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Fat-tailed and skewed asset return distributions

Rachev, Svetlozar T.

Fat-tailed and skewed asset return distributions implications for risk management, portfolio selection, and option pricing Svetlozar T. Rachev ; Christian Menn ; Frank J. Fabozzi - Hoboken, NJ Wiley 2005 - XIII, 369 S. : zahlr. graph. Darst. - The Frank J. Fabozzi series Wiley Finance .

MAB0014.001: PIK B 160-09-0275 MAB0036: m

Contents: Chapter 1: Introduction. ; PART ONE: Probability and Statistics. ; Chapter 2: Discrete Probability Distributions. ; Chapter 3: Continuous Probability Distributions. ; Chapter 4: Describing a Probability Distribution Function: Statistical Moments and Quantiles. ; Chapter 5: Joint Probability Distributions. ; Chapter 6: Copulas. ; Chapter 7: Stable Distributions. ; Chapter 8: Estimation Methodologies.PART TWO: Stochastic Processes. ; Chapter 9: Stochastic Processes in Discrete Time and Time Series Analysis. ; Chapter 10: Stochastic Processes in Continuous Time. ; PART THREE: Portfolio Selection. ; Chapter 11: Equity and Bond Return Distributions. ; Chapter 12: Risk Measures and Portfolio Selection. ; Chapter 13: Risk Measures in Portfolio Optimization and Performance Measures. ; PART FOUR: Risk Management. ; Chapter 14: Market Risk. ; Chapter 15: Credit Risk. ; Chapter 16: Operational Risk.PART FIVE: Option Pricing. ; Chapter 17: Introduction to Option Pricing and the Binomial Model. ; Chapter 18: Black-Scholes Option Pricing Model. ; Chapter 19: Extension of the Black-Scholes Model and Alternative Approaches. ; INDEX.

0471718866 978-0-471-71886-4


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