A Probability Metrics Approach to Financial Risk Measures

von Frank J Fabozzi, Svetlozar T Rachev, Stoyan V Stoyanov

392 Seiten, Hardcover

Kurzbeschreibung des Verlags

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