Market Risk and Financial Markets Modeling
Published on 22. February 2014
Book
Paperback/Softback
VIII, 268 pages
978-3-642-43974-2 (ISBN)
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.
More details
Edition
2012 ed.
Language
English
Place of publication
Berlin
Germany
Publishing group
Springer Berlin
Target group
Professional and scholarly
Research
Illustrations
VIII, 268 p.
Dimensions
Height: 235 mm
Width: 155 mm
Thickness: 16 mm
Weight
423 gr
ISBN-13
978-3-642-43974-2 (9783642439742)
DOI
10.1007/978-3-642-27931-7
Schweitzer Classification
Other editions
Additional editions
Didier Sornette | Sergey Ivliev | Hilary Woodard
Market Risk and Financial Markets Modeling
E-Book
02/2012
1st Edition
Springer
€139.09
Available for download
Didier Sornette | Sergey Ivliev | Hilary Woodard
Market Risk and Financial Markets Modeling
Perm Winter School
Book
01/2012
Springer
€149.79
Shipment within 7-9 days
Content
Financial Market and Systemic Risks.- On the development of master in finance & it program in a perm state national research university.-Questions of top management to risk management.- Estimation of market resiliency from high-frequency micex shares trading data.-Market liquidity measurement and econometric modeling.- Modeling of russian equity market microstructure (MICEX: HYDR case).- Asset pricing in a fractional market under transaction costs.- Influence of behavioral finance on the share market.- Hedging with futures: multivariate dynamic conditional correlation GARCH.- A note on the dynamics of hedge-fund-alpha determinants.- Equilibrium on the Interest Rate Market Analysis.- Term structure models.- Current trends in prudential regulation of market risk: from Basel I to Basel III.- Belarusian banking system: market risk factors.- The psychological aspects of human interactions through trading and risk management process.- Options: risk reducing or creating?.- Hierarchical and ultrametric models of financial crashes.- Catastrophe theory in forecasting financial crises.- A mathematical model for market manipulations.- Adaptation of world experience in insider dealing regulation to the specificity of the russian market.- Agent-based model of the stock market.- How can information on CDS contracts be used to estimate liquidity premium in the bond market.- Adelic theory of the stock market.