Stable Paretian models in finance:
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Chichester u.a.
Wiley
2000
|
| Schriftenreihe: | Series in financial economics and quantitative analysis
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis Klappentext |
| Beschreibung: | XVIII, 855 S. graph. Darst. |
| ISBN: | 0471953148 |
Internformat
MARC
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| 245 | 1 | 0 | |a Stable Paretian models in finance |c Svetlozar Rachev and Stefan Mittnik |
| 264 | 1 | |a Chichester u.a. |b Wiley |c 2000 | |
| 300 | |a XVIII, 855 S. |b graph. Darst. | ||
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| 650 | 4 | |a Finansielle instrumenter | |
| 650 | 4 | |a Optioner | |
| 650 | 4 | |a Options | |
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Datensatz im Suchindex
| _version_ | 1804128649023062016 |
|---|---|
| adam_text | Contents
Foreword
xiii
Preface
xv
1
Introduction
1
1.1
Stable Models in Finance
1
1.2
An Empirical Application
4
1.3
Overview
17
2
Univariate Stable Distributions
25
2.1
Definitions and Main Properties of Univariate Stable
Distributions
26
2.2
Univariate Geometric Stable Distributions
34
2.3
A Contaminated Geometric Stable Law
50
2.4
Distributions Arising in the General Random
Summation Scheme
51
2.5
Stable and Geo-stable Central Pre-limit Theorems
and Their Applications
77
3
Identification, Estimation and Goodness of Fit
83
3.1
Regression-type Estimators
83
3.2
Visual Identification
88
3.3
Maximum
Likelihood Estimation
90
3.4
Efficient Estimators for the Parameters of Paretian-
stable and Geometric Laws
91
3.5
Statistical Inference for Laplace-Weibull Mixture
Models
99
3.6
Tail Estimation of the Stable Index a
106
3.7
FFT-approximation and ML-Estimation of stable
Paretian
laws
119
4
Empirical Comparison
149
4.1
Modeling the unconditional Distribution of Highly
Volatile Exchange-rate Time Series
149
4.2
Unconditional Distributional Models for the Nikkei
Index
156
4.3
Conditional Distributional Models for Nikkei Index
168
5
Subordinated, Fractional Stable and Stable ARIMA Pro¬
cesses
181
5.1
Subordinated Processes
182
5.2
Fractional Stable Processes
194
5.3
ARMA
and ARIMA Models with Infinite-Variance
Innovations
197
5.4
Subordinated Models: Evidence for Heavy Tailed
Distributions and Long-Range Dependence
216
5.5
The Heavy-Tailedness and Long-Range Dependence
in the USD-CHF Exchange Rate Time Series
226
5.6
The Heavy-Tailedness and
Long-Range
Dependence
in the High-Frequency Deutsche Bank Price Record
252
6
ARCH-type and Shot Noise Processes
269
6.1
Relationship Between Unconditional Stable and
ARCH-type Models
269
6.2
The Stable
Paretian GARCH
Model
275
6.3
Numerical Solution of Stochastic Differential
Equations with Applications to ARCH/GARCH
Modeling
294
6.4
Shot Noise Processes for Modeling Asset Returns
304
6.5
Conditionally Exponential Dependence Model for
Financial Returns
309
6.6
Proofs of the Results on Numerical Solution of
Stochastic Differential Equations
313
7
Multivariate
Stable
Models
327
7.1
Multivariate (a,+)-stable and Operator Stable
Distributions
327
7.2
Multivariate Max-stable and Min-stable Models.
The Weibull-
Marshall-Olkin distributions
342
7.3
Weibull and Weibull-Marshall-Olkin Distributions:
An Application to Stock Returns Distributions
347
7.4
Multivariate (a, M)-stable Distributions
349
7.5
Multivariate Geo-stable Distributions
351
8
Estimation, Association, Risk, and Symmetry of Stable
Portfolios
357
8.1
Overview
357
8.2
Estimation of the Index of Stability and the Spectral
Measure
358
8.3
A Test for Association
366
8.4
The Risk and Covariation Matrix of Stable
Paretian
Portfolios
368
8.5
Testing Multivariate Symmetry
374
8.6
Test of dependence between two asset-return series
387
9
Asset—Pricing and Portfolio Theory Under Stable Pare-
tian Laws
399
9.1
Preliminaries to Stable
С АРМ
and APT: Covaria¬
tion, Lp Spaces and Risk
399
9.2
Stable
Paretian
Asset Pricing
409
9.3
Testing Stable
Paretian
Asset-Pricing Models
416
9.4
Stable
Paretian
Portfolio Theory
419
9.5
Lemmas on James-Orthogonality
422
9.6
