Vor Ort
Merkzettel Warenkorb
  • Produktbild: Probability Metrics Approach
  • Produktbild: Probability Metrics Approach

Probability Metrics Approach

279,99 €

inkl. gesetzl. MwSt., Versandkostenfrei

Beschreibung

Produktdetails

Einband

Gebundene Ausgabe

Erscheinungsdatum

11.02.2011

Verlag

John Wiley & Sons Inc

Seitenzahl

392

Maße (L/B/H)

23,5/15,7/2,6 cm

Gewicht

719 g

Auflage

1. Auflage

Sprache

Englisch

ISBN

978-1-4051-8369-7

Beschreibung

Produktdetails

Einband

Gebundene Ausgabe

Erscheinungsdatum

11.02.2011

Verlag

John Wiley & Sons Inc

Seitenzahl

392

Maße (L/B/H)

23,5/15,7/2,6 cm

Gewicht

719 g

Auflage

1. Auflage

Sprache

Englisch

ISBN

978-1-4051-8369-7

Herstelleradresse

Libri GmbH
Europaallee 1
36244 Bad Hersfeld
DE

Email: gpsr@libri.de

Noch keine Bewertungen vorhanden

Verfassen Sie die erste Bewertung zu diesem Artikel

Helfen Sie anderen Kundinnen und Kunden durch Ihre Meinung.

Kundinnen und Kunden meinen

Bewertungen (0)
Die Leseprobe wird geladen.
  • Produktbild: Probability Metrics Approach
  • Produktbild: Probability Metrics Approach
  • Chapter 1 Introduction.
     
    1.1 Probability metrics.
     
    1.2 Applications in finance.
     
    Chapter 2 Probability distances and metrics.
     
    2.1 Introduction.
     
    2.2 Some examples of probability metrics.
     
    2.3 Distance and semidistance spaces.
     
    2.4 Definitions of probability distances and metrics.
     
    2.5 Summary.
     
    2.6 Technical appendix.
     
    Chapter 3 Choice under uncertainty.
     
    3.1 Introduction.
     
    3.2 Expected utility theory.
     
    3.3 Stochastic dominance.
     
    3.4 Probability metrics and stochastic dominance.
     
    3.5 Cumulative Prospect Theory.
     
    3.6 Summary.
     
    3.7 Technical appendix.
     
    Chapter 4 A classification of probability distances.
     
    4.1 Introduction.
     
    4.2 Primary distances and primary metrics.
     
    4.3 Simple distances and metrics.
     
    4.4 Compound distances and moment functions.
     
    4.5 Ideal probability metrics.
     
    4.6 Summary.
     
    4.7 Technical appendix.
     
    Chapter 5 Risk and uncertainty.
     
    5.1 Introduction.
     
    5.2 Measures of dispersion.
     
    5.3 Probability metrics and dispersion measures.
     
    5.4 Measures of risk.
     
    5.5 Risk measures and dispersion measures.
     
    5.6 Risk measures and stochastic orders.
     
    5.7 Summary.
     
    5.8 Technical appendix.
     
    Chapter 6 Average value-at-risk.
     
    6.1 Introduction.
     
    6.2 Average value-at-risk.
     
    6.2.1 AVaR for stable distributions.
     
    6.3 AVaR estimation from a sample.
     
    6.4 Computing portfolio AVaR in practice.
     
    6.5 Back-testing of AVaR.
     
    6.6 Spectral risk measures.
     
    6.7 Risk measures and probability metrics.
     
    6.8 Risk measures based on distortion functionals.
     
    6.9 Summary.
     
    6.10 Technical appendix.
     
    Chapter 7 Computing AVaR through Monte Carlo.
     
    7.1 Introduction.
     
    7.2 An illustration of Monte Carlo variability.
     
    7.3 Asymptotic distribution, classical conditions.
     
    7.4 Rate of convergence to the normal distribution.
     
    7.5 Asymptotic distribution, heavy-tailed returns.
     
    7.6 Rate of convergence, heavy-tailed returns.
     
    7.7 On the choice of a distributional model.
     
    7.8 Summary.
     
    7.9 Technical appendix.
     
    Chapter 8 Stochastic dominance revisited.
     
    8.1 Introduction.
     
    8.2 Metrization of preference relations.
     
    8.3 The Hausdorff metric structure.
     
    8.4 Examples.
     
    8.5 Utility-type representations.
     
    8.6 Almost stochastic orders and degree of violation.
     
    8.7 Summary.
     
    8.8 Technical appendix.