A Probability Metrics Approach to Financial Risk Measures
Language: English
Published by John Wiley and Sons Ltd, 2011
- First Edition
- Hardcover
- New
Seller: Kennys Bookshop and Art Galleries Ltd., Galway, GY, IrelandKennys Bookshop and Art Galleries Ltd.
AbeBooks seller since February 27, 2001
Condition: New
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Add to basketItem description from seller
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. The book helps to answer the question: which risk measure is best for a given problem. Num Pages: 392 pages, Illustrations. BIC Classification: KC; KJMV1. Category: (P) Professional & Vocational. Dimension: 238 x 163 x 26. Weight in Grams: 698. . 2011. 1st Edition. Hardcover. . . . .
Seller Inventory # V9781405183697
- Title
- A Probability Metrics Approach to Financial Risk Measures
- Author
- Svetlozar T. Rachev
- Publisher
- John Wiley and Sons Ltd
- Publication year
- 2011
- Condition
- New
- Binding
- Hardcover
- Language
- English
- ISBN 10
- 1405183691
- ISBN 13
- 9781405183697
- Edition
- 1st Edition
- 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
"Synopsis" may belong to another edition of this title.
About the Author
Stoyan V. Stoyanov, Ph.D. is the Head of Quantitative Research at FinAnalytica specializing in financial risk management software. He is author and co-author of numerous papers some of which have recently appeared in Economics Letters, Journal of Banking and Finance, Applied Mathematical Finance, Applied Financial Economics, and International Journal of Theoretical and Applied Finance. He is a coauthor of the mathematical finance book Advanced Stochastic Models, Risk Assessment and Portfolio Optimization: the Ideal Risk, Uncertainty and Performance Measures (2008) published by Wiley. Dr. Stoyanov has years of experience in applying optimal portfolio theory and market risk estimation methods when solving practical problems of clients of FinAnalytica.
Frank J. Fabozzi is Professor in the Practice of Finance in the School of Management at Yale University. Prior to joining the Yale faculty, he was a Visiting Professor of Finance in the Sloan School at MIT. Professor Fabozzi is a Fellow of the International Center for Finance at Yale University and on the Advisory Council for the Department of Operations Research and Financial Engineering at Princeton University. He is the editor of the Journal of Portfolio Management. His recently coauthored books published by Wiley in mathematical finance and financial econometrics include The Mathematics of Financial Modeling and Investment Management (2004), Financial Modeling of the Equity Market: From CAPM to Cointegration (2006), Robust Portfolio Optimization and Management (2007), Financial Econometrics: From Basics to Advanced Modeling Techniques (2007), and Bayesian Methods in Finance (2008).
"About the title" may belong to another edition of this title.
Kennys Bookshop and Art Galleries Ltd.
Galway, GY, Ireland
AbeBooks seller since February 27, 2001
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