Extreme Financial Risks And Asset Allocation
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A01=Christian Walter
A01=Olivier A Le Courtois
Asset Allocation
Author_Christian Walter
Author_Olivier A Le Courtois
Category=KFF
Category=KJMV1
eq_bestseller
eq_business-finance-law
eq_isMigrated=1
eq_isMigrated=2
eq_nobargain
eq_non-fiction
Extreme Risks
LAfA(C)vy Process
Levy Process
Lévy Process
Portfolio Management
Risk Management
Product details
- ISBN 9781783263080
- Publication Date: 24 Apr 2014
- Publisher: Imperial College Press
- Publication City/Country: GB
- Product Form: Hardback
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Each financial crisis calls for — by its novelty and the mechanisms it shares with preceding crises — appropriate means to analyze financial risks. In Extreme Financial Risks and Asset Allocation, the authors present in an accessible and timely manner the concepts, methods, and techniques that are essential for an understanding of these risks in an environment where asset prices are subject to sudden, rough, and unpredictable changes. These phenomena, mathematically known as “jumps”, play an important role in practice. Their quantitative treatment is generally tricky and is sparsely tackled in similar books. One of the main appeals of this book lies in its approachable and concise presentation of the ad hoc mathematical tools without sacrificing the necessary rigor and precision.This book contains theories and methods which are usually found in highly technical mathematics books or in scattered, often very recent, research articles. It is a remarkable pedagogical work that makes these difficult results accessible to a large readership. Researchers, Masters and PhD students, and financial engineers alike will find this book highly useful.
