Market risk and financial markets modeling /
"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 a...
Guardado en:
| Otros Autores: | , , |
|---|---|
| Formato: | Libro |
| Lenguaje: | Inglés |
| Publicado: |
Berlin ; Heidelberg :
Springer-Verlag,
c2012.
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| Materias: | |
| Aporte de: | Registro referencial: Solicitar el recurso aquí |
| LEADER | 04042cam a2200397Ia 4500 | ||
|---|---|---|---|
| 001 | 990000601450204151 | ||
| 005 | 20180327175048.0 | ||
| 008 | 111223s2012 gw a b 000 0 eng d | ||
| 020 | |a 9783642279300 | ||
| 020 | |a 3642279309 | ||
| 035 | |a (OCoLC)000060145 | ||
| 035 | |a (udesa)000060145USA01 | ||
| 035 | |a (OCoLC)769420172 | ||
| 035 | |a (OCoLC)990000601450204151 | ||
| 040 | |a BTCTA |b eng |c BTCTA |d IXA |d E7B |d YDXCP |d OCLCQ |d BWX |d OHX |d CDX |d U@S | ||
| 049 | |a U@SA | ||
| 050 | 4 | |a HG4515 |b .M37 2012 | |
| 082 | 0 | 4 | |a 650.0151 |
| 245 | 0 | 0 | |a Market risk and financial markets modeling / |c Didier Sornette, Sergey Ivliev, Hilary Woodard, editors. |
| 260 | |a Berlin ; |a Heidelberg : |b Springer-Verlag, |c c2012. | ||
| 300 | |a 267 p. : |b ill. ; |c 24 cm. | ||
| 504 | |a Includes bibliographical references. | ||
| 505 | 0 | |a Financial Market and Systemic Risks / Didier Sornette, Susanne von der Becke -- On the Development of Master in Finance & IT Program in a Perm State National Research University / Dmitry Andrianov, Natalya Frolova, Sergey Ivliev -- Questions of Top Management to Risk Management / Sergey Chernov -- Estimation of Market Resiliency from High-Frequency Micex Shares Trading Data / Nikolay Andreev -- Market Liquidity Measurement and Econometric Modeling / Viacheslav Arbuzov, Maria Frolova -- Modeling of Russian Equity Market Microstructure (MICEX:HYDR Case) / Tatyana Efremova, Sergey Ivliev -- Asset Pricing in a Fractional Market Under Transaction Costs / Vladimir Gisin, Andrey Markov -- Influence of Behavioral Finance on the Share Market / Vadim Gribnikov, Dmitry Shevchenko -- Hedging with Futures : Multivariante Dynamic Conditional Correlation GARCH / Aleksey Kolokolov -- A Note on the Dynamics of Hedge-Fund-Alpha Determinants / Olga Kolokolova -- | |
| 505 | 0 | |a Equilibrium on the Interest Rate Market Analysis / Eva Kvasnicková -- Term Structure Models / Victor Lapshin -- Current Trends in Prudential Regulation of Market Risk : from Basel I to Basel III / Alexey Lobanov -- Belarusian Banking System : Market Risk Factors / Svetlana Malykhina -- The Psychological Aspects of Human Interactions Through Trading and Risk Management Process / Polina Mikhailova -- Options : Risk Reducing or Creating? / Marianna Morozova -- Hierarchical and Ultrametric Models of Financial Crashes / Anna Pivovarova -- Catastrophe Theory in Forecasting Financial Crises / Anastassia Pleten -- A Mathematical Model for Market Manipulations / Bismark Singh -- Adaption of World Experience in Insider Dealing Regulation to the Specifity of the Russian Market / Alexander Starikov -- Agent-Based Model of the Stock Market / Alexander Steryakov -- How can Information on CDS Contracts be Used to Estimate Liquidity Premium in the Bond Market / Polina Tarasova -- Adelic Theory of the Stock Market / Victor Zharkov. | |
| 520 | |a "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." --Back cover. | ||
| 650 | 0 | |a Finance |x Risk factors. | |
| 650 | 0 | |a Finance |x Risk factors |x Mathematical models. | |
| 650 | 0 | |a Finance |x Risk management. | |
| 650 | 0 | |a Capital market |x Risk factors. | |
| 650 | 7 | |a Finanzas |x Factores de riesgo. |2 UDESA | |
| 650 | 7 | |a Finanzas |x Factores de riesgo |x Modelos matemáticos. |2 UDESA | |
| 650 | 7 | |a Finanzas |x Administración de riesgos. |2 UDESA | |
| 650 | 7 | |a Mercado de capitales |x Factores de riesgo. |2 UDESA | |
| 700 | 1 | |a Sornette, Didier, |d 1957- | |
| 700 | 1 | |a Ivliev, Sergey. | |
| 700 | 1 | |a Woodard, Hilary. | |