Chapter 12. Financial Applications

  1. Christian Francq1,
  2. Jean-Michel Zakoïan1,2

Published Online: 14 JUL 2010

DOI: 10.1002/9780470670057.ch12

Book Title

GARCH Models: Structure, Statistical Inference and Financial Applications

GARCH Models: Structure, Statistical Inference and Financial Applications

Additional Information

How to Cite

Francq, C. and Zakoïan, J.-M. (2010) Financial Applications, in GARCH Models: Structure, Statistical Inference and Financial Applications, John Wiley & Sons, Ltd, Chichester, UK. doi: 10.1002/9780470670057.ch12

Author Information

  1. 1

    University Lille 3, Lille, France

  2. 2

    CREST, Paris, France

Publication History

  1. Published Online: 14 JUL 2010
  2. Published Print: 23 JUL 2010

ISBN Information

Print ISBN: 9780470683910

Online ISBN: 9780470670057

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Keywords:

  • financial applications - relation between GARCH and continuous-time models;
  • financial applications of GARCH models;
  • studying relation between GARCH and continuous-time processes;
  • relation between GARCH and continuous-time models;
  • convergence of Markov Chains to diffusions;
  • classical option pricing models - and independent Gaussian return processes;
  • terminology and basic concepts - and Black–Scholes model;
  • derivative security or contingent claims - financial asset, payoff on underlying asset: action, portfolio, stock index, currency;
  • numerical pricing of option prices;
  • Value at Risk (VaR) - possible loss of portfolio in given time horizon

Summary

This chapter contains sections titled:

  • Relation between GARCH and Continuous-Time Models

  • Option Pricing

  • Value at Risk and Other Risk Measures

  • Bibliographical Notes

  • Exercises

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