Extreme financial risks and asset allocation (Record no. 121293)

MARC details
000 -LEADER
fixed length control field 04162nam a2200349 a 4500
001 - CONTROL NUMBER
control field 0000P907
003 - CONTROL NUMBER IDENTIFIER
control field WSP
005 - DATE AND TIME OF LATEST TRANSACTION
control field 20201015165148.0
006 - FIXED-LENGTH DATA ELEMENTS--ADDITIONAL MATERIAL CHARACTERISTICS
fixed length control field m d
007 - PHYSICAL DESCRIPTION FIXED FIELD--GENERAL INFORMATION
fixed length control field cr buu|||uu|||
008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION
fixed length control field 091123s2014 enka sb 001 0 eng d
040 ## - CATALOGING SOURCE
Original cataloging agency WSPC
Language of cataloging eng
Transcribing agency
020 ## - INTERNATIONAL STANDARD BOOK NUMBER
International Standard Book Number 9781783263097
Qualifying information (ebook)
020 ## - INTERNATIONAL STANDARD BOOK NUMBER
Canceled/invalid ISBN 9781783263080
082 04 - DEWEY DECIMAL CLASSIFICATION NUMBER
Classification number 332.6
Edition number 22
100 1# - MAIN ENTRY--PERSONAL NAME
Personal name Le Courtois, Olivier.
245 10 - TITLE STATEMENT
Title Extreme financial risks and asset allocation
Medium [electronic resource] /
Statement of responsibility, etc. Olivier Le Courtois, Christian Walter.
260 ## - PUBLICATION, DISTRIBUTION, ETC.
Place of publication, distribution, etc. London :
Name of publisher, distributor, etc. Imperial College Press ;
Place of publication, distribution, etc. Singapore :
Name of publisher, distributor, etc. Distributed by World Scientific Pub. Co.,
Date of publication, distribution, etc. c2014.
300 ## - PHYSICAL DESCRIPTION
Extent 1 online resource (xvii, 351 p.) :
Other physical details ill.
490 1# - SERIES STATEMENT
Series statement Series in quantitative finance ;
Volume/sequential designation v. 5
504 ## - BIBLIOGRAPHY, ETC. NOTE
Bibliography, etc. note Includes bibliographical references (p. 341-347) and index.
505 0# - FORMATTED CONTENTS NOTE
Formatted contents note 1. Introduction -- 2. Market framework. 2.1. Studied quantities. 2.2. The question of time -- 3. Statistical description of markets. 3.1. Construction of a representation. 3.2. Normality tests. 3.3. Discontinuity test. 3.4. Continuity test. 3.5. Testing the finiteness of the activity -- 4. Levy processes. 4.1. Definitions and construction. 4.2. The Levy-Khintchine formula. 4.3. The moments of Levy processes of finite variation -- 5. Stable distributions and processes. 5.1. Definitions and properties. 5.2. Stable financial models -- 6. Laplace distributions and processes. 6.1. The first Laplace distribution. 6.2. The asymmetrization of the Laplace distribution. 6.3. The Laplace distribution as the limit of hyperbolic distributions -- 7. The time change framework. 7.1. Time changes. 7.2. Subordinated Brownian motions. 7.3. Time-changed Laplace process -- 8. Tail distributions. 8.1. Largest values approach. 8.2. Threshold approach. 8.3. Statistical phenomenon approach. 8.4. Estimation of the shape parameter -- 9. Risk budgets. 9.1. Risk measures. 9.2. Computation of risk budgets -- 10. The psychology of risk -- 10.1. Basic principles of the psychology of risk. 10.2. The measurement of risk aversion. 10.3. Typology of risk aversion -- 11. Monoperiodic portfolio choice. 11.1. The optimization program. 11.2. Optimizing with two moments. 11.3. Optimizing with three moments. 11.4. Optimizing with four moments. 11.5. Other problems -- 12. Dynamic portfolio choice. 12.1. The optimization program. 12.2. Classic approach. 12.3. Optimization in the presence of jumps -- 13. Conclusion.
520 ## - SUMMARY, ETC.
Summary, etc. Each financial crisis calls for - by its novelty and the mechanisms it shares with preceding crises - appropriate means to analyze financial risks. In Extreme Financial Risks and Asset Allocation, the authors present in an accessible and timely manner the concepts, methods, and techniques that are essential for an understanding of these risks in an environment where asset prices are subject to sudden, rough, and unpredictable changes. These phenomena, mathematically known as "jumps", play an important role in practice. Their quantitative treatment is generally tricky and is sparsely tackled in similar books. One of the main appeals of this book lies in its approachable and concise presentation of the ad hoc mathematical tools without sacrificing the necessary rigor and precision. This book contains theories and methods which are usually found in highly technical mathematics books or in scattered, often very recent, research articles. It is a remarkable pedagogical work that makes these difficult results accessible to a large readership. Researchers, Masters and PhD students, and financial engineers alike will find this book highly useful.
533 ## - REPRODUCTION NOTE
Type of reproduction Electronic reproduction.
Place of reproduction Singapore :
Agency responsible for reproduction World Scientific Publishing Co.,
Date of reproduction 2014.
Note about reproduction System requirements: Adobe Acrobat Reader.
-- Mode of access: World Wide Web.
650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name entry element Financial risk.
650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name entry element Portfolio management.
655 #0 - INDEX TERM--GENRE/FORM
Genre/form data or focus term Electronic books.
700 1# - ADDED ENTRY--PERSONAL NAME
Personal name Walter, Christian,
Dates associated with a name 1957-
710 2# - ADDED ENTRY--CORPORATE NAME
Corporate name or jurisdiction name as entry element World Scientific (Firm)
830 #0 - SERIES ADDED ENTRY--UNIFORM TITLE
Uniform title Series in quantitative finance ;
Volume/sequential designation v. 5.
856 40 - ELECTRONIC LOCATION AND ACCESS
Uniform Resource Identifier <a href="https://www.worldscientific.com/worldscibooks/10.1142/P907#t=toc">https://www.worldscientific.com/worldscibooks/10.1142/P907#t=toc</a>
Public note Access to full text is restricted to subscribers.

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