Stochastic Drawdowns
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Book Overview Stochastic Drawdowns consists of some recent advances on Dr Hongzhong Zhang's own quantitative research of the well-known risk measures, ...
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, L
Book Details Format: Hardcover | Pages: 256 | Language: English | Publisher: WORLD SCIENTIFIC PUB CO INC | ISBN: 9813141638
FormatHardcover
Pages256
LanguageEnglish
ISBN9813141638
EAN9789813141636
PublisherWORLD SCIENTIFIC PUB CO INC
Publication Date1970-01-01
AccessoriesNo Accessory
ConditionNew
Product TypeHARD COVER BOOKS
Weight1.13 Pounds
Length9.0 Inches
Width6.0 Inches
Height0.63 Inches
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