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Stable paretian models in finance

By: Contributor(s): Material type: TextTextSeries: Series in Financial Economics and Quantitative AnalysisPublication details: Chichester John Wiley 2000Description: xviii, 855 pISBN:
  • 0471953148
Subject(s): DDC classification:
  • 332.018 R2S8
Summary: The authors reconsider the problem of parametrically specifying distribution suitable for asset-return models. They describe alternative distributions, showing how they can be estimated and applied to stock-index and exchange-rate data. The implications for options pricing are also investigated. https://www.wiley.com/en-us/Stable+Paretian+Models+in+Finance-p-9780471953142
List(s) this item appears in: Finance
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Item type Current library Item location Shelving location Call number Status Date due Barcode
Books Vikram Sarabhai Library Rack 17-B / Slot 636 (0 Floor, West Wing) General Stacks 332.018 R2S8 (Browse shelf(Opens below)) Available 160278

The authors reconsider the problem of parametrically specifying distribution suitable for asset-return models. They describe alternative distributions, showing how they can be estimated and applied to stock-index and exchange-rate data. The implications for options pricing are also investigated.


https://www.wiley.com/en-us/Stable+Paretian+Models+in+Finance-p-9780471953142

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