Handbook of Heavy Tailed Distributions in Finance: Handbooks in Finance, Book 1S.T Rachev 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.
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Contents
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Chapter 3 Modeling Financial Data with Stable Distributions | 105 |
Chapter 4 Statistical Issues in Modeling Multivariate Stable Portfolios | 131 |
Chapter 5 JumpDiffusion Models | 169 |
Chapter 6 Hyperbolic Processes in Finance | 211 |
Chapter 7 Stable Modeling of Market and Credit Value at Risk | 249 |
Chapter 8 Modelling Dependence with Copulas and Applications to Risk Management | 329 |
Chapter 9 Prediction of Financial DownsideRisk with HeavyTailed Conditional Distributions | 385 |
Maximum Entropy Approach and Lévy Processes | 443 |
Chapter 12 Modelling the Term Structure of Monetary Rates | 481 |
A Review and Some New Results in the Presence of Heavy Tails | 509 |
Chapter 14 Portfolio Choice Theory with NonGaussian Distributed Returns | 547 |
Chapter 15 Portfolio Modeling with Heavy Tailed Random Vectors | 595 |
Chapter 16 Long Range Dependence in Heavy Tailed Stochastic Processes | 641 |
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Other editions - View all
Handbook of Heavy Tailed Distributions in Finance: Handbooks in Finance S. T. Rachev No preview available - 2003 |
Handbook of Heavy Tailed Distributions in Finance: Handbooks in Finance, Book 1 S.T Rachev No preview available - 2003 |
Common terms and phrases
analysis asset returns assume assumption asymptotic Barndorff-Nielsen bivariate bond central limit theorem characteristic function coefficient computed copula covariance matrix credit returns credit risk defined denotes density distribution function domain of attraction Embrechts empirical estimation example expected shortfall finite GARCH given heavy tails Hence hyperbolic distribution independent index of stability interest rates inverse Gaussian inverse Gaussian distribution investors Journal jump jump-diffusion kurtosis Lévy processes linear correlation long-range dependence Mandelbrot marginal martingale martingale measure Mathematical method multifractal multivariate stable Nolan normal distribution operator stable optimal Panorska Paolella plot point process Poisson probability quantile random vector risk factors risk management Samorodnitsky sample scale parameter scenarios Section simulation skewness spectral measure stable distributions stable laws stable model stable Paretian Statistics stochastic variance stochastic volatility sub-Gaussian symmetric tail dependence Taqqu term structure theory TVCM univariate values