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Measures of Risk: Time Consistency and Surrogate Processes - Tapa blanda

Kang, Boda

 
9783639100372: Measures of Risk: Time Consistency and Surrogate Processes
Tapa blanda
ISBN 10: 3639100379 ISBN 13: 9783639100372
Editorial: VDM Verlag Dr. Müller, 2008

Sinopsis

Most decision making processes involve risk associated with the uncertainty of a range of outcomes that may, or may not, occur at some time in the future. In recent years, many of the recent advances in risk theory have come from the field of financial mathematics. While the latter subject is now well developed I claim that there are still some important aspects of decision-making involving risk that are not covered by the existing theory. In particular, I believe that the following three questions require further investigations. 1. How to make big returns with high probability? 2. How to price financial derivatives on weather sensitive assets? 3. How to minimize risks associated with extreme temperatures? I proposed a number of techniques to hedge risk both in financial portfolios and in environmental problems. Hence this book supplies, at least partial, answers to each of these challenging questions. The analysis should help shed some light on this dynamic and risky financial environment, and should be especially useful to professionals in financial service, risk management in investment banking system and the energy markets.

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Reseña del editor

Most decision making processes involve risk associated with the uncertainty of a range of outcomes that may, or may not, occur at some time in the future. In recent years, many of the recent advances in risk theory have come from the field of financial mathematics. While the latter subject is now well developed I claim that there are still some important aspects of decision-making involving risk that are not covered by the existing theory. In particular, I believe that the following three questions require further investigations. 1. How to make big returns with high probability? 2. How to price financial derivatives on weather sensitive assets? 3. How to minimize risks associated with extreme temperatures? I proposed a number of techniques to hedge risk both in financial portfolios and in environmental problems. Hence this book supplies, at least partial, answers to each of these challenging questions. The analysis should help shed some light on this dynamic and risky financial environment, and should be especially useful to professionals in financial service, risk management in investment banking system and the energy markets.

Biografía del autor

Boda Kang, PhD in Financial Mathematics in School of Math & Stats at University of South Australia. Senior research associate in School of Finance and Economics at University of Technology, Sydney. Research interests: derivative pricing, risk management in both financial and energy market, computational finance, dynamic measures of risk.

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Editorial
VDM Verlag Dr. Müller
Año de publicación
2008
Idioma
Inglés
ISBN 10 
3639100379
ISBN 13 
9783639100372
Encuadernación
Tapa blanda
Número de páginas
176
Contacto del fabricante
no disponible
Persona responsable
no disponible