Rachev / Menn / Fabozzi Fat-Tailed and Skewed Asset Return Distributions

Implications for Risk Management, Portfolio Selection, and Option Pricing
1. Auflage 2005
ISBN: 978-0-471-75890-7
Verlag: John Wiley & Sons
Format: PDF
Kopierschutz: Adobe DRM (»Systemvoraussetzungen)

E-Book, Englisch, 384 Seiten, E-Book

Reihe: Frank J. Fabozzi Series

While mainstream financial theories and applications assume that asset returns are normally distributed, overwhelming empirical evidence shows otherwise. Yet many professionals don't appreciate the highly statistical models that take this empirical evidence into consideration. Fat-Tailed and Skewed Asset Return Distributions examines this dilemma and offers readers 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, estimating probability distributions, portfolio selection, alternative risk measures, 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.

Autoren/Hrsg.

Rachev, Svetlozar T.

Menn, Christian

Fabozzi, Frank J.

Inhaltsverzeichnis

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 SeriesAnalysis.
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 andPerformance 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 BinomialModel.
Chapter 18: Black-Scholes Option Pricing Model.
Chapter 19: Extension of the Black-Scholes Model and AlternativeApproaches.
INDEX.

Über Autor(innen)

SVETLOZAR T. RACHEV, PhD, DR. SCI, is currently Chair-Professor atthe University of Karlsruhe in the School of Economics and BusinessEngineering and Professor Emeritus at the University of California.He is also the founder of Bravo Risk Management Group and ChiefScientist of FinAnalytica.
CHRISTIAN MENN, DR. RER. POL., is Hochschulassistent at theChair of Statistics, Econometrics and Mathematical Finance at theUniversity of Karlsruhe. Currently, he is a Visiting Scientist atthe School of Operations Research and Industrial Engineering atCornell University as a postdoctoral fellow.
FRANK J. FABOZZI, PhD, CFA, CPA, is the Frederick Frank AdjunctProfessor of Finance at Yale University's School of Management. Heis also a Fellow of the International Center for Finance at YaleUniversity. Prior to joining the Yale faculty, Fabozzi was avisiting professor of finance in the Sloan School at MIT. Fabozzihas authored and edited many acclaimed books in finance and is alsothe Editor of the Journal of Portfolio Management.