Fat-Tailed and Skewed Asset Return Distributions
Author
Link
Cost
Paid
Published
2005
Updated
2008
Full Name
Fat-Tailed and Skewed Asset Return Distributions : Implications for Risk Management, Portfolio Selection, and Option Pricing
While mainstream financial theories and applications assume that asset returns are normally distributed, overwhelming empirical evidence shows otherwise. 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. It 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.
Topics covered in this comprehensive book include:
- An extensive discussion of probability distributions used in finance
- Estimating probability distributions
- The basics of stochastic processes
- Portfolio selection and alternative risk measures
- Market, credit, and operational risk measurement
- Black-Scholes option-pricing model and its extensions when the model's assumptions are modified to meet the empirical distributional evidence and tests