Articles liés à Measures of Risk: Time Consistency and Surrogate Processes

Measures of Risk: Time Consistency and Surrogate Processes - Couverture souple

Kang, Boda

 
9783639100372: Measures of Risk: Time Consistency and Surrogate Processes
Couverture souple
ISBN 10 : 3639100379 ISBN 13 : 9783639100372
Editeur : VDM Verlag Dr. Müller, 2008

Synopsis

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.

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

Présentation de l'éditeur

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.

Biographie de l'auteur

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.

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

Éditeur
VDM Verlag Dr. Müller
Date d'édition
2008
Langue
anglais
ISBN 10 
3639100379
ISBN 13 
9783639100372
Reliure
Broché
Nombre de pages
176
Coordonnées du fabricant
non disponible
Personne responsable
non disponible