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Book Categories |
Introduction to the Series | ||
Contents of the Handbook | ||
Preface | ||
Ch. 1 | Heavy Tails in Finance for Independent or Multifractal Price Increments | 1 |
Ch. 2 | Financial Risk and Heavy Tails | 35 |
Ch. 3 | Modeling Financial Data with Stable Distributions | 105 |
Ch. 4 | Statistical Issues in Modeling Multivariate Stable Portfolios | 131 |
Ch. 5 | Jump-Diffusion Models | 169 |
Ch. 6 | Hyperbolic Processes in Finance | 211 |
Ch. 7 | Stable Modeling of Market and Credit Value at Risk | 249 |
Ch. 8 | Modelling Dependence with Copulas and Applications to Risk Management | 329 |
Ch. 9 | Prediction of Financial Downside-Risk with Heavy-Tailed Conditional Distributions | 385 |
Ch. 10 | Stable Non-Gaussian Models for Credit Risk Management | 405 |
Ch. 11 | Multifactor Stochastic Variance Models in Risk Management: Maximum Entropy Approach and Levy Processes | 443 |
Ch. 12 | Modelling the Term Structure of Monetary Rates | 481 |
Ch. 13 | Asset Liability Management: A Review and Some New Results in the Presence of Heavy Tails | 509 |
Ch. 14 | Portfolio Choice Theory with Non-Gaussian Distributed Returns | 547 |
Ch. 15 | Portfolio Modeling with Heavy Tailed Random Vectors | 595 |
Ch. 16 | Long Range Dependence in Heavy Tailed Stochastic Processes | 641 |
Author Index | 663 | |
Subject Index | 675 |
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