Return distributions in finance
著者
書誌事項
Return distributions in finance
（Quantitative finance series / series editor, Stephen Satchell）
Butterworth-Heinemann, 2001
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注記
Includes bibliographical references and index
内容説明・目次
内容説明
Quantitative methods have revolutionised the area of trading, regulation, risk management, portfolio construction, asset pricing and treasury activities, and governmental activity such as central banking.
One of the original contributions in this area is the classic by Cootner entitled 'The Random Nature of Stock Market Prices'. This work investigated the statistical properties of asset prices and was one of the first works to investigate this area in a rigorous manner.
Much has happened in this field in the last 35 years and 'Return Distributions in Finance' contains much new information that reflects this huge growth.
The authors combined experience reflects not only the new theory but also the new practice in this fascinating area. The rise of financial engineering now allows us to change the nature of asset returns to whatever pattern we desire, albeit at a cost. Benefits and costs can only be understood if we understand the underlying processes. 'Return Distributions in Finance' allows us to gain that understanding.
目次
Return distributionsStochastic processesDerivative pricing for different return distributionImpact of volatility on different distributionsReturn distributions and value at riskForecasting sudden jumps/crashes in returnsReturns of different asset classes and choosing portfoliosReturns and tactical asset allocationsReturns to trading strategiesReshaping the return profile using derivatives
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