Overview
- 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
Part of the book series: International Series in Operations Research & Management Science (ISOR, volume 211)
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Table of contents (8 chapters)
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Front Matter
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Back Matter
Keywords
About this book
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 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.
Editors and Affiliations
Bibliographic Information
Book Title: Future Perspectives in Risk Models and Finance
Editors: Alain Bensoussan, Dominique Guegan, Charles S. Tapiero
Series Title: International Series in Operations Research & Management Science
DOI: https://doi.org/10.1007/978-3-319-07524-2
Publisher: Springer Cham
eBook Packages: Business and Economics, Business and Management (R0)
Copyright Information: Springer International Publishing Switzerland 2015
Hardcover ISBN: 978-3-319-07523-5Published: 03 December 2014
Softcover ISBN: 978-3-319-37621-9Published: 10 September 2016
eBook ISBN: 978-3-319-07524-2Published: 20 November 2014
Series ISSN: 0884-8289
Series E-ISSN: 2214-7934
Edition Number: 1
Number of Pages: XIV, 315
Number of Illustrations: 14 b/w illustrations, 31 illustrations in colour
Topics: Operations Research/Decision Theory, Quantitative Finance, Macroeconomics/Monetary Economics//Financial Economics