Sornette, Didier

Market Risk and Financial Markets Modeling

Sornette, Didier - Market Risk and Financial Markets Modeling, ebook


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ISBN: 9783642279317
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Table of contents

1. Financial Market and Systemic Risks
Didier Sornette, Susanne Becke

2. On the Development of Master in Finance & IT Program in a Perm State National Research University
Dmitry Andrianov, Natalya Frolova, Sergey Ivliev

3. Questions of Top Management to Risk Management
Sergey Chernov

4. Estimation of Market Resiliency from High-Frequency Micex Shares Trading Data
Nikolay Andreev

5. Market Liquidity Measurement and Econometric Modeling
Viacheslav Arbuzov, Maria Frolova

6. Modeling of Russian Equity Market Microstructure (MICEX:HYDR Case)
Tatyana Efremova, Sergey Ivliev

7. Asset Pricing in a Fractional Market Under Transaction Costs
Vladimir Gisin, Andrey Markov

8. Influence of Behavioral Finance on the Share Market
Vadim Gribnikov, Dmitry Shevchenko

9. Hedging with Futures: Multivariante Dynamic Conditional Correlation GARCH
Aleksey Kolokolov

10. A Note on the Dynamics of Hedge-Fund-Alpha Determinants
Olga Kolokolova

11. Equilibrium on the Interest Rate Market Analysis
Eva Kvasničková

12. Term Structure Models
Victor Lapshin

13. Current Trends in Prudential Regulation of Market Risk: From Basel I to Basel III
Alexey Lobanov

14. Belarusian Banking System: Market Risk Factors
Svetlana Malykhina

15. The Psychological Aspects of Human Interactions Through Trading and Risk Management Process
Polina Mikhailova

16. Options: Risk Reducing or Creating?
Marianna Morozova

17. Hierarchical and Ultrametric Models of Financial Crashes
Anna Pivovarova

18. Catastrophe Theory in Forecasting Financial Crises
Anastassia Pleten

19. A Mathematical Model for Market Manipulations
Bismark Singh

20. Adaption of World Experience in Insider Dealing Regulation to the Specifity of the Russian Market
Alexander Starikov

21. Agent-Based Model of the Stock Market
Alexander Steryakov

22. How can Information on CDS Contracts be Used to Estimate Liquidity Premium in the Bond Market
Polina Tarasova

23. Adelic Theory of the Stock Market
Victor Zharkov

Keywords: Economics/Management Science, Financial Economics, Finance/Investment/Banking, Statistics for Business/Economics/Mathematical Finance/Insurance, Cognitive Psychology

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