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Stable Paretian Markets in Finance
Svetlozar T. Rachev
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Description for Stable Paretian Markets in Finance
Hardcover. 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. Series: Financial Economics & Quantitative Analysis S. Num Pages: 874 pages, Illustrations. BIC Classification: KCH; KFFM. Category: (P) Professional & Vocational; (UP) Postgraduate, Research & Scholarly. Dimension: 236 x 161 x 52. Weight in Grams: 1330.
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.
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.
Product Details
Format
Hardback
Publication date
2000
Publisher
John Wiley and Sons Ltd United Kingdom
Number of pages
874
Condition
New
Series
Financial Economics & Quantitative Analysis S.
Number of Pages
896
Place of Publication
New York, United States
ISBN
9780471953142
SKU
V9780471953142
Shipping Time
Usually ships in 7 to 11 working days
Ref
99-50
About Svetlozar T. Rachev
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 ... Read more
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