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Financial Market Risk
- Measurement and Analysis
Engelsk
Bogcover for Financial Market Risk af Cornelis Los, 9780415771139
Specifikationer
Sprog:
Engelsk
Sider:
496
ISBN-13:
9780415771139
Indbinding:
Paperback
ISBN-10:
0415771137
Udg. Dato:
1 aug 2006
Størrelse i cm:
15,8 x 23,6 x 3,0
Oplagsdato:
1 aug 2006
Forfatter(e):

Financial Market Risk

- Measurement and Analysis
Engelsk
Paperback 2006
Format:

Bog beskrivelse
This new book uses advanced signal processing technology to measure and analyze risk phenomena of the financial markets. It explains how to scientifically measure, analyze and manage non-stationarity and long-term time dependence (long memory) of financial market returns. It studies, in particular, financial crises in persistent financial markets, such as stock, bond and real estate market, and turbulence in antipersistent financial markets, such as anchor currency markets. It uses Windowed Fourier and Wavelet Multiresolution Analysis to measure the degrees of persistence of these complex markets, by computing monofractal Hurst exponents and multifractal singularity spectra. It explains how and why financial crises and financial turbulence may occur in the various markets and why we may have to reconsider the current wave of term structure modeling based on affine models. It also uses these persistence measurements to improve the financial risk management of global investment funds, via numerical simulations of the nonlinear diffusion equations describing the underlying high frequency dynamic pricing processes.
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Specifikationer
Sprog:
Engelsk
Sider:
496
ISBN-13:
9780415771139
Indbinding:
Paperback
ISBN-10:
0415771137
Udg. Dato:
1 aug 2006
Størrelse i cm:
15,8 x 23,6 x 3,0
Oplagsdato:
1 aug 2006
Forfatter(e):
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