Handbook Of Heavy Tailed Distributions In Finance

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Handbook of Heavy Tailed Distributions in Finance

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Author : S.T Rachev
Publisher : Elsevier
ISBN 13 : 9780080557731
Total Pages : 704 pages
Book Rating : 4.5/5 (577 download)

Book Synopsis Handbook of Heavy Tailed Distributions in Finance by : S.T Rachev

Download or read book Handbook of Heavy Tailed Distributions in Finance written by S.T Rachev and published by Elsevier. This book was released on 2003-03-05 with total page 704 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 and lecturers, professional researchers, graduate students and as a teaching supplement. The goal is to have a broad group of outstanding volumes in various areas of finance. The Handbook of Heavy Tailed Distributions in Finance is the first handbook to be published in this series. This volume presents current research focusing on heavy tailed distributions in finance. The contributions cover methodological issues, i.e., probabilistic, statistical and econometric modelling under non- Gaussian assumptions, as well as the applications of the stable and other non -Gaussian models in finance and risk management.

Handbook Of Heavy-tailed Distributions In Asset Management And Risk Management

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Author : Michele Leonardo Bianchi
Publisher : World Scientific
ISBN 13 : 9813276215
Total Pages : 598 pages
Book Rating : 4.8/5 (132 download)

Book Synopsis Handbook Of Heavy-tailed Distributions In Asset Management And Risk Management by : Michele Leonardo Bianchi

Download or read book Handbook Of Heavy-tailed Distributions In Asset Management And Risk Management written by Michele Leonardo Bianchi and published by World Scientific. This book was released on 2019-03-08 with total page 598 pages. Available in PDF, EPUB and Kindle. Book excerpt: The study of heavy-tailed distributions allows researchers to represent phenomena that occasionally exhibit very large deviations from the mean. The dynamics underlying these phenomena is an interesting theoretical subject, but the study of their statistical properties is in itself a very useful endeavor from the point of view of managing assets and controlling risk. In this book, the authors are primarily concerned with the statistical properties of heavy-tailed distributions and with the processes that exhibit jumps. A detailed overview with a Matlab implementation of heavy-tailed models applied in asset management and risk managements is presented. The book is not intended as a theoretical treatise on probability or statistics, but as a tool to understand the main concepts regarding heavy-tailed random variables and processes as applied to real-world applications in finance. Accordingly, the authors review approaches and methodologies whose realization will be useful for developing new methods for forecasting of financial variables where extreme events are not treated as anomalies, but as intrinsic parts of the economic process.

Handbook of Heavy-tailed Distributions in Asset Management and Risk Management

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Author : Michele Leonardo Bianchi
Publisher :
ISBN 13 : 9789813276208
Total Pages : 573 pages
Book Rating : 4.2/5 (762 download)

Book Synopsis Handbook of Heavy-tailed Distributions in Asset Management and Risk Management by : Michele Leonardo Bianchi

Download or read book Handbook of Heavy-tailed Distributions in Asset Management and Risk Management written by Michele Leonardo Bianchi and published by . This book was released on 2019 with total page 573 pages. Available in PDF, EPUB and Kindle. Book excerpt:

The Fundamentals of Heavy Tails

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Author : Jayakrishnan Nair
Publisher : Cambridge University Press
ISBN 13 : 1009062964
Total Pages : 266 pages
Book Rating : 4.0/5 (9 download)

Book Synopsis The Fundamentals of Heavy Tails by : Jayakrishnan Nair

Download or read book The Fundamentals of Heavy Tails written by Jayakrishnan Nair and published by Cambridge University Press. This book was released on 2022-06-09 with total page 266 pages. Available in PDF, EPUB and Kindle. Book excerpt: Heavy tails –extreme events or values more common than expected –emerge everywhere: the economy, natural events, and social and information networks are just a few examples. Yet after decades of progress, they are still treated as mysterious, surprising, and even controversial, primarily because the necessary mathematical models and statistical methods are not widely known. This book, for the first time, provides a rigorous introduction to heavy-tailed distributions accessible to anyone who knows elementary probability. It tackles and tames the zoo of terminology for models and properties, demystifying topics such as the generalized central limit theorem and regular variation. It tracks the natural emergence of heavy-tailed distributions from a wide variety of general processes, building intuition. And it reveals the controversy surrounding heavy tails to be the result of flawed statistics, then equips readers to identify and estimate with confidence. Over 100 exercises complete this engaging package.

