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Handbook of heavy tailed distributions in finance
Title
Handbook of heavy tailed distributions in finance / [edited by] Svetlozar T. Rachev.
ISBN
9780444508966
9781493302246
1493302248
9780080557731
0080557732
Edition
First edition.
Publication
Amsterdam ; Boston : Elsevier, [2003]
Copyright Notice Date
©2003
Physical Description
1 online resource (1 volume) : illustrations.
Local Notes
Access is available to the Yale community.
Notes
Description based on print version record.
Access and use
Access restricted by licensing agreement.
Summary
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 modeling under non- Gaussian assumptions, as well as the applications of the stable and other non -Gaussian models in finance and risk management.
Variant and related titles
Heavy tailed distributions in finance
O'Reilly Safari. OCLC KB.
Other formats
Print version: Handbook of heavy tailed distributions in finance. Amsterdam ; Boston : Elsevier, 2003
Format
Books / Online
Language
English
Added to Catalog
January 14, 2020
Series
Handbooks in finance, Book 1
Bibliography
Includes bibliographical references and indexes.
Contents
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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