2012

Market Risk and Financial Markets Modeling

Editors:

ISBN: 978-3-642-27930-0 (Print) 978-3-642-27931-7 (Online)

Table of contents (23 chapters)

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  1. Front Matter

    Pages 1-1

  2. Introduction

    1. Front Matter

      Pages 1-1

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      Book Chapter

      Pages 3-6

      Financial Market and Systemic Risks

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      Book Chapter

      Pages 7-9

      On the Development of Master in Finance & IT Program in a Perm State National Research University

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      Book Chapter

      Pages 11-12

      Questions of Top Management to Risk Management

  3. Market Risk and Financial Markets Modeling

    1. Front Matter

      Pages 13-13

    2. No Access

      Book Chapter

      Pages 15-24

      Estimation of Market Resiliency from High-Frequency Micex Shares Trading Data

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      Book Chapter

      Pages 25-36

      Market Liquidity Measurement and Econometric Modeling

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      Book Chapter

      Pages 37-46

      Modeling of Russian Equity Market Microstructure (MICEX:HYDR Case)

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      Book Chapter

      Pages 47-56

      Asset Pricing in a Fractional Market Under Transaction Costs

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      Book Chapter

      Pages 57-61

      Influence of Behavioral Finance on the Share Market

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      Book Chapter

      Pages 63-72

      Hedging with Futures: Multivariante Dynamic Conditional Correlation GARCH

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      Book Chapter

      Pages 73-97

      A Note on the Dynamics of Hedge-Fund-Alpha Determinants

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      Book Chapter

      Pages 99-113

      Equilibrium on the Interest Rate Market Analysis

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      Book Chapter

      Pages 115-127

      Term Structure Models

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      Book Chapter

      Pages 129-139

      Current Trends in Prudential Regulation of Market Risk: From Basel I to Basel III

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      Book Chapter

      Pages 141-149

      Belarusian Banking System: Market Risk Factors

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      Book Chapter

      Pages 151-169

      The Psychological Aspects of Human Interactions Through Trading and Risk Management Process

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      Book Chapter

      Pages 171-189

      Options: Risk Reducing or Creating?

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      Book Chapter

      Pages 191-200

      Hierarchical and Ultrametric Models of Financial Crashes

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      Book Chapter

      Pages 201-207

      Catastrophe Theory in Forecasting Financial Crises

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      Book Chapter

      Pages 209-217

      A Mathematical Model for Market Manipulations

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      Book Chapter

      Pages 219-228

      Adaption of World Experience in Insider Dealing Regulation to the Specifity of the Russian Market

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