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 Statistical Mechanics of Financial Markets. DISTRIBUTION OF RETURNS AND MEMORY EFFECTS IN INDIAN CAPITAL MARKETS
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Statistical Mechanics of Financial Markets. DISTRIBUTION OF RETURNS AND MEMORY EFFECTS IN INDIAN CAPITAL MARKETS

автор Prabakaran S. издательство Книга по Требованию Искусство управления в организации
Cтраниц 236        мягкая обложка       
Аннотация:The Black Scholes model of option pricing constitutes the cornerstone of contemporary valuation theory. 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 Black Scholes model also assumes constancy of the return on the "hedge portfolio". However, the model presupposes the existence of several unrealistic assumptions including the lognormal distribution of stock market price processes. The return process of stock markets has also been modeled as a Levy process in several studies relating to valuation of contingent claims. There, now, subsists abundant empirical evidence that this is not the case. 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. 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.
Автор: Prabakaran S.
Издательство: Книга по Требованию
Год:2010
Цена:
3233 руб
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Поиск: Statistical Mechanics of Financial Markets. DISTRIBUTION OF RETURNS AND MEMORY EFFECTS IN INDIAN CAPITAL MARKETS
НОВЫЙ ГОД СИМВОЛ 2013 ГОДАУКРАШЕНИЯ
КАРНАВАЛ НА НОВЫЙ ГОД РАСПРОДАЖА
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Развитие жанра в творчестве Дж.Р.Р. Толкина

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