The Stable
Paretian
Approach to Safety-first
Analysis and Portfolio Choice Theory
424
9.7
The Portfolio Choice Problem
430
9.8
Stochastic Bounds and Two Parameter Safety-first
Analysis
440
9.9
Safety-first Analysis with More Parameters
457
10
Risk Management: Value at Risk for Heavy-Tailed Dis¬
tributed Rating
465
10.1
Introduction: Value at Risk
(VAR)
and the New
Bank Capital Requirements for Market Risk
465
10.2
Computation of
VAR
468
10.3
Components of
VAR
Methodologies
475
10.4
Evaluation of
VAR
Methods: Strength and
Weaknesses
480
10.5
Testing
VAR
Measures
483
10.6
Stable Modeling of
VAR
492
11
Option Pricing Under Alternative Stable Models
509
11.1
The Option-Pricing Problem
509
11.2
Option Pricing for Generalized Binomial Model
518
11.3
Option Pricing for the Generalized Mandelbrot-
Taylor Model
522
11.4
Option valuation for subordinated asset pricing
model
526
11.5
Appendix: Option Pricing with Heavy-Tailed
Distributed Returns
536
11.6
Appendix: Option Pricing with Returns in the
Domain of Attraction of the Normal Law
542
11.7
Appendix: Term Structure of Interest Rates Driven
by Stable Motion
546
12
Option Pricing for Infinitely Divisible Return Models
549
12.1
The Problem
549
12.2
Limits of the Binomial Option Pricing Model
550
12.3
A Random Number of Price Changes
559
12.4
Convergence of the Binomial Pricing Formula
565
12.5
Black-Scholes Formulas when the Number of Price
Movements is Random
568
12.6
Some Examples
577
12.7
An Alternative Randomization and Continuous
Trading
579
12.8
An Example of the Difference Between Continuous
and Discrete Option Valuation; the Hyperbolic
Model
582
12.9
The
Rachev-Rüschendorf
approach
587
12.10
Generalized Hyperbolic Distributions
589
12.11 Option
Pricing in Discrete
Models
12.12 Option
Pricing in Continuous Time
Models
12.13
Empirical Analysis
13
Numerical Results on Option Pricing: Modeling and
Forecasting
603
13.1
Overview
603
13.2
Description of the Models
605
13.3
The Binomial Model with Non-identically Dis¬
tributed Jumps
614
13.4
Empirical Analysis: the DAX-Options Market
617
14
Stable Models in Econometrics
663
14.1
Empirical Evidence for the Stable
Paretian
Against
the Gaussian Assumption
665
14.2
Stable
Paretian
Econometrics: Modifications of Test
Statistics
671
14.3
Testing for Structural Breaks
702
14.4
Test for Outlier in Heavy-tailed Samples; Proof of
the Main Theorem
717
15
Stable
Paretian
Econometrics: Unit-Root Theory and
Cointegrated Models
723
15.1
Statistical Inference in Time Series with Unit-Root:
723
15.2
Statistical Inference in Regression with Integrated
Variables under Stable Assumption:
727
15.3
Appendix. Some Facts on Levy Processes
739
References
745
Indexes
829
Author-Index
829
Subject-Index
838
The adoption of stable modeling in finance and econometrics is undoubtedly
one of the most interesting and promising ideas which has arisen in these
fields. It is now widely accepted that classical models for the description of
the dynamics of financial and economic variables suffer from major structural
weaknesses, as they fail to explain important features of the empirical data.
Therefore, the search for new more powerful models is a fundamental and
fascinating topic of research. In this book, Rachev and Mittnik, two of tbe.mosL.
prominent experts in so-called Stable Finance, present a wealth of convincing
arguments to support the claim that stable models offer the right approach to
the subject. Their monograph, which collects a large part of the authors work
in stable financial modeling, brings together innovative insights as well as
new elegant explanations of financial and economic phenomena
...
...
The book explains in a lucid and understandable manner how to extend a
wide range of financial paradigms to the stable case, presenting both new
theoretical results and empirical applications. The material covered is truly
impressive in its breadth and quality, and will be of great interest to researchers
and advanced graduate students, as well as practitioners looking for state-of-
the-art models with a better fit to real data.
