Rachev, Svetlozar T.
A Probability Metrics Approach to Financial Risk Measures
A Probability Metrics Approach to Financial Risk Measures relates the field of probability metrics and risk measures to one another and applies them to finance for the first time.
- Helps to answer the question: which risk measure is best for a given problem?
- Finds new relations between existing classes of risk measures
- Describes applications in finance and extends them where possible
- Presents the theory of probability metrics in a more accessible form which would be appropriate for non-specialists in the field
- Applications include optimal portfolio choice, risk theory, and numerical methods in finance
- Topics requiring more mathematical rigor and detail are included in technical appendices to chapters
- Author(s)
- Rachev, Svetlozar T.
- Stoyanov, Stoyan V.
- Fabozzi, Frank J.
- Publisher
- John Wiley and Sons, Inc.
- Publication year
- 2011
- Language
- en
- Edition
- 1
- Page amount
- 352 pages
- Categories
- Natural Sciences
- General Works
- Format
- Ebook
- eISBN (ePUB)
- 9781444392708
- Printed ISBN
- 9781405183697