Handbook of heavy tailed distributions in finance /

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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...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Otros Autores: Rachev, S. T. (Svetlozar Todorov) (Editor )
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Amsterdam ; Boston : Elsevier, [2003]
Edición:First edition.
Colección:Handbooks in finance ; bk. 1.
Temas:
Finance > Statistical methods.
Finances > Méthodes statistiques.
BUSINESS & ECONOMICS > Finance.
Finance > Statistical methods
Financieel management.
Statistische methoden.
Acceso en línea:Texto completo (Requiere registro previo con correo institucional)
Tabla de Contenidos:
  • Heavy tails in finance for independent or multifractal price increments / Benoit B. Mandelbrot
  • Financial risk and heavy tails / Brendan O. Bradley and Murad S. Taqqu
  • Modeling financial data with stable distributions / John P. Nolan
  • Statistical issues in modeling multivariate stable portfolios / Tomasz J. Kozubowski, Anna K. Panorska and Svetlozar T. Rachev
  • Jump-diffusion models / Wolfgang J. Runggaldier
  • Hyperbolic processes in finance / Bo Martin Bibby and Michael Sørensen
  • Stable modeling of market and credit value at risk / Svetlozar T. Rachev, Eduardo S. Schwartz and Irina Khindanova
  • Modelling dependence with copulas and applications to risk management / Paul Embrechts, Filip Lindskog and Alexander McNeil
  • Prediction of financial downside-risk with heavy-tailed conditional distributions / Stefan Mittnik and Marc S. Paolella
  • Stable non-Gaussian models for credit risk management / Bernhard Martin, Svetlozar T. Rachev and Eduardo S. Schwartz
  • Multifactor stochastic variance models in risk management : maximum entropy approach and Lévy processes / Alexander Levin and Alexander Tchernitser
  • Modelling the term structure of monetary rates / Luisa Izzi
  • Asset liability management : a review and some new results in the presence of heavy tails / Yesim Tokat, Svetlozar T. Rachev and Eduardo S. Schwartz
  • Portfolio choice theory with non-Gaussian distributed returns / Sergio Ortobelli [and three others]
  • Portfolio modeling with heavy tailed random vectors / Mark M. Meerschaert and Hans-Peter Scheffler
  • Long range dependence in heavy tailed stochastic processes / Borjana Racheva-Iotova and Gennaday Samorodnitsky.

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