Designed as a text for postgraduate students of management, commerce, and financial
studies, this compact text clearly explains the subject without the mathematical complexities …

This paper presents a new arbitrage-free approach to the pricing of derivatives, when the
price process of the underlying security does not conform to the standard assumptions. In …

We introduce a jump-diffusion model for asset returns with jumps drawn from a mixture of
normal distributions and show that this model adequately fits the historical data of the …

This paper focuses on the informational efficiency of an emerging stock market of a
developing country namely Turkey and also on stock market volatility studied from two …

In forecasting a financial time series, the mean prediction can be validated by direct
comparison with the value of the series. However, the volatility or variance can only be …

In forecasting a nancial time series, the mean prediction can be validated by direct
comparison with the value of the series. However, the volatility or variance can only be …

Untitled Page 1 Page 2 Page i Risk Management Michel Crouhy Dan Galai Robert Mark Page
3 Page v Contents Foreword By Robert C. Merton xiii Introduction By John Hunkin xvii Preface …

This second edition is, in reality, virtually a whole new book. Approximately 80% of the
material has been added, fully reworked or changed. Let me explain why I have felt that …

We analyze the fidelity of the likelihood function as a means of training (in sample) and
validating (out of sample) a volatility model. We report several cases where Page 142 (a …

For a wide class of learning systems and different noise models, we bound the test
performance in terms of the noise level and number of data points. We obtain O (1/N) …