HANDBOOK OF HEAVY TAILED DISTRIBUTIONS IN FINANCE

Edited by SVETLOZAR T. RACHEV University of California

Chapter 1
Heavy Tails in Finance for Independent or Multifractal Price Increments
BENOIT B. MANDELBROT

Chapter 2
Financial Risk and Heavy Tails
BRENDAN O. BRADLEY and MURAD S. TAQQU

Chapter 3
Modeling Financial Data with Stable Distributions
JOHN P. NOLAN

Chapter 4
Statistical Issues in Modeling Multivariate Stable Portfolios
TOMASZ J. KOZUBOWSKI, ANNA K. PANORSKA and SVETLOZAR T. RACHEV

Chapter 5
Jump-Diffusion Models
WOLFGANG J. RUNGGALDIER


Chapter 6
Hyperbolic Processes in Finance
BO MARTIN BIBBY and MICHAEL SØRENSEN


Chapter 7
Stable Modeling of Market and Credit Value at Risk
SVETLOZAR T. RACHEV, EDUARDO S. SCHWARTZ and IRINA KHINDANOVA


Chapter 8
Modelling Dependence with Copulas and Applications to Risk Management
PAUL EMBRECHTS, FILIP LINDSKOG and ALEXANDER MCNEIL


Chapter 9
Prediction of Financial Downside-Risk with Heavy-Tailed Conditional Distributions
STEFAN MITTNIK and MARC S. PAOLELLA


Chapter10
Stable Non-Gaussian Models for Credit Risk Management
BERNHARD MARTIN, SVETLOZAR T. RACHEV and EDUARDO S. SCHWARTZ

Chapter 11
Multifactor Stochastic Variance Models in Risk Management: Maximum Entropy Approach and Lévy
Processes
ALEXANDER LEVIN and ALEXANDER TCHERNITSER


Chapter 12
Modelling the Term Structure of Monetary Rates
LUISA IZZI


Chapter 13
Asset Liability Management: A Review and Some New Results in the Presence of Heavy Tails
YESIM TOKAT, SVETLOZAR T. RACHEV and EDUARDO S. SCHWARTZ


Chapter 14
Portfolio Choice Theory with Non-Gaussian Distributed Returns
SERGIO ORTOBELLI, ISABELLA HUBER, SVETLOZAR T. RACHEV and EDUARDO S. SCHWARTZ


Chapter 15
Portfolio Modeling with Heavy Tailed Random Vectors
MARK M. MEERSCHAERT and HANS-PETER SCHEFFLER


Chapter 16
Long Range Dependence in Heavy Tailed Stochastic Processes
BORJANA RACHEVA-IOTOVA and GENNADY SAMORODNITSKY