資産管理・リスク管理における裾の重い分布ハンドブック
Handbook Of Heavy-tailed Distributions In Asset Management And Risk Management
World Scientific Handbook in Financial Economics Series
Bianchi, Michele Leonardo (EDT)
Stoyanov, Stoyan V (EDT)
Tassinari, Gian Luca (EDT)
- 出版社：World Scientific Publishing Co Pte Ltd
- 出版年月：2019年 03月
- ISBN：9789813274914
- 装丁：HRD
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装丁について
- 言語：ENG
- 巻数・ページ数：600 p.
- 分類： 金融理論
- DDC分類：332.0151924
- 内容紹介：
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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.