eBook Extreme Financial Risks And Asset Allocation, 1st Edition

  • Published By: Imperial College Press
  • ISBN-10: 1783263091
  • ISBN-13: 9781783263097
  • DDC: 332.6
  • Grade Level Range: College Freshman - College Senior
  • 372 Pages | eBook
  • Original Copyright 2014 | Published/Released January 2015
  • This publication's content originally published in print form: 2014
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About

Overview

Each financial crisis calls for - by its novelty and the mechanisms it shares with preceding crises - appropriate means to analyze financial risks. In Extreme Financial Risks and Asset Allocation, the authors present in an accessible and timely manner the concepts, methods, and techniques that are essential for an understanding of these risks in an environment where asset prices are subject to sudden, rough, and unpredictable changes. These phenomena, mathematically known as jumps, play an important role in practice. Their quantitative treatment is generally tricky and is sparsely tackled in similar books. One of the main appeals of this book lies in its approachable and concise presentation of the ad hoc mathematical tools without sacrificing the necessary rigor and precision.This book contains theories and methods which are usually found in highly technical mathematics books or in scattered, often very recent, research articles. It is a remarkable pedagogical work that makes these difficult results accessible to a large readership. Researchers, Masters and PhD students, and financial engineers alike will find this book highly useful.

Table of Contents

Front Cover.
Half Title Page.
Series in Quantitative Finance.
Title Page.
Copyright Page.
Foreword.
Preface.
Contents.
1: Introduction.
2: Market Framework.
3: Statistical Description of Markets.
4: Lévy Processes.
5: Stable Distributions and Processes.
6: Laplace Distributions and Processes.
7: The Time Change Framework.
8: Tail Distributions.
9: Risk Budgets.
10: The Psychology of Risk.
11: Monoperiodic Portfolio Choice.
12: Dynamic Portfolio Choice.
13: Conclusion.
Appendix A: Concentration vs Diversification.
Bibliography.
Index.