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 | | Stable Paretian Models in Finance (Financial Economics and Quantitative Analysis Series) by Svetlozar T. Rachev, Stefan, PhD Mittnik ISBN-10: 9780471953142 ISBN-10: 0-471-95314-8 ISBN-13: 9780471953142 ISBN-13: 978-0-471-95314-2 Hardcover 2000-06-13 Wiley Find Lowest Price |
Editorials | ||
Product Description The 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. | ||
Reviews | ||
A good source of information The book is a good source of information on stable distributions (univariate and multivariate) and on their applications in different finance areas, including modeling of financial returns, portfolio analysis, option pricing, and risk management. The book might be helpful not only to finance researchers and practitioners but also to others who encounter heavy-tailed and/or skewed processes, for example, econometricians and actuaries. | ||
Foreword, by Eduardo S. Schwartz,California Chair in Real Estate and Professor of Finance Anderson School of Management The adoption of stable modeling in finance and econometrics is undoubtedly one of the most interesting and promising ideas which has arisen in these fields. It is now widely accepted that classical models for the description of the dynamics of financial and economic variables suffer from major structural weaknesses, as they fail to explain important features of the empirical data. Therefore, the search for new more powerful models is a fundamental and fascinating topic of research. In this book, Rachev and Mittnik, two of the most prominent experts in so-called Stable Finance, present a wealth of convincing arguments to support the claim that stable models offer the right approach to the subject. Their monograph, which collects a large part of the authors' work in stable financial modeling, brings together innovative insights as well as new elegant explanations of financial and economic phenomena. Eduardo S. Schwartz, California Chair in Real Estate and Professor of Finance Anderson School of Management University of California, Los Angeles September 1999 | ||