A Probability Metrics Approach to Financial Risk Measures relates the field of probability metrics and risk measures to one another and applies them to finance for the first time.
- Helps to answer the question: which risk measure is best for a given problem?
- Finds new relations between existing classes of risk measures
- Describes applications in finance and extends them where possible
- Presents the theory of probability metrics in a more accessible form which would be appropriate for non-specialists in the field
- Applications include optimal portfolio choice, risk theory, and numerical methods in finance
- Topics requiring more mathematical rigor and detail are included in technical appendices to chapters
- ISBN10 1405183691
- ISBN13 9781405183697
- Publish Date 21 January 2011 (first published 1 January 2011)
- Publish Status Active
- Publish Country US
- Publisher John Wiley and Sons Ltd
- Imprint Wiley-Blackwell
- Format Hardcover
- Pages 392
- Language English