Handbook of Heavy Tailed Distributions in Finance ：Handbooks in Finance, Book 1 ( Volume 1 )

Publication subTitle ：Handbooks in Finance, Book 1

Publication series ：Volume 1

Author： Rachev S. T

Publisher： Elsevier Science‎

Publication year： 2003

E-ISBN: 9780080557731

P-ISBN(Paperback): 9780444508966

P-ISBN(Hardback): 9780444508966

Subject： F2 Economic Planning and Management;F8 Finances

Language： ENG

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Description

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.

Chapter

Front Cover

pp.： 1 – 4

Handbook of Heavy Tailed Distributions in Finance

pp.： 4 – 5

pp.： 5 – 14

Introduction to the Series

pp.： 6 – 8

Contents of the Handbook

pp.： 8 – 10

Preface

pp.： 10 – 26

Contents

pp.： 14 – 6

Chapter 1. Heavy Tails in Finance for Independent or Multifractal Price Increments

pp.： 26 – 60

Chapter 2. Financial Risk and Heavy Tails

pp.： 60 – 130

Chapter 3. Modeling Financial Data with Stable Distributions

pp.： 130 – 156

Chapter 4. Statistical Issues in Modeling Multivariate Stable Portfolios

pp.： 156 – 194

Chapter 5. Jump-Diffusion Models

pp.： 194 – 236

Chapter 6. Hyperbolic Processes in Finance

pp.： 236 – 274

Chapter 7. Stable Modeling of Market and Credit Value at Risk

pp.： 274 – 354

Chapter 8. Modelling Dependence with Copulas and Applications to Risk Management

pp.： 354 – 410

Chapter 9. Prediction of Financial Downside-Risk with Heavy-Tailed Conditional Distributions

pp.： 410 – 430

Chapter 10. Stable Non-Gaussian Models for Credit Risk Management

pp.： 430 – 468

Chapter 11. Multifactor Stochastic Variance Models in Risk Management: Maximum Entropy Approach and Lévy Processes

pp.： 468 – 506

Chapter 12. Modelling the Term Structure of Monetary Rates

pp.： 506 – 534

Chapter 13. Asset Liability Management: A Review and Some New Results in the Presence of Heavy Tails

pp.： 534 – 572

Chapter 14. Portfolio Choice Theory with Non-Gaussian Distributed Returns

pp.： 572 – 620

Chapter 15. Portfolio Modeling with Heavy Tailed Random Vectors

pp.： 620 – 666

Chapter 16. Long Range Dependence in Heavy Tailed Stochastic Processes

pp.： 666 – 688

Author Index

pp.： 688 – 700

Subject Index

pp.： 700 – 708

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