Financial Risk Analytics
Autor Nicolas Privaulten Limba Engleză Paperback – feb 2028
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Specificații
Notă biografică
Nicolas Privault is Professor in the School of Physical and Mathematical Sciences, Nanyang Technological University, Singapore. His research interests span stochastic analysis and its applications. He is the author of books including Understanding Markov Chains: Examples and Applications (3rd edition, 2026).
Cuprins
List of illustrations; Part I. Stochastic Modeling: 1. Modeling Market Returns; 2. Time Series; 3. Processes with Jumps; 4. Correlation and Dependence; Part II. Risk Measures: 5. Superhedging Risk Measure; 6. Value at Risk; 7. Expected Shortfall; Part III. Credit Risk: 8. Structural Approach; 9. Reduced-Form Approach; 10. Credit Derivatives; 11. Credit Scoring; Appendix A. Background on Probability Theory; References; Author index; Index.