Extreme Events in Finance

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Author : Francois Longin
Publisher : John Wiley & Sons
ISBN 13 : 1118650190
Total Pages : 638 pages
Book Rating : 4.1/5 (186 download)

Book Synopsis Extreme Events in Finance by : Francois Longin

Download or read book Extreme Events in Finance written by Francois Longin and published by John Wiley & Sons. This book was released on 2016-10-17 with total page 638 pages. Available in PDF, EPUB and Kindle. Book excerpt: A guide to the growing importance of extreme value risk theory, methods, and applications in the financial sector Presenting a uniquely accessible guide, Extreme Events in Finance: A Handbook of Extreme Value Theory and Its Applications features a combination of the theory, methods, and applications of extreme value theory (EVT) in finance and a practical understanding of market behavior including both ordinary and extraordinary conditions. Beginning with a fascinating history of EVTs and financial modeling, the handbook introduces the historical implications that resulted in the applications and then clearly examines the fundamental results of EVT in finance. After dealing with these theoretical results, the handbook focuses on the EVT methods critical for data analysis. Finally, the handbook features the practical applications and techniques and how these can be implemented in financial markets. Extreme Events in Finance: A Handbook of Extreme Value Theory and Its Applications includes: Over 40 contributions from international experts in the areas of finance, statistics, economics, business, insurance, and risk management Topical discussions on univariate and multivariate case extremes as well as regulation in financial markets Extensive references in order to provide readers with resources for further study Discussions on using R packages to compute the value of risk and related quantities The book is a valuable reference for practitioners in financial markets such as financial institutions, investment funds, and corporate treasuries, financial engineers, quantitative analysts, regulators, risk managers, large-scale consultancy groups, and insurers. Extreme Events in Finance: A Handbook of Extreme Value Theory and Its Applications is also a useful textbook for postgraduate courses on the methodology of EVTs in finance.

Statistical Tools for Finance and Insurance

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Author : Pavel Čižek
Publisher : Springer Science & Business Media
ISBN 13 : 9783540221890
Total Pages : 534 pages
Book Rating : 4.2/5 (218 download)

Book Synopsis Statistical Tools for Finance and Insurance by : Pavel Čižek

Download or read book Statistical Tools for Finance and Insurance written by Pavel Čižek and published by Springer Science & Business Media. This book was released on 2005 with total page 534 pages. Available in PDF, EPUB and Kindle. Book excerpt: Statistical Tools in Finance and Insurance presents ready-to-use solutions, theoretical developments and method construction for many practical problems in quantitative finance and insurance. Written by practitioners and leading academics in the field, this book offers a unique combination of topics from which every market analyst and risk manager will benefit. Covering topics such as heavy tailed distributions, implied trinomial trees, support vector machines, valuation of mortgage-backed securities, pricing of CAT bonds, simulation of risk processes and ruin probability approximation, the book does not only offer practitioners insight into new methods for their applications, but it also gives theoreticians insight into the applicability of the stochastic technology. Additionally, the book provides the tools, instruments and (online) algorithms for recent techniques in quantitative finance and modern treatments in insurance calculations. Written in an accessible and engaging style, this self-instructional book makes a good use of extensive examples and full explanations. Thenbsp;design of the text links theory and computational tools in an innovative way. All Quantlets for the calculation of examples given in the text are supported by the academic edition of XploRe and may be executed via XploRe Quantlet Server (XQS). The downloadable electronic edition of the book enables one to run, modify, and enhance all Quantlets on the spot.

Complex Systems in Finance and Econometrics

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Author : Robert A. Meyers
Publisher : Springer Science & Business Media
ISBN 13 : 1441977007
Total Pages : 919 pages
Book Rating : 4.4/5 (419 download)

Book Synopsis Complex Systems in Finance and Econometrics by : Robert A. Meyers

Download or read book Complex Systems in Finance and Econometrics written by Robert A. Meyers and published by Springer Science & Business Media. This book was released on 2010-11-03 with total page 919 pages. Available in PDF, EPUB and Kindle. Book excerpt: Finance, Econometrics and System Dynamics presents an overview of the concepts and tools for analyzing complex systems in a wide range of fields. The text integrates complexity with deterministic equations and concepts from real world examples, and appeals to a broad audience.

