 Stable Paretian Models in Finance
ISBN: 978-0-471-95314-2
Hardcover
874 pages
June 2000
US $180.00
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Foreword
Preface
1 Introduction
2 Univariate Stable Distributions
3 Identification, Estimation and Goodness of Fit
4 Empirical Comparison
5 Subordinated, Fractional Stable and Stable ARIMA Processes
6 ARCH-type and Shot Noise Processes
7 Multivariate Stable Models
8 Estimation, Association, Risk, and Symmetry of Stable Portfolios
9 Asset-Pricing and Portfolio Theory Under Stable Paretian Laws
10 Risk Management: Value at Risk for Heavy-Tailed Distributed Rating
11 Option Pricing Under Alternative Stable Models
12 Option Pricing for Infinitely Divisible Return Models
13 Numerical Results on Option Pricing: Modeling and Forecasting
14 Stable Models in Econometrics
15 Stable Paretian Econometrics: Unit-Root Theory and Cointegrated Models
References
Indexes
Author-Index
Subject-Index
Preface
1 Introduction
2 Univariate Stable Distributions
3 Identification, Estimation and Goodness of Fit
4 Empirical Comparison
5 Subordinated, Fractional Stable and Stable ARIMA Processes
6 ARCH-type and Shot Noise Processes
7 Multivariate Stable Models
8 Estimation, Association, Risk, and Symmetry of Stable Portfolios
9 Asset-Pricing and Portfolio Theory Under Stable Paretian Laws
10 Risk Management: Value at Risk for Heavy-Tailed Distributed Rating
11 Option Pricing Under Alternative Stable Models
12 Option Pricing for Infinitely Divisible Return Models
13 Numerical Results on Option Pricing: Modeling and Forecasting
14 Stable Models in Econometrics
15 Stable Paretian Econometrics: Unit-Root Theory and Cointegrated Models
References
Indexes
Author-Index
Subject-Index
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