A Probability Metrics Approach to Financial Risk Measures
Svetlozar T Rachev author Frank J Fabozzi author Stoyan V Stoyanov author
Format:Hardback
Publisher:John Wiley and Sons Ltd
Published:21st Jan '11
Currently unavailable, and unfortunately no date known when it will be back
A Probability Metrics Approach to Financial Risk Measures relates the field of probability metrics and risk measures to one another and applies them to finance for the first time.
- Helps to answer the question: which risk measure is best for a given problem?
- Finds new relations between existing classes of risk measures
- Describes applications in finance and extends them where possible
- Presents the theory of probability metrics in a more accessible form which would be appropriate for non-specialists in the field
- Applications include optimal portfolio choice, risk theory, and numerical methods in finance
- Topics requiring more mathematical rigor and detail are included in technical appendices to chapters
ISBN: 9781405183697
Dimensions: 239mm x 160mm x 25mm
Weight: 703g
392 pages