Extreme Financial Risks And Asset Allocation

Each financial crisis calls for — by its novelty and the mechanisms it shares with preceding crises — appropriate means to analyze financial risks. In Extreme Financial Risks and Asset Allocation, the authors present in an accessible and timely manner the concepts, methods, and techniques that are essential for an understanding of these risks in an environment where asset prices are subject to sudden, rough, and unpredictable changes. These phenomena, mathematically known as “jumps”, play an important role in practice. Their quantitative treatment is generally tricky and is sparsely tackled in similar books. One of the main appeals of this book lies in its approachable and concise presentation of the ad hoc mathematical tools without sacrificing the necessary rigor and precision.

This book contains theories and methods which are usually found in highly technical mathematics books or in scattered, often very recent, research articles. It is a remarkable pedagogical work that makes these difficult results accessible to a large readership. Researchers, Masters and PhD students, and financial engineers alike will find this book highly useful.
Contents:IntroductionMarket FrameworkStatistical Description of MarketsLévy ProcessesStable Distributions and ProcessesLaplace Distributions and ProcessesThe Time Change FrameworkTail DistributionsRisk BudgetsThe Psychology of RiskMonoperiodic Portfolio ChoiceDynamic Portfolio ChoiceConclusion
Readership: Researchers, graduate students and financial engineers in the field of mathematical and quantitative finance.
Key Features:This book offers an excellent synthesis of the academic literature in a clear, ordered, and intuitive wayThe continuous-time theory of the choice of portfolio is exposed with particular care when asset dynamics are modeled with processes admitting a jump component. This is a technically difficult topic that is tackled here with a lot of clarityThe collated works in this book facilitates access to the most recent techniques, making it user-friendly for readers