Advertisement

Future Perspectives in Risk Models and Finance

  • Alain Bensoussan
  • Dominique Guegan
  • Charles S. Tapiero

Part of the International Series in Operations Research & Management Science book series (ISOR, volume 211)

Table of contents

  1. Front Matter
    Pages i-xiv
  2. Alain Bensoussan, Pierre Bertrand, Alexandre Brouste
    Pages 1-69
  3. Dominique Guégan, Bertrand K. Hassani
    Pages 89-124
  4. Nassim N. Taleb, Constantine Sandis
    Pages 125-136
  5. Charles S. Tapiero, Pierre Vallois
    Pages 149-246
  6. Sergio Bianchi, Augusto Pianese
    Pages 247-285
  7. Charles S. Tapiero, Jiangyi Qi
    Pages 287-313
  8. Back Matter
    Pages 315-315

About this book

Introduction

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.

Keywords

Financial Decision Making Financial Management Financial Risk Game Theory Risk Models Systemic Risk

Editors and affiliations

  • Alain Bensoussan
    • 1
  • Dominique Guegan
    • 2
  • Charles S. Tapiero
    • 3
  1. 1.Naveen Jindal School of ManagementUniversity of Texas at DallasRichardsonUSA
  2. 2.Economic Doctorate School EPSUniversity Paris 1 Panthéon-SorbonneParisFrance
  3. 3.Department of Finance & Risk EngineeringNYU-Polytechnic School of EngineeringBrooklynUSA

Bibliographic information

  • DOI https://doi.org/10.1007/978-3-319-07524-2
  • Copyright Information Springer International Publishing Switzerland 2015
  • Publisher Name Springer, Cham
  • eBook Packages Business and Economics
  • Print ISBN 978-3-319-07523-5
  • Online ISBN 978-3-319-07524-2
  • Series Print ISSN 0884-8289
  • Series Online ISSN 2214-7934
  • Buy this book on publisher's site