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Market Risk and Financial Markets Modeling

Language EnglishEnglish
Book Hardback
Book Market Risk and Financial Markets Modeling Didier Sornette
Libristo code: 01660459
Publishers Springer-Verlag Berlin and Heidelberg GmbH & Co. KG, January 2012
The current financial crisis has revealed serious flaws in models, measures and, potentially, theori... Full description
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The current financial crisis has revealed serious flaws in models, measures and, potentially, theories, that failed to provide forward-looking expectations for upcoming losses originated from market risks. The Proceedings of the Perm Winter School 2011 propose insights on many key issues and advances in financial markets modeling and risk measurement aiming to bridge the gap. The key addressed topics include: hierarchical and ultrametric models of financial crashes, dynamic hedging, arbitrage free modeling the term structure of interest rates, agent based modeling of order flow, asset pricing in a fractional market, hedge funds performance and many more.

About the book

Full name Market Risk and Financial Markets Modeling
Author Didier Sornette, Sergey Ivliev, Hilary Woodard
Language English
Binding Book - Hardback
Date of issue 2012
Number of pages 268
EAN 9783642279300
ISBN 3642279309
Libristo code 01660459
Publishers Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
Weight 582
Dimensions 155 x 235 x 19

Categories

Economics, Finance, Business & Management > Economics > Macroeconomics > Monetary economics
Mathematics & Science > Mathematics > Optimization > Game theory
Society & Social Sciences > Psychology > Cognition & cognitive psychology
Economics, Finance, Business & Management > Finance & accounting > Finance
Mathematics & Science > Mathematics > Probability & statistics
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