Handbook of Heavy-Tailed Distributions in Asset Management and Risk Management - Couverture rigide

Livre 5 sur 6: World Scientific Handbook in Financial Economics
 
9789813274914: Handbook of Heavy-Tailed Distributions in Asset Management and Risk Management
Couverture rigide
ISBN 10 : 9813274913 ISBN 13 : 9789813274914
Editeur : World Scientific Publishing Co Pte Ltd, 2019

Synopsis

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.

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

Présentation de l'éditeur

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.

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

Éditeur
World Scientific Publishing Co Pte Ltd
Date d'édition
2019
Langue
anglais
ISBN 10 
9813274913
ISBN 13 
9789813274914
Reliure
Relié
Nombre de pages
598
Éditeur
Bianchi Michele Leonardo, Stoyanov Stoyan V, Tassinari Gian Luca, Fabozzi Frank J, Focardi Sergio
Coordonnées du fabricant
non disponible
Personne responsable
gpsr@libri.de
gpsr@libri.de

Friedensallee 273
Hamburg
22763
Allemagne