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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

    1. Front Matter
      Pages 13-13
    2. Viacheslav Arbuzov, Maria Frolova
      Pages 25-36
    3. Tatyana Efremova, Sergey Ivliev
      Pages 37-46
    4. Vladimir Gisin, Andrey Markov
      Pages 47-56
    5. Vadim Gribnikov, Dmitry Shevchenko
      Pages 57-61
    6. Eva Kvasničková
      Pages 99-113
    7. Victor Lapshin
      Pages 115-127
    8. Svetlana Malykhina
      Pages 141-149
    9. Marianna Morozova
      Pages 171-189
    10. Anastassia Pleten
      Pages 201-207
    11. Bismark Singh
      Pages 209-217
    12. Alexander Steryakov
      Pages 229-245
    13. Victor Zharkov
      Pages 255-267

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
  • Buy this book on publisher's site