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Future Perspectives in Risk Models and Finance (Paperback, Softcover reprint of the original 1st ed. 2015)
Loot Price: R3,930
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Future Perspectives in Risk Models and Finance (Paperback, Softcover reprint of the original 1st ed. 2015)
Series: International Series in Operations Research & Management Science, 211
Expected to ship within 10 - 15 working days
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This book provides a perspective on a number of approaches to
financial modelling and risk management. It examines both
theoretical and practical issues. Theoretically, financial risks
models are models of a real and a financial "uncertainty", based on
both common and private information and economic theories defining
the rules that financial markets comply to. Financial models are
thus challenged by their definitions and by a changing financial
system fueled by globalization, technology growth, complexity,
regulation and the many factors that contribute to rendering
financial processes to be continuously questioned and re-assessed.
The underlying mathematical foundations of financial risks models
provide future guidelines for risk modeling. The book's chapters
provide selective insights and developments that can contribute to
better understand the complexity of financial modelling and its
ability to bridge financial theories and their practice. Future
Perspectives in Risk Models and Finance begins with an extensive
outline by Alain Bensoussan et al. of GLM estimation techniques
combined with proofs of fundamental results. Applications to static
and dynamic models provide a unified approach to the estimation of
nonlinear risk models. A second section is concerned with the
definition of risks and their management. In particular, Guegan and
Hassani review a number of risk models definition emphasizing the
importance of bi-modal distributions for financial regulation. An
additional chapter provides a review of stress testing and their
implications. Nassim Taleb and Sandis provide an anti-fragility
approach based on "skin in the game". To conclude, Raphael Douady
discusses the noncyclical CAR (Capital Adequacy Rule) and their
effects of aversion of systemic risks. A third section emphasizes
analytic financial modelling approaches and techniques. Tapiero and
Vallois provide an overview of mathematical systems and their use
in financial modeling. These systems span the fundamental
Arrow-Debreu framework underlying financial models of complete
markets and subsequently, mathematical systems departing from this
framework but yet generalizing their approach to dynamic financial
models. Explicitly, models based on fractional calculus, on
persistence (short memory) and on entropy-based non-extensiveness.
Applications of these models are used to define a modeling approach
to incomplete financial models and their potential use as a
"measure of incompleteness". Subsequently Bianchi and Pianese
provide an extensive overview of multi-fractional models and their
important applications to Asset price modeling. Finally, Tapiero
and Jinquyi consider the binomial pricing model by discussing the
effects of memory on the pricing of asset prices.
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