Handbook of Heavy-Tailed Distributions in Asset Management and Risk Management

Michele Leonardo Bianchi, Stoyan V Stoyanov, Gian Luca Tassinari, Frank Fabozzi () and Sergio M Focardi
Additional contact information
Michele Leonardo Bianchi: Banca d'Italia, Italy
Stoyan V Stoyanov: Stony Brook University, USA
Gian Luca Tassinari: University of Bologna, Italy
Sergio M Focardi: Léonard De Vinci University, France

in World Scientific Books from World Scientific Publishing Co. Pte. Ltd.

Abstract: The study of heavy-tailed distributions allows researchers to represent phenomena that occasionally exhibit very large deviations from the mean. The dynamics underlying these phenomena is an interesting theoretical subject, but the study of their statistical properties is in itself a very useful endeavor from the point of view of managing assets and controlling risk. In this book, the authors are primarily concerned with the statistical properties of heavy-tailed distributions and with the processes that exhibit jumps. A detailed overview with a Matlab implementation of heavy-tailed models applied in asset management and risk managements is presented. The book is not intended as a theoretical treatise on probability or statistics, but as a tool to understand the main concepts regarding heavy-tailed random variables and processes as applied to real-world applications in finance. Accordingly, the authors review approaches and methodologies whose realization will be useful for developing new methods for forecasting of financial variables where extreme events are not treated as anomalies, but as intrinsic parts of the economic process.

Keywords: Heavy Tail Distributions; Fat Tail Distributions; Lévy Processes; Tempered Stable Distributions; Multivariate Time-changed Brownian Motion; Extreme Value Theory; Risk Management (search for similar items in EconPapers)
JEL-codes: C02 G32 (search for similar items in EconPapers)
Date: 2019
ISBN: 9789813274914
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Citations: View citations in EconPapers (10)

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https://www.worldscientific.com/worldscibooks/10.1142/11118 (text/html)
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Chapters in this book:

Ch 1 Introduction , pp 3-21

Michele Leonardo Bianchi, Stoyan V Stoyanov, Gian Luca Tassinari, Frank Fabozzi and Sergio M Focardi

Ch 2 Random Variables , pp 23-70

Michele Leonardo Bianchi, Stoyan V Stoyanov, Gian Luca Tassinari, Frank Fabozzi and Sergio M Focardi

Ch 3 Stochastic Processes with Jumps , pp 71-106

Michele Leonardo Bianchi, Stoyan V Stoyanov, Gian Luca Tassinari, Frank Fabozzi and Sergio M Focardi

Ch 4 The Generalized Hyperbolic Distribution , pp 109-148

Michele Leonardo Bianchi, Stoyan V Stoyanov, Gian Luca Tassinari, Frank Fabozzi and Sergio M Focardi

Ch 5 The Class of Stable Distributions , pp 149-224

Michele Leonardo Bianchi, Stoyan V Stoyanov, Gian Luca Tassinari, Frank Fabozzi and Sergio M Focardi

Ch 6 Tempered Stable Distributions , pp 225-275

Michele Leonardo Bianchi, Stoyan V Stoyanov, Gian Luca Tassinari, Frank Fabozzi and Sergio M Focardi

Ch 7 Multivariate Time-Changed Brownian Motion , pp 277-321

Michele Leonardo Bianchi, Stoyan V Stoyanov, Gian Luca Tassinari, Frank Fabozzi and Sergio M Focardi

Ch 8 Multivariate Time-Changed Brownian Motion: The Expectation–Maximization Estimation Method , pp 323-366

Michele Leonardo Bianchi, Stoyan V Stoyanov, Gian Luca Tassinari, Frank Fabozzi and Sergio M Focardi

Ch 9 Extreme Value Theory , pp 367-430

Michele Leonardo Bianchi, Stoyan V Stoyanov, Gian Luca Tassinari, Frank Fabozzi and Sergio M Focardi

Ch 10 A Portfolio Selection Analysis with Non-Gaussian Models , pp 433-461

Michele Leonardo Bianchi, Stoyan V Stoyanov, Gian Luca Tassinari, Frank Fabozzi and Sergio M Focardi

Ch 11 Implied Volatility Smile with Non-Gaussian Processes , pp 463-516

Michele Leonardo Bianchi, Stoyan V Stoyanov, Gian Luca Tassinari, Frank Fabozzi and Sergio M Focardi

Ch 12 Application of Extreme Value Theory to Estimate Tail Thickness for Asset Return Distributions , pp 517-547

Michele Leonardo Bianchi, Stoyan V Stoyanov, Gian Luca Tassinari, Frank Fabozzi and Sergio M Focardi

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