000			04162nam a2200349 a 4500
001			0000P907
003			WSP
005			20201015165148.0
006			m d
007			cr buu|||uu|||
008			091123s2014 enka sb 001 0 eng d
040			_aWSPC _beng _cWSPC
020			_a9781783263097 _q(ebook)
020			_z9781783263080
082	0	4	_a332.6 _222
100	1		_aLe Courtois, Olivier.
245	1	0	_aExtreme financial risks and asset allocation _h[electronic resource] / _cOlivier Le Courtois, Christian Walter.
260			_aLondon : _bImperial College Press ; _aSingapore : _bDistributed by World Scientific Pub. Co., _cc2014.
300			_a1 online resource (xvii, 351 p.) : _bill.
490	1		_aSeries in quantitative finance ; _vv. 5
504			_aIncludes bibliographical references (p. 341-347) and index.
505	0		_a1. 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			_aEach 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			_aElectronic reproduction. _bSingapore : _cWorld Scientific Publishing Co., _d2014. _nSystem requirements: Adobe Acrobat Reader. _nMode of access: World Wide Web.
650		0	_aFinancial risk.
650		0	_aPortfolio management.
655		0	_aElectronic books.
700	1		_aWalter, Christian, _d1957-
710	2		_aWorld Scientific (Firm)
830		0	_aSeries in quantitative finance ; _vv. 5.
856	4	0	_uhttps://www.worldscientific.com/worldscibooks/10.1142/P907#t=toc _zAccess to full text is restricted to subscribers.
999			_c121293 _d121293