Handbook of Portfolio Construction

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Author : John B. Guerard, Jr.
Publisher : Springer Science & Business Media
ISBN 13 : 0387774394
Total Pages : 796 pages
Book Rating : 4.3/5 (877 download)

Book Synopsis Handbook of Portfolio Construction by : John B. Guerard, Jr.

Download or read book Handbook of Portfolio Construction written by John B. Guerard, Jr. and published by Springer Science & Business Media. This book was released on 2009-12-12 with total page 796 pages. Available in PDF, EPUB and Kindle. Book excerpt: Portfolio construction is fundamental to the investment management process. In the 1950s, Harry Markowitz demonstrated the benefits of efficient diversification by formulating a mathematical program for generating the "efficient frontier" to summarize optimal trade-offs between expected return and risk. The Markowitz framework continues to be used as a basis for both practical portfolio construction and emerging research in financial economics. Such concepts as the Capital Asset Pricing Model (CAPM) and the Arbitrage Pricing Theory (APT), for example, provide the foundation for setting benchmarks, for predicting returns and risk, and for performance measurement. This volume showcases original essays by some of today’s most prominent academics and practitioners in the field on the contemporary application of Markowitz techniques. Covering a wide spectrum of topics, including portfolio selection, data mining tests, and multi-factor risk models, the book presents a comprehensive approach to portfolio construction tools, models, frameworks, and analyses, with both practical and theoretical implications.

Probability, Finance and Insurance

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Author : T. L. Lai
Publisher : World Scientific
ISBN 13 : 9812702717
Total Pages : 253 pages
Book Rating : 4.8/5 (127 download)

Book Synopsis Probability, Finance and Insurance by : T. L. Lai

Download or read book Probability, Finance and Insurance written by T. L. Lai and published by World Scientific. This book was released on 2004 with total page 253 pages. Available in PDF, EPUB and Kindle. Book excerpt: This workshop was the first of its kind in bringing together researchers in probability theory, stochastic processes, insurance and finance from mainland China, Taiwan, Hong Kong, Singapore, Australia and the United States. In particular, as China has joined the WTO, there is a growing demand for expertise in actuarial sciences and quantitative finance. The strong probability research and graduate education programs in many of China's universities can be enriched by their outreach in fields that are of growing importance to the country's expanding economy, and the workshop and its proceedings can be regarded as the first step in this direction. This book presents the most recent developments in probability, finance and actuarial sciences, especially in Chinese probability research. It focuses on the integration of probability theory with applications in finance and insurance. It also brings together academic researchers and those in industry and government. With contributions by leading authorities on probability theory OCo particularly limit theory and large derivations, valuation of credit derivatives, portfolio selection, dynamic protection and ruin theory OCo it is an essential source of ideas and information for graduate students and researchers in probability theory, mathematical finance and actuarial sciences, and thus every university should acquire a copy. The proceedings have been selected for coverage in: . OCo Index to Scientific & Technical Proceedings (ISTP CDROM version / ISI Proceedings). OCo Index to Social Sciences & Humanities Proceedings- (ISSHP- / ISI Proceedings). OCo Index to Social Sciences & Humanities Proceedings (ISSHP CDROM version / ISI Proceedings). OCo CC Proceedings OCo Engineering & Physical Sciences. Contents: Limit Theorems for Moving Averages (T L Lai); On Large Deviations for Moving Average Processes (L Wu); Recent Progress on Self-Normalized Limit Theorems (Q-M Shao); Limit Theorems for Independent Self-Normalized Sums (B-Y Jing); Phase Changes in Random Recursive Structures and Algorithms (H-K Hwang); JohnsonOCoMehl Tessellations: Asymptotics and Inferences (S N Chiu); Rapid Simulation of Correlated Defaults and the Valuation of Basket Default Swaps (Z Zhang et al.); Dynamic Protection with Optimal Withdrawal (H U Gerber & E S W Shiu); Ruin Probability for a Model Under Markovian Switching Regime (H Yang & G Yin); and other papers. Readership: Researchers and graduate students in probability and statistics."

