Handbook of heavy-tailed distributions in asset management and risk management:
"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 usef...
Saved in:
| Format: | Electronic eBook |
|---|---|
| Language: | English |
| Published: |
Singapore
World Scientific Publishing Company Pte Limited
2019
|
| Subjects: | |
| Online Access: | UBY01 Volltext |
| Summary: | "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."-- |
| Item Description: | Mode of access: World Wide Web. - System requirements: Adobe Acrobat Reader |
| Physical Description: | 1 online resource (600 pages) illustrations |
| ISBN: | 9789813276208 |
Staff View
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| id | DE-604.BV046808653 |
| illustrated | Illustrated |
| index_date | 2024-07-03T14:58:19Z |
| indexdate | 2024-07-10T08:54:25Z |
| institution | BVB |
| isbn | 9789813276208 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-032217258 |
| oclc_num | 1164619437 |
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| physical | 1 online resource (600 pages) illustrations |
| psigel | ZDB-124-WOP |
| publishDate | 2019 |
| publishDateSearch | 2019 |
| publishDateSort | 2019 |
| publisher | World Scientific Publishing Company Pte Limited |
| record_format | marc |
| spelling | Handbook of heavy-tailed distributions in asset management and risk management Michele Leonardo Bianchi ... [and others] Singapore World Scientific Publishing Company Pte Limited 2019 1 online resource (600 pages) illustrations txt rdacontent c rdamedia cr rdacarrier Mode of access: World Wide Web. - System requirements: Adobe Acrobat Reader "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."-- Asset management accounts Distribution (Probability theory) Risk management Electronic books Bianchi, Michele Leonardo Sonstige oth Erscheint auch als Druck-Ausgabe 9789813274914 https://www.worldscientific.com/worldscibooks/10.1142/11118 Verlag URL des Erstveröffentlichers Volltext |
| spellingShingle | Handbook of heavy-tailed distributions in asset management and risk management Asset management accounts Distribution (Probability theory) Risk management |
| title | Handbook of heavy-tailed distributions in asset management and risk management |
| title_auth | Handbook of heavy-tailed distributions in asset management and risk management |
| title_exact_search | Handbook of heavy-tailed distributions in asset management and risk management |
| title_exact_search_txtP | Handbook of heavy-tailed distributions in asset management and risk management |
| title_full | Handbook of heavy-tailed distributions in asset management and risk management Michele Leonardo Bianchi ... [and others] |
| title_fullStr | Handbook of heavy-tailed distributions in asset management and risk management Michele Leonardo Bianchi ... [and others] |
| title_full_unstemmed | Handbook of heavy-tailed distributions in asset management and risk management Michele Leonardo Bianchi ... [and others] |
| title_short | Handbook of heavy-tailed distributions in asset management and risk management |
| title_sort | handbook of heavy tailed distributions in asset management and risk management |
| topic | Asset management accounts Distribution (Probability theory) Risk management |
| topic_facet | Asset management accounts Distribution (Probability theory) Risk management |
| url | https://www.worldscientific.com/worldscibooks/10.1142/11118 |
| work_keys_str_mv | AT bianchimicheleleonardo handbookofheavytaileddistributionsinassetmanagementandriskmanagement |