Description

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

A Probability Metrics Approach to Financial Risk Measures

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£159.95

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Hardback by Svetlozar T. Rachev , Stoyan V. Stoyanov

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Short Description:

A Probability Metrics Approach to Financial Risk Measures relates the field of probability metrics and risk measures to one another... Read more

    Publisher: John Wiley and Sons Ltd
    Publication Date: 21/01/2011
    ISBN13: 9781405183697, 978-1405183697
    ISBN10: 1405183691

    Number of Pages: 392

    Non Fiction , Business, Finance & Law

    Description

    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

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