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Fachgebiet | Finanz- u. Anlagewesen | Lieferbare Titel | Fat-Tailed and Skewed Asset Return Distributions
 

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Rachev, Svetlozar T. / Menn, Christian / Fabozzi, Frank J.
Fat-Tailed and Skewed Asset Return Distributions
Implications for Risk Management, Portfolio Selection, and Option Pricing
Frank J. Fabozzi Series

1. Auflage August 2005
93,90 Euro
2005. 370 Seiten, Hardcover
- Wiley & Sons Ltd -
ISBN 978-0-471-71886-4 - John Wiley & Sons

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Kurzbeschreibung
This unique book gives non-technical readers an understanding of the highly technical mathematics behind how portfolio management, risk management, and option pricing modeling should and can be undertaken when the assumption of a non-normal distribution for asset returns is appropriate.

Aus dem Inhalt
Preface.

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.

INDEX.

 




 

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