TY - BOOK
AU - Rachev,Svetlozar T.
AU - Menn,Christian
AU - Fabozzi,Frank J.
TI - Fat-tailed and skewed asset return distributions: implications for risk management, portfolio selection, and option pricing
T2 - The Frank J. Fabozzi series
SN - 0471718866
U1 - 332.6
PY - 2005///
CY - Hoboken, NJ
PB - Wiley
KW - Portfoliomanagement
KW - Risikomanagement
N1 - MAB0014.001: PIK B 160-09-0275; MAB0036: m
N2 - 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
ER -