Fat-Tailed and Skewed Asset Return Distributions : Implications for Risk Management, Portfolio Selection, and Option Pricing

Preface. About the Authors. Chapter 1: Introduction. PART ONE: Probability and Statistics. Chapter 2: Discrete Probability Distributions. Chapter 3: Continuous Probability Distributions. Chapter 4: Describing a Probability Distribution Function: Statistical Moments and Quantiles. Chapter 5: Joint Probability Distributions. Chapter 6: Copulas. Chapter 7: Stable Distributions. Chapter 8: Estimation Methodologies. PART TWO: Stochastic Processes. Chapter 9: Stochastic Processes in Discrete Time and Time Series Analysis. Chapter 10: Stochastic Processes in Continuous Time. PART THREE: Portfolio Selection. Chapter 11: Equity and Bond Return Distributions. Chapter 12: Risk Measures and Portfolio Selection. Chapter 13: Risk Measures in Portfolio Optimization and Performance Measures. PART FOUR: Risk Management. Chapter 14: Market Risk. Chapter 15: Credit Risk. Chapter 16: Operational Risk. PART FIVE: Option Pricing. Chapter 17: Introduction to Option Pricing and the Binomial Model. Chapter 18: Black-Scholes Option Pricing Model. Chapter 19: Extension of the Black-Scholes Model and Alternative Approaches. INDEX.