Stable Paretian Models in Finance

Abstract

Foreword Preface 1 Introduction 2 Univariate Stable Distributions 3 Identification, Estimation and Goodness of Fit 4 Empirical Comparison 5 Subordinated, Fractional Stable and Stable ARIMA Processes 6 ARCH--type and Shot Noise Processes 7 Multivariate Stable Models 8 Estimation, Association, Risk, and Symmetry of Stable Portfolios 9 Asset--Pricing and Portfolio Theory Under Stable Paretian Laws 10 Risk Management: Value at Risk for Heavy--Tailed Distributed Rating 11 Option Pricing Under Alternative Stable Models 12 Option Pricing for Infinitely Divisible Return Models 13 Numerical Results on Option Pricing: Modeling and Forecasting 14 Stable Models in Econometrics 15 Stable Paretian Econometrics: Unit--Root Theory and Cointegrated Models References Indexes Author--Index Subject--Index