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Handbook of heavy tailed distributio...

Rachev, S. T.

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Handbook of heavy tailed distributions in finance

紀錄類型:	書目-語言資料,印刷品 : Monograph/item
正題名/作者:	Handbook of heavy tailed distributions in finance/ edited by Svetlozar T. Rachev.
其他題名:	Heavy tailed distributions in finance
其他作者:	Rachev, S. T.
出版者:	Amsterdam :Elsevier, : 2003.,
面頁冊數:	xxiv, 680 p. :ill. ;24 cm.
叢書名:	Handbooks in finance,
標題:	Finance - Statistical methods. -
電子資源:	http://www.sciencedirect.com/science/book/9780444508966An electronic book accessible through the World Wide Web; click for information
電子資源:	http://www.loc.gov/catdir/enhancements/fy0615/2003271848-t.html
電子資源:	http://www.loc.gov/catdir/enhancements/fy0615/2003271848-d.html
ISBN:	0444508961

Handbook of heavy tailed distributions in finance
Handbook of heavy tailed distributions in finance[electronic resource] /Heavy tailed distributions in financeedited by Svetlozar T. Rachev. - Amsterdam :Elsevier,2003. - xxiv, 680 p. :ill. ;24 cm. - Handbooks in finance,bk. 11568-4997 ;.

Includes bibliographical references and indexes.

Heavy tails in finance for independent or multifractal price increments /Brendan O. Bradley and Murad S. Taqqu --

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.

Electronic reproduction.
Amsterdam :
Elsevier Science & Technology,
2008.

Mode of access: World Wide Web.

ISBN: 0444508961

Source: 118958:128626Elsevier Science & Technologyhttp://www.sciencedirect.comSubjects--Topical Terms:

578739
Finance
--Statistical methods.Index Terms--Genre/Form:

542853
Electronic books.

LC Class. No.: HG176.5 / .H36 2003eb

Dewey Class. No.: 332/.01/5195

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505 0 0 $t Heavy tails in finance for independent or multifractal price increments / $t Benoit B. Mandelbrot -- $t Financial risk and heavy tails / $r Brendan O. Bradley and Murad S. Taqqu -- $t Modeling financial data with stable distributions/ $r John P. Nolan -- $t Statistical issues in modeling multivariate stable portfolios / $r Tomasz J. Kozubowski, Anna K. Panorska and Svetlozar T. Rachev -- $t Jump-diffusion models / $r Wolfgang J. Runggaldier -- $t Hyperbolic processes in finance/ $r Bo Martin Bibby and Michael S�rensen -- $t Stable modeling of market and credit value at risk / $r Svetlozar T. Rachev, Eduardo S. Schwartz and Irina Khindanova -- $t Modelling dependence with copulas and applications to risk management/ $r Paul Embrechts, Filip Lindskog and Alexander McNeil -- $t Prediction of financial downside-risk with heavy-tailed conditional distributions / $r Stefan Mittnik and Marc S. Paolella -- $t Stable non-Gaussian models for credit risk management/ $r Bernhard Martin, Svetlozar T. Rachev and Eduardo S. Schwartz -- $t Multifactor stochastic variance models in risk management : maximum entropy approach and L�evy processes/ $r Alexander Levin and Alexander Tchernitser -- $t Modelling the term structure of monetary rates / $r Luisa Izzi -- $t Asset liability management : a review and some new results in the presence of heavy tails/ $r Yesim Tokat, Svetlozar T. Rachev and Eduardo S. Schwartz -- $t Portfolio choice theory with non-Gaussian distributed returns / $r Sergio Ortobelli ... [et. al] -- $t Portfolio modeling with heavy tailed random vectors/ $r Mark M. Meerschaert and Hans-Peter Scheffler -- $t Long range dependence in heavy tailed stochastic processes / $r Borjana Racheva-Iotova and Gennaday Samorodnitsky.
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