Return Distributions in Finance

Stephen Satchell, John Knight

• Publisher: Butterworth-Heinemann
• Year: 2000
• ISBN:
  9780080516240
• Topic: Personal Development
• Subtopic: Personal Finance

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.

• Assists in understanding asset return distributions
• Provides a full overview of financial risk management techniques in asset allocation
• Demonstrates how to use asset return forecast applications

Table of contents

• Front Cover
• Return Distributions in Finance
• Copyright Page
• Contents
• Preface
• List of contributors
• Chapter 1. Modelling asset returns with hyperbolic distributions
• Chapter 2. A review of asymmetric conditional density functions in autoregressive conditional heteroscedasticity models
• Chapter 3. The distribution of commercial real estate returns
• Chapter 4. Modelling emerging market risk premia using higher moments
• Chapter 5. Are stock prices driven by the volume of trade? Empirical analysis of the FT30, FT100 and certain British shares over 1988-1990
• Chapter 6. Testing for a finite variance in stock return distributions
• Chapter 7. Implementing option pricing models when asset returns are predictable and discontinuous
• Chapter 8. The probability functions of option prices, risk-neutral pricing and Value-at-Risk
• Chapter 9. Pricing derivatives written on assets with arbitrary skewness and kurtosis
• Chapter 10. The distribution of realized returns from moving average trading rules with application to Canadian stock market data
• Index