+353-1-416-8900REST OF WORLD
+44-20-3973-8888REST OF WORLD
1-917-300-0470EAST COAST U.S
1-800-526-8630U.S. (TOLL FREE)


Stable Paretian Models in Finance. Financial Economics and Quantitative Analysis Series

  • ID: 2217645
  • Book
  • April 2000
  • 874 Pages
  • John Wiley and Sons Ltd
"The adoption of stable modeling in finance and econometrics is undoubtedly one of the most interesting and promising ideas which has arisen in these fields. It is now widely accepted that classical models for the description of the dynamics of financial and economic variable suffer form major structural weaknesses, as they fail to explain important features of the empirical data. Therefore, the search for new more powerful models is a fundamental and fascinating topic of research. In this book, Rachev and Mittnik, two of the most prominent experts in so–called Stable Finance, present a wealth of convincing arguments to support the claim that stable models offer the right approach to the subject. Their monograph, which collects a large part of the authors′ work in sable financial modeling, brings together innovative insights as well as new elegant explanations financial and economic phenomena..."

"...The book explains in a lucid and understandable manner how to extend a wide range of financial paradigms to the stable case, presenting both new theoretical results and empirical applications. The material covered is truly impressive in its breadth and quality, and will be of great interest to researchers and advanced graduate students, as well as practitioners looking for state–of–the–art models with a better fit to real data."

Eduardo S. Schwartz, Professor of Finance, Anderson School of Management, University of California
Note: Product cover images may vary from those shown


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




Note: Product cover images may vary from those shown
Svetlozar T. Rachev
Stefan Mittnik
Note: Product cover images may vary from those shown