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| HANDBOOK OF HEAVY TAILED DISTRIBUTIONS IN FINANCE, 1
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Handbooks in Finance, Book 1
To order this title, and for more information, click here
Edited By
S.T Rachev, Universität Karlsruhe, Karlsruhe, Germany.
Included in series
Handbooks in Finance,
Description
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.
Contents
Preface (S.T. Rachev). Heavy Tails in Finance for Independent or Multifractal Price Increments (B. Mandelbrot). Financial Risk and Heavy
Tails (B. Bradley, M. Taqqu). Modelling Financial Data with Stable Distribution (J.P. Nolan). Statistical Issues in Modelling Multivariate
Stable Portfolios (T.J. Kozubowski et al.). Jump Diffusion Models (W. Runggaldier). Hyperbolic Processes in Finance (B.M. Bibby,
M. Sorensen). Stable Modelling of Market and Credit Value at Risk (S.T. Rachev et al.). Modelling Dependence with Copulas and
Applications to Risk Management (P. Embrechts et al.). Prediction of Financial Downside-Risk with Heavy Tailed Conditional Distributions
(S. Mittnik, M. Paolella). Stable Non-Gaussian Models for Credit Risk Management (B. Martin et al.). Multifactor Stochastic
Variance VaR Model: Application to Market Risk Management (A. Levin, A. Tchernitser). Modelling the Term Structure of Monetary Rates
(L. Izzi). Asset Liability Management: A Review and Some New Results in the Presence of Heavy Tails (S.T. Rachev et al.). Portfolio
Choice Theory with Non-Gaussian Distributed Returns (S. Ortobelli et al.). Portfolio Modelling with Heavy Tailed Random Vectors
(M.M Meerschaert, H.-P. Scheffler). Long Range Dependence in Heavy Tailed Stochastic Processes (B. Racheva-Lotova, G. Samorodnitsky).
| Bibliographic details |
Hardbound, 704 pages, publication date: MAR-2003
ISBN-13: 978-0-444-50896-6
ISBN-10: 0-444-50896-1
Imprint: NORTH-HOLLAND
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| Price and Ordering |
Price:
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USD 170
EUR 129.95
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Last update: 4 Sep 2009
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