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Fat–Tailed and Skewed Asset Return Distributions. Implications for Risk Management, Portfolio Selection, and Option Pricing. Frank J. Fabozzi Series

  • ID: 2215766
  • Book
  • August 2005
  • 370 Pages
  • John Wiley and Sons Ltd
Fat–Tailed and Skewed Asset Return Distributions

While mainstream financial theories and applications assume that asset returns are normally distributed, the overwhelming empirical evidence shows otherwise. Yet many professionals fail to appreciate the highly statistical models that take this empirical evidence into consideration.

Svetlozar Rachev, Christian Menn, and Frank Fabozzi understand this dilemma, and in Fat–Tailed and Skewed Asset Return Distributions, they offer you a less technical look at how portfolio selection, risk management, and option pricing modeling should and can be undertaken when the assumption of a non–normal distribution for asset returns is violated.

Topics covered in this comprehensive book include:

  • An extensive discussion of probability distributions used in finance
  • Estimating probability distributions
  • The basics of stochastic processes
  • Portfolio selection and alternative risk measures
  • Market, credit, and operational risk measurement
  • Black–Scholes option pricing model and its extensions when the model′s assumptions are modified to meet the empirical distributional evidence and tests
  • And much more

Fat–Tailed and Skewed Asset Return Distributions provides a bridge between the highly technical theory of statistical distributional analysis, stochastic processes, and econometrics of financial returns and real–world risk management and investments.

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About the Authors.

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.


Note: Product cover images may vary from those shown
Svetlozar T. Rachev
Christian Menn
Frank J. Fabozzi
Note: Product cover images may vary from those shown