|Amazon Price||New from||Used from|
"On the whole a valuable attempt to continue the work of Mandlebrot and others, to break the habit of treating the normal distribution curve as. . . normal." -- HedgeWorld News
"This book is well-written by knowledgeable authors and provides readers with an excellent overview of where fat-tailed or skewed distributions may be needed. The book unfolds in a clear and easy-to-read way, and I would definitely recommend this as an excellent introductory text." -- Financial Engineering News, June 30, 2006
Fat-Tailed and Skewed Asset Return Distributions
While mainstream financial theories and applications assume that asset returns are normally distributed, the overwhelming empirical evidence shows otherwise. Yet many professionals fail to appreciate the highly statistical models that take this empirical evidence into consideration.
Svetlozar Rachev, Christian Menn, and Frank Fabozzi understand this dilemma, and in Fat-Tailed and Skewed Asset Return Distributions, they offer you a less technical look at how portfolio selection, risk management, and option pricing modeling should and can be undertaken when the assumption of a non-normal distribution for asset returns is violated.
Topics covered in this comprehensive book include:
Fat-Tailed and Skewed Asset Return Distributions provides a bridge between the highly technical theory of statistical distributional analysis, stochastic processes, and econometrics of financial returns and real-world risk management and investments.See all Product Description