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  • 1
    Monograph available for loan
    Monograph available for loan
    Fat-tailed and skewed asset return distributions : implications for risk management, portfolio selection, and option pricing (2005)
    Hoboken, NJ : Wiley
    Details Availability
    Call number: PIK B 160-09-0275
    Description / Table of Contents: Contents: Chapter 1: Introduction. ; PART ONE: Probability and Statistics. ; Chapter 2: Discrete Probability Distributions. ; Chapter 3: Continuous Probability Distributions. ; Chapter 4: Describing a Probability Distribution Function: Statistical Moments and Quantiles. ; Chapter 5: Joint Probability Distributions. ; Chapter 6: Copulas. ; Chapter 7: Stable Distributions. ; Chapter 8: Estimation Methodologies.PART TWO: Stochastic Processes. ; Chapter 9: Stochastic Processes in Discrete Time and Time Series Analysis. ; Chapter 10: Stochastic Processes in Continuous Time. ; PART THREE: Portfolio Selection. ; Chapter 11: Equity and Bond Return Distributions. ; Chapter 12: Risk Measures and Portfolio Selection. ; Chapter 13: Risk Measures in Portfolio Optimization and Performance Measures. ; PART FOUR: Risk Management. ; Chapter 14: Market Risk. ; Chapter 15: Credit Risk. ; Chapter 16: Operational Risk.PART FIVE: Option Pricing. ; Chapter 17: Introduction to Option Pricing and the Binomial Model. ; Chapter 18: Black-Scholes Option Pricing Model. ; Chapter 19: Extension of the Black-Scholes Model and Alternative Approaches. ; INDEX.
    Type of Medium: Monograph available for loan
    Pages: XIII, 369 S. : zahlr. graph. Darst.
    ISBN: 0471718866 , 978-0-471-71886-4
    Series Statement: The Frank J. Fabozzi series
    Location: A 18 - must be ordered
    Branch Library: PIK Library
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  • 2
    Electronic Resource
    Electronic Resource
    Detecting Asymmetries in Observed Linear Time Series and Unobserved Disturbances (1996)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 1.1996, 3, art1 
    Details
    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: This paper investigates the problem of testing for the symmetry of linear time series driven by asymmetric innovations. In particular, we examine the performance of alternative symmetry tests when innovations are fat tailed. Among the tests considered, only the test based on the tail estimator of the spectral measure yields satisfactory results in the presence of fat-tailed innovations.
    Type of Medium: Electronic Resource
    URL: http://www.bepress.com/snde/vol1/iss3/art1
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  • 3
    Electronic Resource
    Electronic Resource
    Book reviews (1997)
    Springer
    Bulletin of mathematical biology 59 (1997), S. 399-406 
    Details
    ISSN: 1522-9602
    Source: Springer Online Journal Archives 1860-2000
    Topics: Biology , Mathematics
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF02462008
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  • 4
    Electronic Resource
    Electronic Resource
    Subordinated Market Index Models: A Comparison (1997)
    Springer
    Asia Pacific financial markets 4 (1997), S. 97-124 
    Details
    ISSN: 1573-6946
    Keywords: Asset price model ; subordination ; leptokurtic ; Student t distribution ; symmetric generalised hyperbolic distribution
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract The paper compares various processes subordinated to the Wiener process tomodel the leptokurtic characteristics of index returns. Empirical analysisis performed on the Dow Jones and Nikkei 225 indexes. A good model to capturethe typical tail behaviour of these indexes turns out to be a long Studentt distributed one.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1023/A:1009650313980
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  • 5
    Electronic Resource
    Electronic Resource
    Unconditional and Conditional Distributional Models for the Nikkei Index (1998)
    Springer
    Asia Pacific financial markets 5 (1998), S. 99-128 
    Details
    ISSN: 1573-6946
    Keywords: GARCH ; persistence ; skewness ; stable Paretian distribution ; volatility
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract We investigate alternative unconditional and conditional distributional models for the returns on Japan's Nikkei 225 stock market index. Among them is the recently introduced class of ARMA-GARCH models driven by α-stable (or stable Paretian) distributed innovations, designed to capture the observed serial dependence, conditional heteroskedasticity and fat-tailedness present in the return data. Of the eight entertained distributions, the partially asymmetric Weibull, Student's t and asymmetric α-stable present themselses as the most viable candidates in terms of overall fit. However, the tails of the sample distribution are approximated best by the asymmetric α-stable distribution. Good tail approximations are particularly important for risk assessments.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1023/A:1010016831481
