Handbook of Heavy Tailed Distributions in Finance
eBook - ePub

Handbook of Heavy Tailed Distributions in Finance

Handbooks in Finance, Book 1

  1. 704 pages
  2. English
  3. ePUB (mobile friendly)
  4. Available on iOS & Android
eBook - ePub

Handbook of Heavy Tailed Distributions in Finance

Handbooks in Finance, Book 1

About this book

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.

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Yes, you can access Handbook of Heavy Tailed Distributions in Finance by S.T Rachev in PDF and/or ePUB format, as well as other popular books in Economics & Banks & Banking. We have over one million books available in our catalogue for you to explore.

Information

Publisher
North Holland
Year
2003
Print ISBN
9780444508966
eBook ISBN
9780080557731
Topic
Economics
Subtopic
Banks & Banking
Index
Economics

Table of contents

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