Полное описание

Münnix, M. C. Studies of Credit and Equity Markets with Concepts of Theoretical Physics : монография / by Michael C. Münnix. - Wiesbaden : Vieweg+Teubner, 2011. - on-line. - URL: http://dx.doi.org/10.1007/978-3-8348-8328-5. - Загл. с экрана. - ISBN 978-3-8348-8328-5. - Текст : электронный.

ГРНТИ	УДК
06.73.35	336.763

Рубрики:
mathematics
economics, Mathematical
mathematics
quantitative Finance

Аннотация: Financial markets are becoming increasingly complex. The financial crisis of 2008 to 2009 has demonstrated that an improved understanding of the mechanisms embedded in the market is a key requirement for the estimation of financial risk. Recently, concepts of theoretical physics, in particular concepts of complex systems, have proven to be very useful in this regard. Michael C. Münnix analyses the statistical dependencies in financial markets and develops mathematical models using concepts and methods from physics. The author focuses on aspects that played a key role in the emergence of the recent financial crisis: estimation of credit risk, dynamics of statistical dependencies, and correlations on small time-scales. He visualizes the findings for various large-scale empirical studies of market data. The results give novel insights into the mechanisms of financial markets and allow conclusions on how to reduce financial risk significantly.

http://dx.doi.org/10.1007/978-3-8348-8328-5

Держатели документа:
Государственная публичная научно-техническая библиотека России : 123298, г. Москва, ул. 3-я Хорошевская, д. 17 (Шифр в БД-источнике (KATBW): -531078746)

Шифр в сводном ЭК: e317a1c0bbaaa9647a9799d59e3625eb

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