Future Perspectives in Risk Models and Finance: International Series in Operations Research & Management Science, cartea 211
Editat de Alain Bensoussan, Dominique Guegan, Charles S. Tapieroen Limba Engleză Hardback – 3 dec 2014
Future Perspectives in Risk Models and Finance begins with an extensive outline by Alain Bensoussan et al. of GLM estimation techniques combined with proofs of fundamental results. Applications to static and dynamic models provide a unified approach to the estimation of nonlinear risk models.
A second section is concerned with the definition of risks and their management. In particular, Guegan and Hassani review a number of risk models definition emphasizing the importance of bi-modal distributions for financial regulation. An additional chapter provides a review of stress testing and their implications. Nassim Taleb and Sandis provide an anti-fragility approach based on “skin in the game”. To conclude, Raphael Douady discusses the noncyclical CAR (Capital Adequacy Rule) and their effects of aversion of systemic risks.
A third section emphasizes analytic financial modelling approaches and techniques. Tapiero and Vallois provide an overview of mathematical systems and their use infinancial modeling. These systems span the fundamental Arrow-Debreu framework underlying financial models of complete markets and subsequently, mathematical systems departing from this framework but yet generalizing their approach to dynamic financial models. Explicitly, models based on fractional calculus, on persistence (short memory) and on entropy-based non-extensiveness. Applications of these models are used to define a modeling approach to incomplete financial models and their potential use as a “measure of incompleteness”. Subsequently Bianchi and Pianese provide an extensive overview of multi-fractional models and their important applications to Asset price modeling. Finally, Tapiero and Jinquyi consider the binomial pricing model by discussing the effects of memory on the pricing of asset prices.
Toate formatele și edițiile | Preț | Express |
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Paperback (1) | 629.19 lei 43-57 zile | |
Springer International Publishing – 10 sep 2016 | 629.19 lei 43-57 zile | |
Hardback (1) | 635.31 lei 43-57 zile | |
Springer International Publishing – 3 dec 2014 | 635.31 lei 43-57 zile |
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Specificații
ISBN-13: 9783319075235
ISBN-10: 3319075233
Pagini: 300
Ilustrații: XIV, 315 p. 45 illus., 31 illus. in color.
Dimensiuni: 155 x 235 x 25 mm
Greutate: 0.64 kg
Ediția:2015
Editura: Springer International Publishing
Colecția Springer
Seria International Series in Operations Research & Management Science
Locul publicării:Cham, Switzerland
ISBN-10: 3319075233
Pagini: 300
Ilustrații: XIV, 315 p. 45 illus., 31 illus. in color.
Dimensiuni: 155 x 235 x 25 mm
Greutate: 0.64 kg
Ediția:2015
Editura: Springer International Publishing
Colecția Springer
Seria International Series in Operations Research & Management Science
Locul publicării:Cham, Switzerland
Public țintă
ResearchCuprins
Estimation Theory for Generalized Linear Models.- New Distorsion Risk Measure Based on Bimodal Distributions.- Stress Testing Engineering: Risk Vs Incident.- The Skin In The Game Heuristic for Protection Against Tail Events.- The Fragility Theorem.- Financial Modeling, Memory and Mathematical Systems.- Asset price modeling: from Fractional to Multifractional Processes.- Financial Analytics and A Binomial Pricing Model.
Textul de pe ultima copertă
This book provides a perspective on a number of approaches to financial modelling and risk management. It examines both theoretical and practical issues. Theoretically, financial risks models are models of a real and a financial “uncertainty”, based on both common and private information and economic theories defining the rules that financial markets comply to. Financial models are thus challenged by their definitions and by a changing financial system fueled by globalization, technology growth, complexity, regulation and the many factors that contribute to rendering financial processes to be continuously questioned and re-assessed. The underlying mathematical foundations of financial risks models provide future guidelines for risk modeling. The book’s chapters provide selective insights and developments that can contribute to better understand the complexity of financial modelling and its ability to bridge financial theories and their practice.
Future Perspectives in Risk Models and Finance begins with an extensive outline by Alain Bensoussan et al. of GLM estimation techniques combined with proofs of fundamental results. Applications to static and dynamic models provide a unified approach to the estimation of nonlinear risk models.
A second section is concerned with the definition of risks and their management. In particular, Guegan and Hassani review a number of risk models definition emphasizing the importance of bi-modal distributions for financial regulation. An additional chapter provides a review of stress testing and their implications. Nassim Taleb, and Sandis provide an anti-fragility approach based on “skin in the game”. To conclude, Raphael Douady discusses the noncyclical CAR (Capital Adequacy Rule) and their effects of aversion of systemic risks.
A third section emphasizes analytic financial modelling approaches and techniques. Tapiero and Vallois provide an overview of mathematical systems andtheir use in financial modeling. These systems span the fundamental Arrow-Debreu framework underlying financial models of complete markets and subsequently, mathematical systems departing from this framework but yet generalizing their approach to dynamic financial models. Explicitly, models based on fractional calculus, on persistence (short memory) and on entropy-based non-extensiveness. Applications of these models are used to define a modeling approach to incomplete financial models and their potential use as a “measure of incompleteness”. Subsequently Bianchi and Pianese provide an extensive overview of multi-fractional models and their important applications to Asset price modeling. Finally, Tapiero and Jinquyi consider the binomial pricing model by discussing the effects of memory on the pricing of asset prices.
Future Perspectives in Risk Models and Finance begins with an extensive outline by Alain Bensoussan et al. of GLM estimation techniques combined with proofs of fundamental results. Applications to static and dynamic models provide a unified approach to the estimation of nonlinear risk models.
A second section is concerned with the definition of risks and their management. In particular, Guegan and Hassani review a number of risk models definition emphasizing the importance of bi-modal distributions for financial regulation. An additional chapter provides a review of stress testing and their implications. Nassim Taleb, and Sandis provide an anti-fragility approach based on “skin in the game”. To conclude, Raphael Douady discusses the noncyclical CAR (Capital Adequacy Rule) and their effects of aversion of systemic risks.
A third section emphasizes analytic financial modelling approaches and techniques. Tapiero and Vallois provide an overview of mathematical systems andtheir use in financial modeling. These systems span the fundamental Arrow-Debreu framework underlying financial models of complete markets and subsequently, mathematical systems departing from this framework but yet generalizing their approach to dynamic financial models. Explicitly, models based on fractional calculus, on persistence (short memory) and on entropy-based non-extensiveness. Applications of these models are used to define a modeling approach to incomplete financial models and their potential use as a “measure of incompleteness”. Subsequently Bianchi and Pianese provide an extensive overview of multi-fractional models and their important applications to Asset price modeling. Finally, Tapiero and Jinquyi consider the binomial pricing model by discussing the effects of memory on the pricing of asset prices.
Caracteristici
Defines the future of risk models in finance Includes cutting edge coverage of topics including multi-agent models, high-frequency trading and anti-fragility Charles S. Tapiero is internationally renowned researcher and the contributors are well-respected names in this area as well Includes supplementary material: sn.pub/extras