Market Risk and Financial Markets Modeling

• Συγγραφή απο Οργανισμό/Αρχή: SpringerLink (Online service)
• Άλλοι συγγραφείς: Sornette, Didier (Επιμελητής έκδοσης), Ivliev, Sergey (Επιμελητής έκδοσης), Woodard, Hilary (Επιμελητής έκδοσης)
• Μορφή: Ηλεκτρονική πηγή Ηλ. βιβλίο
• Γλώσσα: English
• Έκδοση: Berlin, Heidelberg : Springer Berlin Heidelberg, 2012.
• Θέματα: Finance.; Statistics.; Macroeconomics.; Cognitive psychology.; Economics.; Macroeconomics/Monetary Economics//Financial Economics.; Finance, general.; Statistics for Business/Economics/Mathematical Finance/Insurance.; Cognitive Psychology.
• Φυσική περιγραφή: VIII, 268 p. online resource.
• ISBN: 9783642279317

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.