Stochastic drawdowns:
"Stochastic Drawdowns consists of some recent advances on Dr Hongzhong Zhang's own quantitative research of the well-known risk measures, drawdowns and maximum drawdowns. In this book, the author provides an extensive probabilistic study of different aspects of drawdown risks, which includ...
Saved in:
| Main Author: | |
|---|---|
| Format: | Electronic eBook |
| Language: | English |
| Published: |
Singapore
World Scientific Publishing Company Pte Limited
2018
|
| Subjects: | |
| Online Access: | UBY01 Volltext |
| Summary: | "Stochastic Drawdowns consists of some recent advances on Dr Hongzhong Zhang's own quantitative research of the well-known risk measures, drawdowns and maximum drawdowns. In this book, the author provides an extensive probabilistic study of different aspects of drawdown risks, which include the drawdown risk in finite time-horizons, the speed of market crashes (drawdowns), the frequency of drawdowns, the occupation time (time in distress), and the duration of drawdowns. Leveraging the knowledge in stochastic calculus, Lévy processes and optimal stopping, these topics can be considered as problems in advanced applied stochastic processes, and insurance/financial mathematics. The book also offers a number of applications of drawdowns in financial risk management, insurance, and algorithmic trading, including schemes on hedging and synthesizing of maximum drawdown options, (cancellable) drawdown insurance contracts and their fair premium, as well as optimal trading under drawdown-type constraints such as trailing stops. It is the goal of this book to offer a comprehensive characterization of drawdown risks and a handful of applications of drawdown in practice. On the one hand, the book enables interested students and researchers to learn the state-of-art probabilistic research on drawdowns, and explore new mathematical problems that are of practical importance to the financial industry. On the other hand, the book provides financial practitioners with access to a variety of analytically tractable measurements of drawdown risks, and the insight into hedging, optimal trading and execution amid challenges of these risks."-- |
| Item Description: | Includes bibliographical references and index |
| Physical Description: | 1 online resource (257 pages) illustrations |
| ISBN: | 9789813141643 |
Staff View
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| 520 | |a "Stochastic Drawdowns consists of some recent advances on Dr Hongzhong Zhang's own quantitative research of the well-known risk measures, drawdowns and maximum drawdowns. In this book, the author provides an extensive probabilistic study of different aspects of drawdown risks, which include the drawdown risk in finite time-horizons, the speed of market crashes (drawdowns), the frequency of drawdowns, the occupation time (time in distress), and the duration of drawdowns. Leveraging the knowledge in stochastic calculus, Lévy processes and optimal stopping, these topics can be considered as problems in advanced applied stochastic processes, and insurance/financial mathematics. The book also offers a number of applications of drawdowns in financial risk management, insurance, and algorithmic trading, including schemes on hedging and synthesizing of maximum drawdown options, (cancellable) drawdown insurance contracts and their fair premium, as well as optimal trading under drawdown-type constraints such as trailing stops. It is the goal of this book to offer a comprehensive characterization of drawdown risks and a handful of applications of drawdown in practice. On the one hand, the book enables interested students and researchers to learn the state-of-art probabilistic research on drawdowns, and explore new mathematical problems that are of practical importance to the financial industry. On the other hand, the book provides financial practitioners with access to a variety of analytically tractable measurements of drawdown risks, and the insight into hedging, optimal trading and execution amid challenges of these risks."-- | ||
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Record in the Search Index
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| author | Zhang, Hongzhong 1981- |
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| dewey-full | 332.01/51923 |
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| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.01/51923 |
| dewey-search | 332.01/51923 |
| dewey-sort | 3332.01 551923 |
| dewey-tens | 330 - Economics |
| discipline | Mathematik Wirtschaftswissenschaften |
