Handbook of heavy tailed distributions in finance
The Handbooks in Finance are intended to be a definitive source for comprehensive and accessible information in the field of finance. Each individual volume in the series should present an accurate self-contained survey of a sub-field of finance, suitable for use by finance and economics professors...
| Otros Autores: | |
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| Formato: | Libro electrónico |
| Idioma: | Inglés |
| Publicado: |
Amsterdam ; Boston :
Elsevier
2003.
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| Edición: | First edition |
| Colección: | Handbooks in finance ;
bk. 1. |
| Materias: | |
| Ver en Biblioteca Universitat Ramon Llull: | https://discovery.url.edu/permalink/34CSUC_URL/1im36ta/alma991009627607906719 |
Tabla de Contenidos:
- Front Cover; Handbook of Heavy Tailed Distributions in Finance; Copyright Page; Contents; Introduction to the Series; Contents of the Handbook; Preface; Chapter 1. Heavy Tails in Finance for Independent or Multifractal Price Increments; Abstract; 1. Introduction: A path that led to model price by Brownian motion (Wiener or fractional) of a multifractal trading time; 2. Background: the Bernoulli binomial measure and two random variants: shuffled and canonical; 3. Definition of the two-valued canonical multifractals
- 4. The limit random variable O = μ([0, 1]), its distribution and the star functional equation5. The function t(q): motivation and form of the graph; 6. When u > 1, the moment EOq diverges if q exceeds a critical exponent qcrit satisfying t(q)= 0; O follows a power-law distribution of exponent qcrit; 7. The quantity a: the original Holder exponent and beyond; 8. The full function f (a) and the function p(ß); 9. The fractal dimension D = t (1) = 2[-pulog2 u- (1 - p)v log2 v] and multifractal concentration
- 10. A noteworthy and unexpected separation of roles, between the "dimension spectrum"and the total mass . the former is ruled by the accessible a for which f (a) > 0, the latter, by the inaccessible a for which f (a) < 0; 11. A broad form of the multifractal formalism that allows a < 0 and f (a) < 0; Acknowledgments; References; Chapter 2. Financial Risk and Heavy Tails; Abstract; 1. Introduction; 2. Historical perspective; 3. Value at risk; 4. Risk measures; 5. Portfolios and dependence; 6. Univariate extreme value theory; 7. Stable Paretian models; Acknowledgments; References
- Chapter 3. Modeling Financial Data with Stable DistributionsAbstract; 1. Basic facts about stable distributions; 2. Appropriateness of stable models; 3. Computation, simulation, estimation and diagnostics; 4. Applications to financial data; 5. Multivariate stable distributions; 6. Multivariate computation, simulation, estimation and diagnostics; 7. Multivariate application; 8. Classes of multivariate stable distributions; 9. Operator stable distributions; 10. Discussion; References; Chapter 4. Statistical Issues in Modeling Multivariate Stable Portfolios; Abstract; 1. Introduction
- 2. Multivariate stable laws3. Estimation of the index of stability; 4. Estimation of the stable spectral measure; 5. Estimation of the scale parameter; 6. Extensions to other stable models; 7. Applications; Acknowledgment; References; Chapter 5. Jump-Diffusion Models; Abstract; Keywords; 1. Introduction; 2. Preliminaries; 3. Market models with jump-diffusions; 4. Martingale measures: Existence and uniqueness (Market price of risk and market completion); 5. Hedging in jump-diffusion market models; 6. Pricing in jump-diffusion models; References; Chapter 6. Hyperbolic Processes in Finance
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