Didier Sornette, Sergey Ivliev, Hilary Woodard - Market Risk and Financial Markets Modeling
Published: 2012-02-04 | ISBN: 3642279309 | PDF | 267 pages | 5.69 MB



中文简介：

当前的金融危机暴露了模型中的严重缺陷，源于市场风险的一些措施和潜在理论未能提供即将来临亏损的前瞻性期望。Perm winter 学院2011年的论文集提出有关金融市场建模和风险计量等许多关键问题上的进步之见解，旨在弥补这方面的差距。论文中所阐述的关键议题包括：金融崩溃的动态对冲，无套利利率的期限结构模型，基于代理的建模流通秩序，部分市场的资产定价，对冲基金绩效等等。

The current financial crisis has revealed serious flaws in models, measures and, potentially, theories, that failed to provide forward-looking expectations for upcoming losses originated from market risks. The Proceedings of the Perm Winter School 2011 propose insights on many key issues and advances in financial markets modeling and risk measurement aiming to bridge the gap. The key addressed topics include: hierarchical and ultrametric models of financial crashes, dynamic hedging, arbitrage free modeling the term structure of interest rates, agent based modeling of order flow, asset pricing in a fractional market, hedge funds performance and many more.