Probability Pitfalls of Financial Calculus

Radu Tunaru

Chapter 7 in Model Risk in Financial Markets:From Financial Engineering to Risk Management, 2015, pp 129-155 from World Scientific Publishing Co. Pte. Ltd.

Abstract: The following sections are included:IntroductionProbability Distribution Functions and Density FunctionsGaussian DistributionMomentsMean-median-mode inequalityDistributions are not defined by momentsConditional expectationStochastic ProcessesInfinite returns from finite variance processesMartingalesSpurious TestingSpurious mean reversionSpurious regressionDependence MeasuresProblems with the Pearson linear correlation coefficientPitfalls in detecting breakdown of linear correlationCopulasMore general issuesDependence and Levy processesNotes and Summary

Keywords: Model Risk; Risk Management; Financial Engineering; Financial Markets (search for similar items in EconPapers)
Date: 2015
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.worldscientific.com/doi/pdf/10.1142/9789814663410_0007 (application/pdf)
https://www.worldscientific.com/doi/abs/10.1142/9789814663410_0007 (text/html)
Ebook Access is available upon purchase.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wsi:wschap:9789814663410_0007

Ordering information: This item can be ordered from

Access Statistics for this chapter

More chapters in World Scientific Book Chapters from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().