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Francq C., Zakoian J.-M. GARCH Models: Structure, Statistical Inference and Financial Applications

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Francq C., Zakoian J.-M. GARCH Models: Structure, Statistical Inference and Financial Applications
Chichester, John Wiley & Sons Ltd, 2010.
Книга посвящена находящему широкое применение прежде всего в финансовой математике классу случайных процессов - Generalized AutoRegressive Conditionally Heteroscedastic (GARCH).
Рассмотрены модели их генерации, статистическое оценивание параметров, обобщения моделей, многомерные процессы, а также их приложения к опционной торговле, оцениванию риска и т.п.
Ориентирован как на математиков в области случайных процессов, так и в области финансовой математики.
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