9. Distributions of Returns

  1. T. W. Epps

Published Online: 23 MAR 2009

DOI: 10.1002/9780470455289.ch9

Quantitative Finance: Its Development, Mathematical Foundations, and Current Scope

Quantitative Finance: Its Development, Mathematical Foundations, and Current Scope

How to Cite

Epps, T. W. (2009) Distributions of Returns, in Quantitative Finance: Its Development, Mathematical Foundations, and Current Scope, John Wiley & Sons, Inc., Hoboken, NJ, USA. doi: 10.1002/9780470455289.ch9

Publication History

  1. Published Online: 23 MAR 2009
  2. Published Print: 2 MAR 2009

ISBN Information

Print ISBN: 9780470431993

Online ISBN: 9780470455289

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Keywords:

  • return distribution;
  • lognormal model;
  • stable model;
  • mixture model;
  • central-limit theorem

Summary

This chapter contains sections titled:

  • Some Background

  • The Normal/Lognormal Model

  • The Stable Model

  • Mixture Models

  • Comparison and Evaluation

  • Exercises