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Stable Paretian Models in Finance
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Stable Paretian Models in Finance Hardcover - 2000 - 1st Edition

by Svetlozar T. Rachev; Stefan Mittnik


From the publisher

Zum erfolgreichen Portfolio-Management greifen Anlageberater auf spezielle Investment-Techniken und Modelle wie beispielsweise die Asset-Pricing-Theorie zurck, die auf der Annahme beruht, da die Einknfte nicht normalverteilt sind. Die Theorie wird in diesem Buch umfassend behandelt und allgemeineren Modellen gegenbergestellt; alle wichtigen Formeln werden verstndlich hergeleitet. Beschrieben werden auch Schtzverfahren und empirische Anwendungen. (07/99)

From the rear cover

"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 variable suffer form 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 the most 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 sable financial modeling, brings together innovative insights as well as new elegant explanations 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."
Eduardo S. Schwartz, Professor of Finance, Anderson School of Management, University of California

Details

  • Title Stable Paretian Models in Finance
  • Author Svetlozar T. Rachev; Stefan Mittnik
  • Binding Hardcover
  • Edition number 1st
  • Edition 1
  • Pages 896
  • Volumes 1
  • Language ENG
  • Publisher Wiley
  • Date June 13, 2000
  • Illustrated Yes
  • ISBN 9780471953142 / 0471953148
  • Weight 2.9 lbs (1.32 kg)
  • Dimensions 9.31 x 6.2 x 2.27 in (23.65 x 15.75 x 5.77 cm)
  • Library of Congress subjects Finance, Investments
  • Library of Congress Catalog Number 00709366
  • Dewey Decimal Code 332

About the author

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 Mathematical Statistics, Elected Member of the International Statistical Institute, Foreign Member of the Russian Academy of Natural Sciences, and holds an honorary doctorate degree from ST. Petersburg Technical University.
Stefan Mittnik is Professor of Statistics and Empirical Economics at the University of Kiel and Director of the Institute of Statistics Econometrics. His academic and consulting work covers the areas of empirical finance, forecasting financial risk, portfolio management, computational finance, econometrics, and time series analysis.
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Stable Paretian Models in Finance
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by Rachev, Svetlozar T.

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Stable Paretian Models in Finance

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Stable Paretian Models in Finance
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Stable Paretian Models in Finance

by Mittnik, Stefan; Rachev, Svetlozar T

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ISBN 13
9780471953142
ISBN 10
0471953148
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