Handbook of Heavy Tailed Distributions in Finance

Preface (S.T. Rachev). Heavy Tails in Finance for Independent or Multifractal Price Increments (B. Mandelbrot). Financial Risk and Heavy Tails (B. Bradley, M. Taqqu). Modelling Financial Data with Stable Distribution (J.P. Nolan). Statistical Issues in Modelling Multivariate Stable Portfolios (T.J. Kozubowski et al.). Jump Diffusion Models (W. Runggaldier). Hyperbolic Processes in Finance (B.M. Bibby, M. Sorensen). Stable Modelling of Market and Credit Value at Risk (S.T. Rachev et al.). Modelling Dependence with Copulas and Applications to Risk Management (P. Embrechts et al.). Prediction of Financial Downside-Risk with Heavy Tailed Conditional Distributions (S. Mittnik, M. Paolella). Stable Non-Gaussian Models for Credit Risk Management (B. Martin et al.). Multifactor Stochastic Variance VaR Model: Application to Market Risk Management (A. Levin, A. Tchernitser). Modelling the Term Structure of Monetary Rates (L. Izzi). Asset Liability Management: A Review and Some New Results in the Presence of Heavy Tails (S.T. Rachev et al.). Portfolio Choice Theory with Non-Gaussian Distributed Returns (S. Ortobelli et al.). Portfolio Modelling with Heavy Tailed Random Vectors (M.M Meerschaert, H.-P. Scheffler). Long Range Dependence in Heavy Tailed Stochastic Processes (B. Racheva-Lotova, G. Samorodnitsky).