EAN: 9783319249254

SPRINGERBRIEFS IN MATHEMATICS TEMPERED STABLE...

This brief is concerned with tempered stable distributions and their associated Levy processes.
It is a good text for researchers interested in learning about tempered stable distributions. A
tempered stable distribution is one which takes a stable distribution and modifies its tails to
make them lighter. The motivation for this class comes from the fact that infinite variance
stable distributions appear to provide a good fit to data in a variety of situations  but the
extremely heavy tails of these models are not realistic for most real world applications. The
idea of using distributions that modify the tails of stable models to make them lighter seems
to have originated in the influential paper of Mantegna and Stanley (1994). Since then  these
distributions have been extended and generalized in a variety of ways. They have been applied
to a wide variety of areas including mathematical finance  biostatistics computer science  and
physics.

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