| discipline_str_mv | Mathematik Wirtschaftswissenschaften |
| format | Electronic eBook |
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| id | DE-604.BV046809661 |
| illustrated | Illustrated |
| index_date | 2024-07-03T14:58:37Z |
| indexdate | 2024-07-10T08:54:27Z |
| institution | BVB |
| isbn | 9789813141643 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-032218251 |
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| physical | 1 online resource (257 pages) illustrations |
| psigel | ZDB-124-WOP |
| publishDate | 2018 |
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| publisher | World Scientific Publishing Company Pte Limited |
| record_format | marc |
| spelling | Zhang, Hongzhong 1981- aut Stochastic drawdowns Hongzhong Zhang Singapore World Scientific Publishing Company Pte Limited 2018 1 online resource (257 pages) illustrations txt rdacontent c rdamedia cr rdacarrier Includes bibliographical references and index "Stochastic Drawdowns consists of some recent advances on Dr Hongzhong Zhang's own quantitative research of the well-known risk measures, drawdowns and maximum drawdowns. In this book, the author provides an extensive probabilistic study of different aspects of drawdown risks, which include the drawdown risk in finite time-horizons, the speed of market crashes (drawdowns), the frequency of drawdowns, the occupation time (time in distress), and the duration of drawdowns. Leveraging the knowledge in stochastic calculus, Lévy processes and optimal stopping, these topics can be considered as problems in advanced applied stochastic processes, and insurance/financial mathematics. The book also offers a number of applications of drawdowns in financial risk management, insurance, and algorithmic trading, including schemes on hedging and synthesizing of maximum drawdown options, (cancellable) drawdown insurance contracts and their fair premium, as well as optimal trading under drawdown-type constraints such as trailing stops. It is the goal of this book to offer a comprehensive characterization of drawdown risks and a handful of applications of drawdown in practice. On the one hand, the book enables interested students and researchers to learn the state-of-art probabilistic research on drawdowns, and explore new mathematical problems that are of practical importance to the financial industry. On the other hand, the book provides financial practitioners with access to a variety of analytically tractable measurements of drawdown risks, and the insight into hedging, optimal trading and execution amid challenges of these risks."-- Finance / Mathematical models Electronic books Verlust (DE-588)4187879-6 gnd rswk-swf Stochastischer Prozess (DE-588)4057630-9 gnd rswk-swf Risikomanagement (DE-588)4121590-4 gnd rswk-swf Kreditmarkt (DE-588)4073788-3 gnd rswk-swf Finanzmathematik (DE-588)4017195-4 gnd rswk-swf Verlust (DE-588)4187879-6 s Risikomanagement (DE-588)4121590-4 s Kreditmarkt (DE-588)4073788-3 s Stochastischer Prozess (DE-588)4057630-9 s Finanzmathematik (DE-588)4017195-4 s DE-604 Erscheint auch als Druck-Ausgabe 9789813141636 http://www.worldscientific.com/worldscibooks/10.1142/10078 Verlag URL des Erstveröffentlichers Volltext |
| spellingShingle | Zhang, Hongzhong 1981- Stochastic drawdowns Finance / Mathematical models Electronic books Verlust (DE-588)4187879-6 gnd Stochastischer Prozess (DE-588)4057630-9 gnd Risikomanagement (DE-588)4121590-4 gnd Kreditmarkt (DE-588)4073788-3 gnd Finanzmathematik (DE-588)4017195-4 gnd |
| subject_GND | (DE-588)4187879-6 (DE-588)4057630-9 (DE-588)4121590-4 (DE-588)4073788-3 (DE-588)4017195-4 |
| title | Stochastic drawdowns |
| title_auth | Stochastic drawdowns |
| title_exact_search | Stochastic drawdowns |
| title_exact_search_txtP | Stochastic drawdowns |
| title_full | Stochastic drawdowns Hongzhong Zhang |
| title_fullStr | Stochastic drawdowns Hongzhong Zhang |
| title_full_unstemmed | Stochastic drawdowns Hongzhong Zhang |
| title_short | Stochastic drawdowns |
| title_sort | stochastic drawdowns |
| topic | Finance / Mathematical models Electronic books Verlust (DE-588)4187879-6 gnd Stochastischer Prozess (DE-588)4057630-9 gnd Risikomanagement (DE-588)4121590-4 gnd Kreditmarkt (DE-588)4073788-3 gnd Finanzmathematik (DE-588)4017195-4 gnd |
| topic_facet | Finance / Mathematical models Electronic books Verlust Stochastischer Prozess Risikomanagement Kreditmarkt Finanzmathematik |
| url | http://www.worldscientific.com/worldscibooks/10.1142/10078 |
| work_keys_str_mv | AT zhanghongzhong stochasticdrawdowns |