ENGLISH

Market Risk and Financial Markets Modeling

By Didier Sornette , Susanne von der Becke (auth.) , Sergey Ivliev , Hilary Woodard (eds.)

Book information

Publisher
Springer-Verlag Berlin Heidelberg
Year
2012
ISBN
3642279309, 9783642279300
DOI
10.1007/978-3-642-27931-7
Google Books ID
v9plOitj8S4C
Language
english
Format
PDF
Filesize
6 MB (5971641 bytes)
Edition
1
Pages
268\276
Orientation
yes
Scanned
no
Time added
2012-03-09 12:00:00
Financial Economics; Finance/Investment/Banking; S

Description

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.

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