Multi-Asset Risk Modeling: Techniques for a Global Economy in an Electronic and Algorithmic Trading Era

Multi-Asset Risk Modeling: Techniques for a Global Economy in an Electronic and Algorithmic Trading Era

Morton Glantz, Robert Kissell


Multi-Asset hazard Modeling describes, in one quantity, the most recent and such a lot complicated possibility modeling ideas for equities, debt, mounted source of revenue, futures and derivatives, commodities, and foreign currency echange, in addition to complex algorithmic and digital possibility administration. starting with the basics of chance arithmetic and quantitative probability research, the e-book strikes directly to speak about the legislation in general types that contributed to the 2008 monetary situation and talks approximately present and destiny banking rules. Importantly, it additionally explores algorithmic buying and selling, which at present gets sparse consciousness within the literature. by way of giving coherent concepts approximately which statistical versions to take advantage of for which asset category, this booklet makes a true contribution to the sciences of portfolio administration and danger management.

  • Covers all asset sessions
  • Provides mathematical theoretical reasons of chance in addition to functional examples with empirical data
  • Includes sections on fairness hazard modeling, futures and derivatives, credits markets, foreign currency, and commodities

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