Monte Carlo Methods in Financial Engineering

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Author : Paul Glasserman
Publisher : Springer Science & Business Media
ISBN 13 : 0387216170
Total Pages : 603 pages
Book Rating : 4.3/5 (872 download)

Book Synopsis Monte Carlo Methods in Financial Engineering by : Paul Glasserman

Download or read book Monte Carlo Methods in Financial Engineering written by Paul Glasserman and published by Springer Science & Business Media. This book was released on 2013-03-09 with total page 603 pages. Available in PDF, EPUB and Kindle. Book excerpt: From the reviews: "Paul Glasserman has written an astonishingly good book that bridges financial engineering and the Monte Carlo method. The book will appeal to graduate students, researchers, and most of all, practicing financial engineers [...] So often, financial engineering texts are very theoretical. This book is not." --Glyn Holton, Contingency Analysis

Handbook Of Financial Econometrics, Mathematics, Statistics, And Machine Learning (In 4 Volumes)

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Author : Cheng Few Lee
Publisher : World Scientific
ISBN 13 : 9811202400
Total Pages : 5053 pages
Book Rating : 4.8/5 (112 download)

Book Synopsis Handbook Of Financial Econometrics, Mathematics, Statistics, And Machine Learning (In 4 Volumes) by : Cheng Few Lee

Download or read book Handbook Of Financial Econometrics, Mathematics, Statistics, And Machine Learning (In 4 Volumes) written by Cheng Few Lee and published by World Scientific. This book was released on 2020-07-30 with total page 5053 pages. Available in PDF, EPUB and Kindle. Book excerpt: This four-volume handbook covers important concepts and tools used in the fields of financial econometrics, mathematics, statistics, and machine learning. Econometric methods have been applied in asset pricing, corporate finance, international finance, options and futures, risk management, and in stress testing for financial institutions. This handbook discusses a variety of econometric methods, including single equation multiple regression, simultaneous equation regression, and panel data analysis, among others. It also covers statistical distributions, such as the binomial and log normal distributions, in light of their applications to portfolio theory and asset management in addition to their use in research regarding options and futures contracts.In both theory and methodology, we need to rely upon mathematics, which includes linear algebra, geometry, differential equations, Stochastic differential equation (Ito calculus), optimization, constrained optimization, and others. These forms of mathematics have been used to derive capital market line, security market line (capital asset pricing model), option pricing model, portfolio analysis, and others.In recent times, an increased importance has been given to computer technology in financial research. Different computer languages and programming techniques are important tools for empirical research in finance. Hence, simulation, machine learning, big data, and financial payments are explored in this handbook.Led by Distinguished Professor Cheng Few Lee from Rutgers University, this multi-volume work integrates theoretical, methodological, and practical issues based on his years of academic and industry experience.

Univariate Stable Distributions

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Author : John P. Nolan
Publisher : Springer Nature
ISBN 13 : 3030529150
Total Pages : 342 pages
Book Rating : 4.0/5 (35 download)

Book Synopsis Univariate Stable Distributions by : John P. Nolan

Download or read book Univariate Stable Distributions written by John P. Nolan and published by Springer Nature. This book was released on 2020-09-13 with total page 342 pages. Available in PDF, EPUB and Kindle. Book excerpt: This textbook highlights the many practical uses of stable distributions, exploring the theory, numerical algorithms, and statistical methods used to work with stable laws. Because of the author’s accessible and comprehensive approach, readers will be able to understand and use these methods. Both mathematicians and non-mathematicians will find this a valuable resource for more accurately modelling and predicting large values in a number of real-world scenarios. Beginning with an introductory chapter that explains key ideas about stable laws, readers will be prepared for the more advanced topics that appear later. The following chapters present the theory of stable distributions, a wide range of applications, and statistical methods, with the final chapters focusing on regression, signal processing, and related distributions. Each chapter ends with a number of carefully chosen exercises. Links to free software are included as well, where readers can put these methods into practice. Univariate Stable Distributions is ideal for advanced undergraduate or graduate students in mathematics, as well as many other fields, such as statistics, economics, engineering, physics, and more. It will also appeal to researchers in probability theory who seek an authoritative reference on stable distributions.

