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Market Risk and Financial Markets Modeling

Language EnglishEnglish
Book Paperback
Book Market Risk and Financial Markets Modeling Didier Sornette
Libristo code: 02483089
Publishers Springer-Verlag Berlin and Heidelberg GmbH & Co. KG, February 2014
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 - Paperback
Date of issue 2014
Number of pages 268
EAN 9783642439742
ISBN 3642439748
Libristo code 02483089
Publishers Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
Weight 427
Dimensions 155 x 235 x 14

Categories

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