Titlebook: Simulating Security Returns; A Filtered Historica Giovanni Barone Adesi (Professor) Book 2014 Palgrave Macmillan, a division of Nature Amer

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書目名稱Simulating Security Returns影響因子(影響力)




書目名稱Simulating Security Returns影響因子(影響力)學(xué)科排名




書目名稱Simulating Security Returns網(wǎng)絡(luò)公開度




書目名稱Simulating Security Returns網(wǎng)絡(luò)公開度學(xué)科排名




書目名稱Simulating Security Returns被引頻次




書目名稱Simulating Security Returns被引頻次學(xué)科排名




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書目名稱Simulating Security Returns年度引用學(xué)科排名




書目名稱Simulating Security Returns讀者反饋




書目名稱Simulating Security Returns讀者反饋學(xué)科排名

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Friction

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Palgrave Macmillan, a division of Nature America Inc. 2014

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A GARCH Option Pricing Model with Filtered Historical Simulation,r different distributions of historical and pricing return dynamics, which enhances the model’s flexibility to fit market option prices. An extensive empirical analysis based on S&P 500 Index options shows that our model outperforms other competing GARCH pricing models and ad hoc Black-Scholes models.

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Giovanni Barone Adesils, spheres, and balls.* cubic splines and splines based on reproducing kernels.* multiresolution analysis using wavelets and scaling functions.This textbook is written for students in mathematics, physics, engineering, and the geosciences who have a basic background in analysis and linear algebra.

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Giovanni Barone Adesi,Kostas Giannopoulos,Les VosperPaving the way to the more advanced and specialized literature, the?material?will be?accessible to students in the third year and can be covered?in one semester..978-3-030-50182-2978-3-030-50180-8Series ISSN 0072-5285 Series E-ISSN 2197-5612

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