Market Risk and Financial Markets Modeling

Editors: Sornette, Didier, Ivliev, Sergey, Woodard, Hilary (Eds.)

  • More than 20 articles addressing the most demanded topics in market risk management from crashes modeling to Basel III backtesting
  • A special chapter on psychological interactions analysis in trading and risk management process
  • Includes the look from the industry to turn a mind on the questions of top-managers that wait to be answered
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eBook $109.00
price for USA (gross)
  • ISBN 978-3-642-27931-7
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $139.00
price for USA
  • ISBN 978-3-642-27930-0
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Softcover $139.00
price for USA
  • ISBN 978-3-642-43974-2
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
About this book

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.

Table of contents (23 chapters)

  • Financial Market and Systemic Risks

    Sornette, Didier (et al.)

    Pages 3-6

  • On the Development of Master in Finance & IT Program in a Perm State National Research University

    Andrianov, Dmitry (et al.)

    Pages 7-9

  • Questions of Top Management to Risk Management

    Chernov, Sergey

    Pages 11-12

  • Estimation of Market Resiliency from High-Frequency Micex Shares Trading Data

    Andreev, Nikolay

    Pages 15-24

  • Market Liquidity Measurement and Econometric Modeling

    Arbuzov, Viacheslav (et al.)

    Pages 25-36

Buy this book

eBook $109.00
price for USA (gross)
  • ISBN 978-3-642-27931-7
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $139.00
price for USA
  • ISBN 978-3-642-27930-0
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Softcover $139.00
price for USA
  • ISBN 978-3-642-43974-2
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
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Bibliographic Information

Bibliographic Information
Book Title
Market Risk and Financial Markets Modeling
Editors
  • Didier Sornette
  • Sergey Ivliev
  • Hilary Woodard
Copyright
2012
Publisher
Springer-Verlag Berlin Heidelberg
Copyright Holder
Springer-Verlag Berlin Heidelberg
eBook ISBN
978-3-642-27931-7
DOI
10.1007/978-3-642-27931-7
Hardcover ISBN
978-3-642-27930-0
Softcover ISBN
978-3-642-43974-2
Edition Number
1
Number of Pages
VIII, 268
Topics