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Description - Fat-Tailed and Skewed Asset Return Distributions by Frank J. Fabozzi

A bridge between the highly technical theory of the statistical distribution of asset returns and real-world applications for portfolio and risk management This unique book gives non-technical readers an understanding of the highly technical mathematics behind how portfolio management, risk management, and option pricing modeling should and can be undertaken when the assumption of a non-normal distribution for asset returns is appropriate. Svetlozar (Zari) Rachev, PhD, Dr Sci Russian Academy of Sciences (Santa Barbara, CA), is currently Chair-Professor at the University of Karlsruhe in the School of Economics and Business Engineering and Professor Emeritus at the University of California, Santa Barbara. He is also the Founder of Bravo Risk Management Group and Chief Scientist of FinAnalytica. Frank J. Fabozzi, PhD, CFA, CPA (New Hope, PA) is the Frederick Frank Adjunct Professor of Finance at Yale University's School of Management, the Editor of the Journal of Portfolio Management, and a consultant. Christian Menn, Dr. rer. pol (Ithaca, NY), is a Post-Doctorate Fellow at the University of Karlsruhe Business School and a visiting scientist at Cornell University's School of Operations Research and Industrial Engineering.

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Book Details

ISBN: 9780471718864
ISBN-10: 0471718866
Format: Hardback
(241mm x 161mm x 32mm)
Pages: 369
Imprint: John Wiley & Sons Inc
Publisher: John Wiley and Sons Ltd
Publish Date: 1-Jul-2005
Country of Publication: United States

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Author Biography - Frank J. Fabozzi

SVETLOZAR T. RACHEV, PhD, DR. SCI, is currently Chair-Professor at the University of Karlsruhe in the School of Economics and Business Engineering and Professor Emeritus at the University of California. He is also the founder of Bravo Risk Management Group and Chief Scientist of FinAnalytica. CHRISTIAN MENN, DR. RER. POL., is Hochschulassistent at the Chair of Statistics, Econometrics and Mathematical Finance at the University of Karlsruhe. Currently, he is a Visiting Scientist at the School of Operations Research and Industrial Engineering at Cornell University as a postdoctoral fellow. FRANK J. FABOZZI, PhD, CFA, CPA, is the Frederick Frank Adjunct Professor of Finance at Yale University's School of Management. He is also a Fellow of the International Center for Finance at Yale University. Prior to joining the Yale faculty, Fabozzi was a visiting professor of finance in the Sloan School at MIT. Fabozzi has authored and edited many acclaimed books in finance and is also the Editor of the Journal of Portfolio Management.