Stable Paretian Models in Finance
Book Details
Format
Hardback or Cased Book
ISBN-10
0471953148
ISBN-13
9780471953142
Publisher
John Wiley & Sons Inc
Imprint
John Wiley & Sons Inc
Country of Manufacture
GB
Country of Publication
GB
Publication Date
Apr 25th, 2000
Print length
880 Pages
Weight
1,332 grams
Dimensions
23.40 x 16.30 x 5.10 cms
Product Classification:
EconometricsInvestment & securities
Ksh 19,800.00
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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.
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