|
| any_adam_object | 1 |
| author | Račev, Svetlozar T. 1951- Mittnik, Stefan |
| author_GND | (DE-588)12022979X (DE-588)135596246 |
| author_facet | Račev, Svetlozar T. 1951- Mittnik, Stefan |
| author_role | aut aut |
| author_sort | Račev, Svetlozar T. 1951- |
| author_variant | s t r st str s m sm |
| building | Verbundindex |
| bvnumber | BV013820809 |
| classification_rvk | QP 730 SK 980 |
| classification_tum | MAT 902 WIR 160 |
| ctrlnum | (OCoLC)464571692 (DE-599)BVBBV013820809 |
| discipline | Mathematik Wirtschaftswissenschaften |
| format | Book |
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| id | DE-604.BV013820809 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T18:52:36Z |
| institution | BVB |
| isbn | 0471953148 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-009451368 |
| oclc_num | 464571692 |
| open_access_boolean | |
| owner | DE-384 DE-945 DE-91G DE-BY-TUM DE-739 DE-11 DE-1051 DE-188 DE-19 DE-BY-UBM |
| owner_facet | DE-384 DE-945 DE-91G DE-BY-TUM DE-739 DE-11 DE-1051 DE-188 DE-19 DE-BY-UBM |
| physical | XVIII, 855 S. graph. Darst. |
| publishDate | 2000 |
| publishDateSearch | 2000 |
| publishDateSort | 2000 |
| publisher | Wiley |
| record_format | marc |
| series2 | Series in financial economics and quantitative analysis |
| spelling | Račev, Svetlozar T. 1951- Verfasser (DE-588)12022979X aut Stable Paretian models in finance Svetlozar Rachev and Stefan Mittnik Chichester u.a. Wiley 2000 XVIII, 855 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Series in financial economics and quantitative analysis Econometrics Finansielle instrumenter Optioner Options Økonometri Finanzmathematik (DE-588)4017195-4 gnd rswk-swf Finanzinnovation (DE-588)4124975-6 gnd rswk-swf Ökonometrisches Modell (DE-588)4043212-9 gnd rswk-swf Stabiler Prozess (DE-588)4261578-1 gnd rswk-swf Finanzplanungsmodell (DE-588)4252015-0 gnd rswk-swf Kapitalmarkttheorie (DE-588)4137411-3 gnd rswk-swf Capital-Asset-Pricing-Modell (DE-588)4121078-5 gnd rswk-swf Finanzierungstheorie (DE-588)4154418-3 gnd rswk-swf Pareto-Verteilung (DE-588)4632300-4 gnd rswk-swf Optimierung (DE-588)4043664-0 gnd rswk-swf Finanzplanungsmodell (DE-588)4252015-0 s DE-604 Kapitalmarkttheorie (DE-588)4137411-3 s Pareto-Verteilung (DE-588)4632300-4 s Stabiler Prozess (DE-588)4261578-1 s DE-188 Finanzierungstheorie (DE-588)4154418-3 s Optimierung (DE-588)4043664-0 s Ökonometrisches Modell (DE-588)4043212-9 s Finanzinnovation (DE-588)4124975-6 s 1\p DE-604 Capital-Asset-Pricing-Modell (DE-588)4121078-5 s Finanzmathematik (DE-588)4017195-4 s 2\p DE-604 Mittnik, Stefan Verfasser (DE-588)135596246 aut Digitalisierung UB Passau application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009451368&sequence=000003&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis Digitalisierung UB Passau application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009451368&sequence=000004&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA Klappentext 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 2\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Račev, Svetlozar T. 1951- Mittnik, Stefan Stable Paretian models in finance Econometrics Finansielle instrumenter Optioner Options Økonometri Finanzmathematik (DE-588)4017195-4 gnd Finanzinnovation (DE-588)4124975-6 gnd Ökonometrisches Modell (DE-588)4043212-9 gnd Stabiler Prozess (DE-588)4261578-1 gnd Finanzplanungsmodell (DE-588)4252015-0 gnd Kapitalmarkttheorie (DE-588)4137411-3 gnd Capital-Asset-Pricing-Modell (DE-588)4121078-5 gnd Finanzierungstheorie (DE-588)4154418-3 gnd Pareto-Verteilung (DE-588)4632300-4 gnd Optimierung (DE-588)4043664-0 gnd |
| subject_GND | (DE-588)4017195-4 (DE-588)4124975-6 (DE-588)4043212-9 (DE-588)4261578-1 (DE-588)4252015-0 (DE-588)4137411-3 (DE-588)4121078-5 (DE-588)4154418-3 (DE-588)4632300-4 (DE-588)4043664-0 |
| title | Stable Paretian models in finance |
| title_auth | Stable Paretian models in finance |
| title_exact_search | Stable Paretian models in finance |
| title_full | Stable Paretian models in finance Svetlozar Rachev and Stefan Mittnik |
| title_fullStr | Stable Paretian models in finance Svetlozar Rachev and Stefan Mittnik |
| title_full_unstemmed | Stable Paretian models in finance Svetlozar Rachev and Stefan Mittnik |
| title_short | Stable Paretian models in finance |
| title_sort | stable paretian models in finance |
| topic | Econometrics Finansielle instrumenter Optioner Options Økonometri Finanzmathematik (DE-588)4017195-4 gnd Finanzinnovation (DE-588)4124975-6 gnd Ökonometrisches Modell (DE-588)4043212-9 gnd Stabiler Prozess (DE-588)4261578-1 gnd Finanzplanungsmodell (DE-588)4252015-0 gnd Kapitalmarkttheorie (DE-588)4137411-3 gnd Capital-Asset-Pricing-Modell (DE-588)4121078-5 gnd Finanzierungstheorie (DE-588)4154418-3 gnd Pareto-Verteilung (DE-588)4632300-4 gnd Optimierung (DE-588)4043664-0 gnd |
| topic_facet | Econometrics Finansielle instrumenter Optioner Options Økonometri Finanzmathematik Finanzinnovation Ökonometrisches Modell Stabiler Prozess Finanzplanungsmodell Kapitalmarkttheorie Capital-Asset-Pricing-Modell Finanzierungstheorie Pareto-Verteilung Optimierung |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009451368&sequence=000003&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009451368&sequence=000004&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT racevsvetlozart stableparetianmodelsinfinance AT mittnikstefan stableparetianmodelsinfinance |