Stochastic Drawdowns (Modern Trends in Financial Engineering)
| Author | : | |
| Rating | : | 4.64 (545 Votes) |
| Asin | : | 9813141638 |
| Format Type | : | paperback |
| Number of Pages | : | 180 Pages |
| Publish Date | : | 2013-06-01 |
| Language | : | English |
DESCRIPTION:
In particular, the author provides an extensive probabilistic study of several quantities related to drawdowns, which include the drawdown risk in finite time-horizons, the speed of market crashes (drawdowns), the occupation time (time in distress), and the duration of drawdowns. These topics can be considered as problems in advanced applied stochastic processes, and insurance/financial mathematics.Apart from the aforementioned mathematical content, the book also offers some applications of drawdowns in financial risk management and insurance. On the other hand, the book provides financial practitioners with access to a variety of tractable quantities related to drawdown risk, and a better understanding of optimal trading and execution amid challenges and risks.. A sample of examples includes schemes on hedging and synthesizing of maximum drawdown insurances, (cancelable) drawdown swap contracts and their earlier exercising premium, as well as optimal tr