Stable Paretian Models in Finance

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.

Foreword Preface 1 Introduction 2 Univariate Stable Distributions 3 Identification, Estimation and Goodness of Fit 4 Empirical Comparison 5 Subordinated, Fractional Stable and Stable ARIMA Processes 6 ARCH-type and Shot Noise Processes 7 Multivariate Stable Models 8 Estimation, Association, Risk, and Symmetry of Stable Portfolios 9 Asset-Pricing and Portfolio Theory Under Stable Paretian Laws 10 Risk Management: Value at Risk for Heavy-Tailed Distributed Rating 11 Option Pricing Under Alternative Stable Models 12 Option Pricing for Infinitely Divisible Return Models 13 Numerical Results on Option Pricing: Modeling and Forecasting 14 Stable Models in Econometrics 15 Stable Paretian Econometrics: Unit-Root Theory and Cointegrated Models References Indexes Author-Index Subject-Index