Market Risk and Financial Markets Modeling

  • Didier Sornette
  • Sergey Ivliev
  • Hilary Woodard

Table of contents

  1. Front Matter
    Pages 1-1
  2. Introduction

    1. Front Matter
      Pages 1-1
    2. Didier Sornette, Susanne von der Becke
      Pages 3-6
  3. Market Risk and Financial Markets Modeling

About this book

Introduction

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.

Keywords

Asset pricing models Basel III Financial market modeling Market risk

Editors and affiliations

  • Didier Sornette
    • 1
  • Sergey Ivliev
    • 2
  • Hilary Woodard
    • 3
  1. 1.Dept. Management,, Technologie und ÖkonomieETH ZürichZürichSwitzerland
  2. 2., Prognoz Risk LabPerm State UniversityPermRussia
  3. 3., D-MTECETH ZurichZurichSwitzerland

Bibliographic information

  • DOI https://doi.org/10.1007/978-3-642-27931-7
  • Copyright Information Springer-Verlag Berlin Heidelberg 2012
  • Publisher Name Springer, Berlin, Heidelberg
  • eBook Packages Business and Economics
  • Print ISBN 978-3-642-27930-0
  • Online ISBN 978-3-642-27931-7
  • About this book