Handbook of Computational and Numerical Methods in Finance

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Author : Svetlozar T. Rachev
Publisher : Springer Science & Business Media
ISBN 13 : 0817681809
Total Pages : 438 pages
Book Rating : 4.8/5 (176 download)

Book Synopsis Handbook of Computational and Numerical Methods in Finance by : Svetlozar T. Rachev

Download or read book Handbook of Computational and Numerical Methods in Finance written by Svetlozar T. Rachev and published by Springer Science & Business Media. This book was released on 2011-06-28 with total page 438 pages. Available in PDF, EPUB and Kindle. Book excerpt: The subject of numerical methods in finance has recently emerged as a new discipline at the intersection of probability theory, finance, and numerical analysis. The methods employed bridge the gap between financial theory and computational practice, and provide solutions for complex problems that are difficult to solve by traditional analytical methods. Although numerical methods in finance have been studied intensively in recent years, many theoretical and practical financial aspects have yet to be explored. This volume presents current research and survey articles focusing on various numerical methods in finance. The book is designed for the academic community and will also serve professional investors.

Handbook of Asian Finance

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Author : David LEE Kuo Chuen
Publisher : Academic Press
ISBN 13 : 0128010630
Total Pages : 544 pages
Book Rating : 4.1/5 (28 download)

Book Synopsis Handbook of Asian Finance by : David LEE Kuo Chuen

Download or read book Handbook of Asian Finance written by David LEE Kuo Chuen and published by Academic Press. This book was released on 2014-05-15 with total page 544 pages. Available in PDF, EPUB and Kindle. Book excerpt: Participants in Asian financial markets have witnessed the unprecedented growth and sophistication of their investments since the 1997 crisis. Handbook of Asian Finance: REITs, Trading, and Fund Performance analyzes the forces behind these growth rates. Insights into banking, fund performance, and the effects of trading technologies for practitioners to tax evasion, market manipulation, and corporate governance issues are all here, presented by expert scholars. Offering broader and deeper coverage than other handbooks, the Handbook of Asian Finance: REITs, Trading, and Fund Performance explains what is going on in Asia today. Presents the only micro- and market-related analysis of pan-Asian finance available today Explores the implications implicit in the expansion of sovereign funds and the growth of the hedge fund and real estate fund management industries Investigates the innovations in technology that have ushered in faster capital flow and larger trading volumes

The Financial Times Guide to Technical Analysis

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Author : Jacinta Chan
Publisher : Pearson UK
ISBN 13 : 0273751743
Total Pages : 241 pages
Book Rating : 4.2/5 (737 download)

Book Synopsis The Financial Times Guide to Technical Analysis by : Jacinta Chan

Download or read book The Financial Times Guide to Technical Analysis written by Jacinta Chan and published by Pearson UK. This book was released on 2013-03-06 with total page 241 pages. Available in PDF, EPUB and Kindle. Book excerpt: Beginning with the very basics of technical analysis and market price behaviour, this book teaches you how to apply these concepts and principles to your own trading. With this comprehensive and straight talking guide you will soon be using the same successful techniques and formulas as the professionals. Learn how to: Understand those trading systems that will generate high returns Identify price patterns and trends Use the right technical indicators to get the best out of the markets Write and execute a trading plan that increases your chances of beating the market

The Impact of the Global Financial Crisis on Emerging Financial Markets

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Author : Jonathan Batten
Publisher : Emerald Group Publishing
ISBN 13 : 0857247549
Total Pages : 732 pages
Book Rating : 4.8/5 (572 download)

Book Synopsis The Impact of the Global Financial Crisis on Emerging Financial Markets by : Jonathan Batten

Download or read book The Impact of the Global Financial Crisis on Emerging Financial Markets written by Jonathan Batten and published by Emerald Group Publishing. This book was released on 2011-03-02 with total page 732 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Global Financial Crisis of 2007-2009 has highlighted the resilience of the financial markets and economies from the developing world. This title investigates and assesses the impact and response to the crisis from an emerging markets perspective including asset pricing, contagion, financial intermediation, market structure and regulation.

Fat-tailed Distributions

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Author : Roger M. Cooke
Publisher :
ISBN 13 : 9781119054207
Total Pages : pages
Book Rating : 4.0/5 (542 download)

Book Synopsis Fat-tailed Distributions by : Roger M. Cooke

Download or read book Fat-tailed Distributions written by Roger M. Cooke and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: