH and stochastic volatility models, with a focus on recent research topics including mean, volatility, and skewness spillovers in equity markets Other Models and Methods presents alternative approaches, such as multiplicative error models, nonparametric and semi-parametric models, and copula-based models of (co)volatilities Realized Volatility explores issues of the measurement of volatility by realized variances and covariances, guiding readers on how to successfully model and forecast these measures Handbook of Volatility Models and Their Applications is an essential reference for academics and practitioners in finance, business, and econometrics who work with volatility models in their everyday work. The book also serves as a supplement for courses on risk management and volatility at the upper-undergraduate and graduate levels.

Volatility Surface and Term Structure

Author : Kin Keung Lai
Publisher : Routledge
ISBN 13 : 1135006997
Total Pages : 102 pages
Book Rating : 4.1/5 (35 download)

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Book Synopsis Volatility Surface and Term Structure by : Kin Keung Lai

Download or read book Volatility Surface and Term Structure written by Kin Keung Lai and published by Routledge. This book was released on 2013-09-11 with total page 102 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides different financial models based on options to predict underlying asset price and design the risk hedging strategies. Authors of the book have made theoretical innovation to these models to enable the models to be applicable to real market. The book also introduces risk management and hedging strategies based on different criterions. These strategies provide practical guide for real option trading. This book studies the classical stochastic volatility and deterministic volatility models. For the former, the classical Heston model is integrated with volatility term structure. The correlation of Heston model is considered to be variable. For the latter, the local volatility model is improved from experience of financial practice. The improved local volatility surface is then used for price forecasting. VaR and CVaR are employed as standard criterions for risk management. The options trading strategies are also designed combining different types of options and they have been proven to be profitable in real market. This book is a combination of theory and practice. Users will find the applications of these financial models in real market to be effective and efficient.

Stochastic Volatility Modeling

Author : Lorenzo Bergomi
Publisher : CRC Press
ISBN 13 : 1482244071
Total Pages : 520 pages
Book Rating : 4.4/5 (822 download)

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Book Synopsis Stochastic Volatility Modeling by : Lorenzo Bergomi

Download or read book Stochastic Volatility Modeling written by Lorenzo Bergomi and published by CRC Press. This book was released on 2015-12-16 with total page 520 pages. Available in PDF, EPUB and Kindle. Book excerpt: Packed with insights, Lorenzo Bergomi's Stochastic Volatility Modeling explains how stochastic volatility is used to address issues arising in the modeling of derivatives, including:Which trading issues do we tackle with stochastic volatility? How do we design models and assess their relevance? How do we tell which models are usable and when does c

Adaptation of the Fused-salt Fluoride-volatility Process to the Recovery of Uranium from Aluminum-uranium Alloy Fuel

Author : M. R. Bennett
Publisher :
ISBN 13 :
Total Pages : 28 pages
Book Rating : 4.3/5 (91 download)

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Book Synopsis Adaptation of the Fused-salt Fluoride-volatility Process to the Recovery of Uranium from Aluminum-uranium Alloy Fuel by : M. R. Bennett

Download or read book Adaptation of the Fused-salt Fluoride-volatility Process to the Recovery of Uranium from Aluminum-uranium Alloy Fuel written by M. R. Bennett and published by . This book was released on 1964 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt:

The Volatility Surface

Author : Jim Gatheral
Publisher :
ISBN 13 : 9781119202073
Total Pages : 179 pages
Book Rating : 4.2/5 (2 download)

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Book Synopsis The Volatility Surface by : Jim Gatheral

Download or read book The Volatility Surface written by Jim Gatheral and published by . This book was released on 2006 with total page 179 pages. Available in PDF, EPUB and Kindle. Book excerpt:

The Volatility Surface

Author : Jim Gatheral
Publisher : John Wiley & Sons
ISBN 13 : 1118046455
Total Pages : 204 pages
Book Rating : 4.1/5 (18 download)

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Book Synopsis The Volatility Surface by : Jim Gatheral

Download or read book The Volatility Surface written by Jim Gatheral and published by John Wiley & Sons. This book was released on 2011-03-10 with total page 204 pages. Available in PDF, EPUB and Kindle. Book excerpt: Praise for The Volatility Surface "I'm thrilled by the appearance of Jim Gatheral's new book The Volatility Surface. The literature on stochastic volatility is vast, but difficult to penetrate and use. Gatheral's book, by contrast, is accessible and practical. It successfully charts a middle ground between specific examples and general models--achieving remarkable clarity without giving up sophistication, depth, or breadth." --Robert V. Kohn, Professor of Mathematics and Chair, Mathematical Finance Committee, Courant Institute of Mathematical Sciences, New York University "Concise yet comprehensive, equally attentive to both theory and phenomena, this book provides an unsurpassed account of the peculiarities of the implied volatility surface, its consequences for pricing and hedging, and the theories that struggle to explain it." --Emanuel Derman, author of My Life as a Quant "Jim Gatheral is the wiliest practitioner in the business. This very fine book is an outgrowth of the lecture notes prepared for one of the most popular classes at NYU's esteemed Courant Institute. The topics covered are at the forefront of research in mathematical finance and the author's treatment of them is simply the best available in this form." --Peter Carr, PhD, head of Quantitative Financial Research, Bloomberg LP Director of the Masters Program in Mathematical Finance, New York University "Jim Gatheral is an acknowledged master of advanced modeling for derivatives. In The Volatility Surface he reveals the secrets of dealing with the most important but most elusive of financial quantities, volatility." --Paul Wilmott, author and mathematician "As a teacher in the field of mathematical finance, I welcome Jim Gatheral's book as a significant development. Written by a Wall Street practitioner with extensive market and teaching experience, The Volatility Surface gives students access to a level of knowledge on derivatives which was not previously available. I strongly recommend it." --Marco Avellaneda, Director, Division of Mathematical Finance Courant Institute, New York University "Jim Gatheral could not have written a better book." --Bruno Dupire, winner of the 2006 Wilmott Cutting Edge Research Award Quantitative Research, Bloomberg LP

Semiparametric Modeling of Implied Volatility

Author : Matthias R. Fengler
Publisher : Springer Science & Business Media
ISBN 13 : 3540305912
Total Pages : 232 pages
Book Rating : 4.5/5 (43 download)

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Book Synopsis Semiparametric Modeling of Implied Volatility by : Matthias R. Fengler

Download or read book Semiparametric Modeling of Implied Volatility written by Matthias R. Fengler and published by Springer Science & Business Media. This book was released on 2005-12-19 with total page 232 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book offers recent advances in the theory of implied volatility and refined semiparametric estimation strategies and dimension reduction methods for functional surfaces. The first part is devoted to smile-consistent pricing approaches. The second part covers estimation techniques that are natural candidates to meet the challenges in implied volatility surfaces. Empirical investigations, simulations, and pictures illustrate the concepts.

Fused-salt Fluoride-volatility Process for Recovering Uranium from Spent Aluminum-based

Author :
Publisher :
ISBN 13 :
Total Pages : 35 pages
Book Rating : 4.3/5 (91 download)

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Book Synopsis Fused-salt Fluoride-volatility Process for Recovering Uranium from Spent Aluminum-based by :

Download or read book Fused-salt Fluoride-volatility Process for Recovering Uranium from Spent Aluminum-based written by and published by . This book was released on 1964 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Uncertain Volatility Models

Author : Robert Buff
Publisher : Springer Science & Business Media
ISBN 13 : 3642563236
Total Pages : 246 pages
Book Rating : 4.6/5 (425 download)

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Book Synopsis Uncertain Volatility Models by : Robert Buff

Download or read book Uncertain Volatility Models written by Robert Buff and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 246 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is one of the only books to describe uncertain volatility models in mathematical finance and their computer implementation for portfolios of vanilla, barrier and American options in equity and FX markets. Uncertain volatility models place subjective constraints on the volatility of the stochastic process of the underlying asset and evaluate option portfolios under worst- and best-case scenarios. This book, which is bundled with software, is aimed at graduate students, researchers and practitioners who wish to study advanced aspects of volatility risk in portfolios of vanilla and exotic options. The reader is assumed to be familiar with arbitrage pricing theory.

Stochastic Volatility in Financial Markets

Author : Antonio Mele
Publisher : Springer Science & Business Media
ISBN 13 : 1461545331
Total Pages : 156 pages
Book Rating : 4.4/5 (615 download)

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Book Synopsis Stochastic Volatility in Financial Markets by : Antonio Mele

Download or read book Stochastic Volatility in Financial Markets written by Antonio Mele and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 156 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stochastic Volatility in Financial Markets presents advanced topics in financial econometrics and theoretical finance, and is divided into three main parts. The first part aims at documenting an empirical regularity of financial price changes: the occurrence of sudden and persistent changes of financial markets volatility. This phenomenon, technically termed `stochastic volatility', or `conditional heteroskedasticity', has been well known for at least 20 years; in this part, further, useful theoretical properties of conditionally heteroskedastic models are uncovered. The second part goes beyond the statistical aspects of stochastic volatility models: it constructs and uses new fully articulated, theoretically-sounded financial asset pricing models that allow for the presence of conditional heteroskedasticity. The third part shows how the inclusion of the statistical aspects of stochastic volatility in a rigorous economic scheme can be faced from an empirical standpoint.

A Review of Stochastic Volatility Processes

Author : Dimitris Psychoyios
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)

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Book Synopsis A Review of Stochastic Volatility Processes by : Dimitris Psychoyios

Download or read book A Review of Stochastic Volatility Processes written by Dimitris Psychoyios and published by . This book was released on 2003 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Volatility changes stochastically over time. This has implications for option pricing and risk management and it has motivated the development of stochastic volatility option pricing models. The fundamental building block of these models is the stochastic process that is used to model the evolution of volatility over time. In this paper, first we outline some stylized facts that any volatility process should obey. Next, we review concisely the processes that have been commonly used to model the dynamics of the instantaneous volatility. The mathematical properties are clarified, and their implications are discussed. This is of particular importance to practitioners who need to decide on which process to use.