Probability Metrics Approach to Financial Risk Measures

AvFrank J. Fabozzi,Stoyan V. Stoyanov

E-bok
PDF, Engelska, 2011

2 688 kr

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E-bok

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Beskrivning

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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