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  • 6
    Electronic Resource
    Electronic Resource
    Volume functions of historical texts and the amplitude correlation principle (1990)
    Springer
    Computers and the humanities 24 (1990), S. 187-206 
    Details
    ISSN: 1572-8412
    Keywords: historical texts ; empirico-statistical methods ; Weibull-Gnedenko distribution
    Source: Springer Online Journal Archives 1860-2000
    Topics: Computer Science , Media Resources and Communication Sciences, Journalism
    Notes: Abstract A new empirico-statistical model is suggested to distinguish dependent narrative texts from independent narrative texts by means of their volume functions. A “regard for information” principle and an “amplitude correlation” principle are formulated. The model and both principles are examined experimentally using specific historical texts.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF00117342
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  • 7
    Electronic Resource
    Electronic Resource
    Metrization of Epi-Convergence: An Application to the Strong Consistency of M-Estimators (1999)
    Springer
    Journal of computational analysis and applications 1 (1999), S. 63-86 
    Details
    ISSN: 1572-9206
    Keywords: Epi-convergence ; convergence of infima ; Hausdorff distance ; consistency ; M-estimators
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics
    Notes: Abstract Strong consistency in the class of M-estimators is examined here as an application of epi-convergence, a functional convergence which is particularly suited for the study of convergence of the functions' minimizing values and arguments. Starting from a 1988 paper by J. Dupačova and R. Wets, which contains a thorough account of the relations between consistency and epi-convergence, a quantitative approach of the same topic is pursued here. Epi-convergence is compared with two definitions introduced in 1980 by one of the authors. The results are merged in order to define a distance between lower semicontinuous functions that is compatible with epi-convergence and bounds the distance between the minimizing arguments. These results applied to the statistical problem allow the definition of a bound of the distance between the estimator and the parameter.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1023/A:1022618620244
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  • 8
    Electronic Resource
    Electronic Resource
    Rates of convergence in the operator-stable limit theorem (1996)
    Springer
    Journal of theoretical probability 9 (1996), S. 37-85 
    Details
    ISSN: 1572-9230
    Keywords: Operator-stable distributions ; probability metrics ; rate of convergence
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics
    Notes: Abstract Suppose that the ℝ d -valued random vector θ is strictly operator-stable in the sense that $$\hat \mu $$ , the characteristic function of θ, satisfies $$\hat \mu (z)^t = \hat \mu (t^{B*} z)$$ for everyt〈0, for some invertible linear operatorB on ℝ d . Suppose also that for the i.i.d. random vectors {X i } in ℝ d , $$n^{ - B} \Sigma _{i = 1}^n X_i \xrightarrow{w}\theta $$ . In the present paper, we study the rates of convergence of this operator-stable limit theorem in terms of several probability metrics. A new type of “ideal” metrics suitable for this rate-of-convergence problem is introduced.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF02213734
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  • 9
    Electronic Resource
    Electronic Resource
    Geometric stable distributions in Banach spaces (1994)
    Springer
    Journal of theoretical probability 7 (1994), S. 351-373 
    Details
    ISSN: 1572-9230
    Keywords: Stable distribution ; geometric stable distribution ; limit theorems ; rate-of-convergence problems ; financial modeling ; probability in Banach spaces
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics
    Notes: Abstract Geometric stable laws have become an object of attention in recent publications dealing with heavy tailed modeling. Many applications require understanding geometric stable laws on infinite dimensional spaces. This paper studies geometric stable laws on Banach spaces, and their place in the more general family of geometric infinitely divisible laws. Furthermore, we discuss rates of convergence in the domains of attraction of geometric stable laws in Banach spaces.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF02214274
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  • 10
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    Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model (2012)
    Springer
    Details
    Publication Date: 2012-11-21
    Print ISSN: 0254-5330
    Electronic ISSN: 1572-9338
    Topics: Mathematics , Economics
    Published by Springer
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