Stable Paretian Models in Finance - Financial Economics and Quantitative Analysis Series

Stable Paretian Models in Finance

Stable Paretian Models in Finance - Financial Economics and Quantitative Analysis Series

hardback
Published: 25 April, 2000
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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.
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More Details

Type Book
ISBN13 9780471953142
ISBN10 0471953148
Number Of Pages 880
Item Weight 1332 g
Product Dimensions 163 x 234 x 51 mm
Publisher / Reseller John Wiley & Sons Inc
Format hardback
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Author's Bio

Svetlozar Rachev is Chair-Professor in the School of Economics and Business Engineering at the University of Karlsruhe, and Professor Statistics and Economics at the University of California, Santa Barbara. He has published five monographs and more than 200 research articles. His research areas include mathematical and empirical finance, econometrics, probability, and statistics. He is a Fellow of the Institute of Mathematical Statistics, Elected Member of the International Statistical Institute, Foreign Member of the Russian Academy of Natural Sciences, and holds an honorary doctorate degree from ST. Petersburg Technical University.
Stefan Mittnik is Professor of Statistics and Empirical Economics at the University of Kiel and Director of the Institute of Statistics Econometrics. His academic and consulting work covers the areas of empirical finance, forecasting financial risk, portfolio management, computational finance, econometrics, and time series analysis.

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