Contact
How to shop
Delivery
Shopping guide
English
224 b
Up to 30 days for returns
Customers also purchased
/
Paperback
14.35
€
/
Paperback
22.35
€
/
Paperback
13.44
€
Portfolio analysis, risk assessment, risk management and portfolio optimization require ideally (1) the characterization of the processes underlying the time evolution of prices, (2) the corresponding distributions of returns at different time scales and (3) the nature and properties of dependences between the different assets. Extreme Financial Shocks offers an original and thorough treatment of these three points, focusing mainly on the concepts and tools that remain useful for large and extreme price fluctuations. Its originality lies in (i) an extensive presentation of stochastic models with an emphasis on their limits and their mutual inter-relationship, (ii) a revisitation of different marginal distributions for fiancial returns with their relative pros and cons and an honnest statement of the state of the art and (iii) the emphasis on recent measures of dependences, both unconditional and conditional and a study of the impact of conditioning on the size of large moves on the measure of extreme dependences.
About the book
English
Give this book today
It's easy
1 Add to cart and choose Deliver as present at the checkout 2 We'll send you a voucher 3 The book will arrive at the recipient's addressYou might also be interested in
/
Paperback
11.42
€
/
Paperback
16.18
€
