Fat-Tailed and Skewed Asset Return Distributions: Implications for Risk Management, Portfolio Selection, and Option Pricing (Hardcover)

Preface.

About the Authors.

Chapter 1: Introduction.

PART ONE: Probability and Statistics.

Chapter 2: Discrete Probability Distributions.

Chapter 3: Continuous Probability Distributions.

Chapter 4: Describing a Probability Distribution Function: Statistical Moments and Quantiles.

Chapter 5: Joint Probability Distributions.

Chapter 6: Copulas.

Chapter 7: Stable Distributions.

Chapter 8: Estimation Methodologies.

PART TWO: Stochastic Processes.

Chapter 9: Stochastic Processes in Discrete Time and Time Series Analysis.

Chapter 10: Stochastic Processes in Continuous Time.

PART THREE: Portfolio Selection.

Chapter 11: Equity and Bond Return Distributions.

Chapter 12: Risk Measures and Portfolio Selection.

Chapter 13: Risk Measures in Portfolio Optimization and Performance Measures.

PART FOUR: Risk Management.

Chapter 14: Market Risk.

Chapter 15: Credit Risk.

Chapter 16: Operational Risk.

PART FIVE: Option Pricing.

Chapter 17: Introduction to Option Pricing and the Binomial Model.

Chapter 18: Black-Scholes Option Pricing Model.

Chapter 19: Extension of the Black-Scholes Model and Alternative Approaches.

INDEX.