Probability Metrics Approach to Financial Risk Measures

Book Description

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.

Key Features

• 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