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.EDHEC Risk and Asset Management Research Centre. Brorsen, B. W., aamp; Harri, A . (2004). Performance Persistence and the Source of Returns for Hedge Funds. Applied Financial Economics, 14(3), 131-141. Brown, S. J., aamp; Goetzmann, W. N.anbsp;...
|Title||:||Market Risk and Financial Markets Modeling|
|Author||:||Didier Sornette, Sergey Ivliev, Hilary Woodard|
|Publisher||:||Springer Science & Business Media - 2012-02-03|