The measurement of market risk. Modelling of risk factors, asset pricing, and approximation of portfolio distributions

zbMATH Open0972.91059MaRDI QIDQ5938835

Pierre-Yves Moix

Publication date: 7 August 2001

Published in: Lecture Notes in Economics and Mathematical Systems (Search for Journal in Brave)

zbMATH Keywords

optionsvalue-at-riskarbitrageDelta approximationfinancial riskfuturesmarket riskportfolio distributionrisk measurevaluation

Mathematics Subject Classification ID

Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02)

Related Items (6)

Title not available (Why is that?) ⋮ Title not available (Why is that?) ⋮ MEASURING MODEL RISK IN FINANCIAL RISK MANAGEMENT AND PRICING ⋮ Title not available (Why is that?) ⋮ Determination of risk pricing measures from market prices of risk ⋮ Title not available (Why is that?)

This page was built for publication: The measurement of market risk. Modelling of risk factors, asset pricing, and approximation of portfolio distributions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5938835)