Wiley.com
Print this page Share

Stable Paretian Models in Finance

ISBN: 978-0-471-95314-2
Hardcover
896 pages
June 2000
List Price: US $206.00
Government Price: US $131.84
Enter Quantity:   Buy
Stable Paretian Models in Finance (0471953148) cover image
This is a Print-on-Demand title. It will be printed specifically to fill your order. Please allow an additional 15-20 days delivery time. The book is not returnable.

Foreword

Preface

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

References

Indexes

Author-Index

Subject-Index
Back to Top