Handbook of Heavy Tailed Distributions in Finance

Handbooks in Finance, Book 1

S.T Rachev

• Publisher: North Holland
• Year: 2003
• Print ISBN:
  9780444508966
• eBook ISBN:
  9780080557731
• Topic: Economia
• Subtopic: Settore bancario

The Handbooks in Finance are intended to be a definitive source for comprehensive and accessible information in the field of finance. Each individual volume in the series should present an accurate self-contained survey of a sub-field of finance, suitable for use by finance and economics professors and lecturers, professional researchers, graduate students and as a teaching supplement. The goal is to have a broad group of outstanding volumes in various areas of finance. The Handbook of Heavy Tailed Distributions in Finance is the first handbook to be published in this series.This volume presents current research focusing on heavy tailed distributions in finance. The contributions cover methodological issues, i.e., probabilistic, statistical and econometric modelling under non- Gaussian assumptions, as well as the applications of the stable and other non -Gaussian models in finance and risk management.

Table of contents

• Cover image
• Title page
• Table of Contents
• Copyright page
• Introduction to the Series
• Contents of the Handbook
• Preface
• Chapter 1: Heavy Tails in Finance for Independent or Multifractal Price Increments
• Chapter 2: Financial Risk and Heavy Tails
• Chapter 3: Modeling Financial Data with Stable Distributions
• Chapter 4: Statistical issues in modeling multivariate stable portfolios
• Chapter 5: Jump-diffusion models
• Chapter 6: Hyperbolic Processes in Finance
• Chapter 7: Stable Modeling of Market and Credit Value at Risk
• Chapter 8: Modelling dependence with copulas and applications to risk management
• Chapter 9: Prediction of Financial Downside-Risk with Heavy-Tailed Conditional Distributions
• Chapter 10: Stable Non-Gaussian Models for Credit Risk Management
• Chapter 11: Multifactor stochastic variance models in risk management Maximum entropy approach and Lévy processes
• Chapter 12: Modelling the Term Structure of Monetary Rates
• Chapter 13: Asset Liability Management: A Review and Some New Results in the Presence of Heavy Tails
• Chapter 14: Portfolio Choice Theory With Non-Gaussian Distributed Returns
• Chapter 15: Portfolio Modeling With Heavy Tailed Random Vectors
• Chapter 16: Long Range Dependence in Heavy Tailed Stochastic Processes
• Author index
• Subject index