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The Measurement of Market Risk: Modelling of Risk Factors, Asset Pricing, and Approximation of Portfolio Distributions (Lecture Notes in Economics and Mathematical Systems) [Paperback]

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Item description for The Measurement of Market Risk: Modelling of Risk Factors, Asset Pricing, and Approximation of Portfolio Distributions (Lecture Notes in Economics and Mathematical Systems) by Pierre-Yves Moix...

The objective of this book is to set up an economic quantitative model for the assessment of financial market risk. The Measurement of Market Risk reviews the probabilistic modelling of so-called risk factors, which represent the uncertainty of financial markets, and discusses the issue of risk as the perception of uncertainty by individuals when faced with a decision problem. Further, the book discusses the pricing of financial instruments as a function of risk factors. Emphasis is put on options, because they exhibit a non-linear exposure to the risk factors. The core of the text is the assessment of risk for financial portfolios by way of estimating the portfolio probability distribution. A new approach, the Barycentric Discretisation with Piecewise Quadratic Approximation (BDPQA), which poses no assumptions on the risk factor distribution and accounts for the non-linearity of the price functions, is introduced.



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Item Specifications...


Pages   272
Est. Packaging Dimensions:   Length: 9.1" Width: 5.9" Height: 0.7"
Weight:   0.9 lbs.
Binding  Softcover
Release Date   Aug 9, 2001
Publisher   Springer
ISBN  3540421432  
ISBN13  9783540421436  


Availability  149 units.
Availability accurate as of Jan 24, 2017 08:55.
Usually ships within one to two business days from La Vergne, TN.
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More About Pierre-Yves Moix


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Product Categories

1Books > Special Features > New & Used Textbooks > Business & Finance > Accounting
2Books > Special Features > New & Used Textbooks > Business & Finance > Economics
3Books > Subjects > Business & Investing > Economics > General
4Books > Subjects > Business & Investing > Economics
5Books > Subjects > Business & Investing > General
6Books > Subjects > Business & Investing > Industries & Professions > Accounting > General
7Books > Subjects > Business & Investing > Investing > Futures
8Books > Subjects > Business & Investing > Investing > General
9Books > Subjects > Business & Investing > Investing > Options
10Books > Subjects > Business & Investing > Management & Leadership > Pricing
11Books > Subjects > Medicine > General
12Books > Subjects > Professional & Technical > Accounting & Finance > Accounting > General
13Books > Subjects > Professional & Technical > Professional Science > Mathematics > Applied > General



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