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Market Risk and Financial Markets Modeling
Company: Springer
Company Url: Click here to open
Year Of Publication: 2012
Month Of Publication: February
Resource Link: Click here to open
Pages: 267
Download Count: 0
View Count: 19255
Comment Num: 0
Language: English
Source: book
Who Can Read: Free
Date: 2-6-2012
Publisher: Administrator
Summary
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.
Author(s)
Sornette, Didier Sign in to follow this author
Ivliev, Sergey Sign in to follow this author
Woodward Hilary Sign in to follow this author
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