Book description
This new book uses advanced signal processing technology to measure and analyze risk phenomena of the financial markets. It explains how to scientifically measure, analyze and manage non-stationarity and long-term time dependence (long memory) of financial market returns. It studies, in particular, financial crises in persistent financial markets, such as stock, bond and real estate market, and turbulence in antipersistent financial markets, such as anchor currency markets. It uses Windowed Fourier and Wavelet Multiresolution Analysis to measure the degrees of persistence of these complex markets, by computing monofractal Hurst exponents and multifractal singularity spectra. It explains how and why financial crises and financial turbulence may occur in the various markets and why we may have to reconsider the current wave of term structure modeling based on affine models. It also uses these persistence measurements to improve the financial risk management of global investment funds, via numerical simulations of the nonlinear diffusion equations describing the underlying high frequency dynamic pricing processes.Table of contents
- Cover
- Half Title
- Routledge International Studies in Money and Banking
- Full Title
- Copyright
- Dedication
- Contents
- List of figures
- List of tables
- Preface
- Introduction
-
PART I Financial risk processes
- 1 Risk — asset class, horizon and time
- 2 Competing financial market hypotheses
-
3 Stable scaling distributions in finance
- 3.1 Introduction
- 3.2 Affine traces of speculative prices
- 3.3 Invariant properties: stationarity versus scaling
- 3.4 Invariances of (Pareto—Lévy) scaling distributions
- 3.5 Zolotarev parametrization of stable distributions
- 3.6 Examples of closed form stable distributions
- 3.7 Stable parameter estimation and diagnostics
- 3.8 Software
- 3.9 Exercises
- 4 Persistence of financial risk
- PART II Financial risk measurement
-
PART III Term structure dynamics
- 9 Chaos — nonunique equilibria processes
- 10 Measuring term structure dynamics
-
11 Simulation of financial turbulence
- 11.1 Introduction
- 11.2 Theories of physical and financial turbulence
- 11.3 Measurement and simulation of turbulence
- 11.4 Simulation of financial cash flow turbulence
- 11.5 Multiresolution analysis of financial turbulence
- 11.6 Wavelet solutions of financial diffusion equations
- 11.7 Software
- 11.8 Exercises
- PART IV Financial risk management
- Appendix A: original scaling in financial economics
- Appendix B: S&P500 daily closing prices for 1988
- Index
Product information
- Title: Financial Market Risk
- Author(s):
- Release date: June 2013
- Publisher(s): Routledge
- ISBN: 9781134469314
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