Description
Book SynopsisThe authors reconsider the problem of parametrically specifying distribution suitable for asset--return models. They describe alternative distributions, showing how they can be estimated and applied to stock--index and exchange--rate data. The implications for options pricing are also investigated.
Table of ContentsForeword
Preface
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
References
Indexes
Author-Index
Subject-Index
