The responsibility for the jobs published on this website, including the job description, lies entirely with the publishing institutions. The application is handled uniquely by the employer, who is also fully responsible for the recruitment and selection processes. Please contact support euraxess. Skip to main content. This site requires JavaScript. The book is written for non-mathematicians who want to model financial market prices so the emphasis throughout is on practice.
There are abundant empirical illustrations of the models and techniques described, many of which could be equally applied to other financial time series, such as exchange and interest rates. The authors have taken care to make the material accessible to anyone with a basic knowledge of statistics, calculus and probability, while at the same time preserving the mathematical rigor and complexity of the original models.
This book will be an essential reference for practitioners in the finance industry, especially those responsible for managing portfolios and monitoring financial risk, but it will also be useful for mathematicians who want to know more about how their mathematical tools are applied in finance, and as a text for advanced courses in empirical finance; financial econometrics and financial derivatives.
Skip to content. It addresses the causes and consequences of non-normality and time dependency in both asset returns and option prices. The book is written for non-mathematicians who want to model financial market prices so the emphasis throughout is on practice. There are abundant empirical illustrations of the models and techniques described, many of which could be equally applied to other financial time series.
With the growing importance of Solvency II, Basel II and III regulatory rules for insurance companies and banks, value at risk VaR — one of the most popular risk indicator techniques plays a fundamental role in defining appropriate levels of equities.
The aim of this book is to show how new VaR techniques can be built more appropriately for a crisis situation.
VaR methodology for non-Gaussian finance looks at the importance of VaR in standard international rules for banks and insurance companies; gives the first non-Gaussian extensions of VaR and applies several basic statistical theories to extend classical results of VaR techniques such as the NP approximation, the Cornish-Fisher approximation, extreme and a Pareto distribution.
Contents 1. Summarising theoretical developments in the field, this second edition has been substantially expanded. Additional chapters now cover stochastic processes, Monte-Carlo methods, Black-Scholes theory, the theory of the yield curve, and Minority Game.
There are discussions on aspects of data analysis, financial products, non-linear correlations, and herding, feedback and agent based models. This book has become a classic reference for graduate students and researchers working in econophysics and mathematical finance, and for quantitative analysts working on risk management, derivative pricing and quantitative trading strategies.
This comprehensive text offers readers the chance to develop a sound understanding of financial products and the mathematical models that drive them, exploring in detail where the risks are and how to manage them.
But the study of risk remains a relatively new discipline in finance and continues to be refined. The financial market crisis that began in has highlighted the challenges of managing financial risk. Now, in Financial Risk Management, author Allan Malz addresses the essential issues surrounding this discipline, sharing his extensive career experiences as a risk researcher, risk manager, and central banker.
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