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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 cover

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