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Stable Paretian Models in Finance



Stable Paretian Models in Finance

Svetlozar T. Rachev, Stefan Mittnik

ISBN: 978-0-471-95314-2 June 2000 874 Pages


The authors reconsider the problem of parametrically specifying distribution suitable for asset-return models. They describe alternative distributions, showing how they can be estimated and applied to stock-index and exchange-rate data. The implications for options pricing are also investigated.


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