Stochastic Drawdowns: 2 (Modern Trends In Financial Engineering) - Image 1

£82.80

Scientific Publishing Stochastic Drawdowns: 2 (Modern Trends In Financial Engineering)

Name: Stochastic Drawdowns: 2 (Modern Trends In Financial Engineering)
Brand: Scientific Publishing
Price: 82.8 GBP
Availability: InStock

Investments & Securities

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Description

Stochastic Drawdowns consists of some recent advances on Dr Hongzhong Zhang's own quantitative research of the well-known risk measures, drawdowns and maximum drawdowns. In this book, the author provides an extensive probabilistic study of different aspects of drawdown risks, which include the drawdown risk in finite time-horizons, the speed of market crashes (drawdowns), the frequency of drawdowns, the occupation time (time in distress), and the duration of drawdowns. Leveraging the knowledge in stochastic calculus, Lévy processes and optimal stopping, these topics can be considered as problems in advanced applied stochastic processes, and insurance/financial mathematics. The book also offers a number of applications of drawdowns in financial risk management, insurance, and algorithmic trading, including schemes on hedging and synthesizing of maximum drawdown options, (cancellable) drawdown insurance contracts and their fair premium, as well as optimal trading under drawdown-type constraints such as trailing stops. It is the goal of this book to offer a comprehensive characterization of drawdown risks and a handful of applications of drawdown in practice. On the one hand, the book enables interested students and researchers to learn the state-of-art probabilistic research on drawdowns, and explore new mathematical problems that are of practical importance to the financial industry. On the other hand, the book provides financial practitioners with access to a variety of analytically tractable measurements of drawdown risks, and the insight into hedging, optimal trading and execution amid challenges of these risks.

Product Specifications

Brand: Scientific Publishing
Format: hardcover
ASIN: 9813141638
Category: Books > Subjects > Business, Finance & Law > Professional Finance > Investments & Securities
Domain: Amazon UK
Release Date: 07 July 2018
Listed Since: 11 June 2016

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Scientific Publishing Stochastic Drawdowns: 2 (Modern Trends In Financial Engineering)

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