000 03804nam a22005055i 4500
001 978-3-642-27931-7
003 DE-He213
005 20140220083310.0
007 cr nn 008mamaa
008 120203s2012 gw | s |||| 0|eng d
020 _a9783642279317
_9978-3-642-27931-7
024 7 _a10.1007/978-3-642-27931-7
_2doi
050 4 _aHG1-9999
072 7 _aKCBM
_2bicssc
072 7 _aKCLF
_2bicssc
072 7 _aBUS027000
_2bisacsh
082 0 4 _a332
_223
100 1 _aSornette, Didier.
_eeditor.
245 1 0 _aMarket Risk and Financial Markets Modeling
_h[electronic resource] /
_cedited by Didier Sornette, Sergey Ivliev, Hilary Woodard.
264 1 _aBerlin, Heidelberg :
_bSpringer Berlin Heidelberg,
_c2012.
300 _aIV, 263p. 70 illus., 10 illus. in color.
_bonline resource.
336 _atext
_btxt
_2rdacontent
337 _acomputer
_bc
_2rdamedia
338 _aonline resource
_bcr
_2rdacarrier
347 _atext file
_bPDF
_2rda
505 0 _aFinancial Market and Systemic Risks -- On the development of master in finance & it program in a perm state national research university.-Questions of top management to risk management.- Estimation of market resiliency from high-frequency micex shares trading data.-Market liquidity measurement and econometric modeling.-  Modeling of russian equity market microstructure (MICEX: HYDR case).- Asset pricing in a fractional market under transaction costs.- Influence of behavioral finance on the share market.-  Hedging with futures: multivariate dynamic conditional correlation GARCH.-  A note on the dynamics of hedge-fund-alpha determinants.- Equilibrium on the Interest Rate Market Analysis.- Term structure models.- Current trends in prudential regulation of market risk: from Basel I to Basel III -- Belarusian banking system: market risk factors -- The psychological aspects of human interactions through trading and risk management process -- Options: risk reducing or creating?.- Hierarchical and ultrametric models of financial crashes.- Catastrophe theory in forecasting financial crises -- A mathematical model for market manipulations.- Adaptation of world experience in insider dealing regulation to the specificity of the russian market -- Agent-based model of the stock market.- How can information on CDS contracts be used to estimate liquidity premium in the bond market.- Adelic theory of the stock market.
520 _aThe current financial crisis has revealed serious flaws in models, measures and, potentially, theories, that failed to provide forward-looking expectations for upcoming losses originated from market risks. The Proceedings of the Perm Winter School 2011 propose insights on many key issues and advances in financial markets modeling and risk measurement aiming to bridge the gap. The key addressed topics include: hierarchical and ultrametric models of financial crashes, dynamic hedging, arbitrage free modeling the term structure of interest rates, agent based modeling of order flow, asset pricing in a fractional market, hedge funds performance and many more.
650 0 _aEconomics.
650 0 _aEconomics
_xStatistics.
650 0 _aFinance.
650 0 _aConsciousness.
650 1 4 _aEconomics/Management Science.
650 2 4 _aFinancial Economics.
650 2 4 _aFinance/Investment/Banking.
650 2 4 _aStatistics for Business/Economics/Mathematical Finance/Insurance.
650 2 4 _aCognitive Psychology.
700 1 _aIvliev, Sergey.
_eeditor.
700 1 _aWoodard, Hilary.
_eeditor.
710 2 _aSpringerLink (Online service)
773 0 _tSpringer eBooks
776 0 8 _iPrinted edition:
_z9783642279300
856 4 0 _uhttp://dx.doi.org/10.1007/978-3-642-27931-7
912 _aZDB-2-SBE
999 _c102682
_d102682