||11 of 14 people found the following review helpful.| A most intelligent and clear book|By Brian D. Babiak|This book is an outstanding a clear presentation of non-Gaussian financial modeling. In financial markets, the Gaussian curve or bell curve, is not accurate in that most markets are skewed (a predisposition to grow on average, not zero) and fat-tailed (rare events such as market crashes happen more often than a Gaussian c|||From the reviews: | |"Financial Modeling Under Non-Gaussian Distributions … is thus very welcome as it provides an accessible and easy-to-understand treatment of a broad range of topics, including core material to more advanced techniques on the subje
This book examines non-Gaussian distributions. It addresses the causes and consequences of non-normality and time dependency in both asset returns and option prices. The book is written for non-mathematicians who want to model financial market prices so the emphasis throughout is on practice. There are abundant empirical illustrations of the models and techniques described, many of which could be equally applied to other financial time series.
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