Screen LibraryHandbook of heavy tailed distributions in finance /
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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| Corporate Authors: | |
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| Group Author: | |
| Published: |
Elsevier,
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| Publisher Address: | Amsterdam : |
| Publication Dates: | 2003. |
| Literature type: | eBook |
| Language: | English |
| Series: |
Handbooks in finance,
book 1 |
| Subjects: | |
| Online Access: |
http://www.sciencedirect.com/science/book/9780444508966 |
| 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. |
| Carrier Form: | 1 online resource (xxiv, 680 pages) : illustrations. |
| Bibliography: | Includes bibliographical references and indexes. |
| ISBN: |
9780080557731 0080557732 |
| Access: | Owing to Legal Deposit regulations this resource may only be accessed from within National Library of Scotland. For more information contact enquiries@nls.uk. |
| Index Number: | HG176 |
| CLC: | F81-32 |
| Contents: |
Heavy tails in finance for independent or multifractal price increments / Benoit B. Mandelbrot -- Financial risk and heavy tails / Modeling financial data with stable distributions / Statistical issues in modeling multivariate stable portfolios / Jump-diffusion models / Hyperbolic processes in finance / Stable modeling of market and credit value at risk / Mo delling dependence with copulas and applications to risk management / Prediction of financial downside-risk with heavy-tailed conditional distributions / Stable non-Gaussian models for credit risk management / Multifactor stochastic variance models in risk management : maximum entropy approach and Le vy processes / Asset liability management : a review and some new results in the presence of heavy tails / Portfolio choice theory with non-Gaussian distributed returns / Portfolio modeling with heavy tailed random vectors / Long range dependence in heavy tailed stochastic processes / |