Valuation of Financial Instruments
The value of portfolio g at time T, denoted by g[w(T)], is given with: $$ g[w(T)] = \sum\limits_{i = 1}^I {\theta _i g_i } [w(T)], $$ (4.1) where g i [w(T)] denotes the value of the i th investment and θ i stands for the quantity of the i th investment (a
- PDF / 24,523,920 Bytes
- 281 Pages / 439.37 x 666.14 pts Page_size
- 25 Downloads / 286 Views
504
Founding Editors: M. Beckmann H. P. Kiinzi Managing Editors: Prof. Dr. G. Fandel Fachbereich Wirtschaftswissenschaften Fernuniversität Hagen Feithstr. 140/AVZ II,58084 Hagen, Germany Prof. Dr. W. Trockel Institut für Mathematische Wirtschaftsforschung (IMW) Universität Bielefeld Universitätsstr. 25, 33615 Bielefeld, Germany Co-Editors: C. D. Aliprantis, Dan Kovenock
Editorial Board: P. Bardsley, A. Basile, M.R. Baye, T. Cason, R. Deneckere, A. Drexl, G. Feichtinger, M. Florenzano, W. Giith, K. Inderfurth, M. Kaneko, P. Korhonen, W. Kiirsten, M. Li Calzi, P. K. Monteiro, Ch. Noussair, G. Philips, U. Schittko, P. Schönfeld, R. Selten, G. Sorger, R. Steuer, F. Vega-Redondo, A. P. Villamil, M. Wooders
Springer-V erlag Berlin Heidelberg GmbH
Pierre-Yves Moix
The Measurement of Market Risk Modelling of Risk Factors, Asset Pricing, and Approximation of Portfolio Distributions
Springer
Author Dr. Pierre-Yves Moix, CFA Untere Torfeldstrasse 52 5033 Buchs/AG Switzerland
Cataloging-in-Publication data applied for Die Deutsche Bibliothek - CIP-Einheitsaufnahme Moix, Pierre-Yves: The measurement of market risk : modelling of risk factors, asset pricing, and approximation of portfolio distributions / Pierre-Yves Moix. - Berlin; Heidelberg ; New York; Barcelona; Hong Kong ; London ; Milan ; Paris; Singapore; Tokyo: Springer, 2001 (Lecture notes in economics and mathematical systems ; 504) ISBN 978-3-540-42143-6 ISBN 978-3-642-56481-9 (eBook) DOI 10.1007/978-3-642-56481-9
ISSN 0075-8450
This work is subject to copyright. AII rights are reserved, whether the whole or part of the material is concerned, specifically the rights of translation, reprinting, re-use of i lIustrations, recitation, broadcasting, reproduction on microfilms or in any other way, and storage in data banks. Duplication of this publication or parts thereof is permitted only under the provisions of the German Copyright Law of September 9, 1965, in its current version, and permis sion for use must always be obtained from Springer-Verlag. Violations are liable for prosecution under the German Copyright Law. http://www.springer.de
© Springer-Verlag Berlin Heidelberg 2001 Originally published by Springer-Verlag Berlin Heidelberg New York in 2001 The use of general descriptive names, registered names, trademarks, etc. in this publication does not imply, even in the absence of a specific statement, that such names are exempt from the relevant protective laws and regulations and therefore free for general use. Typesetting: Camera ready by author/editors Cover design: design & production, Heidelberg Printed on acid-free paper
SPIN: 10840038
55/3142/du
543210
To
Sophie Rose, Susanne, Marie-Rose and Gerard To the memory of my onele
Ernest Moix (1927-1999)
a
((L )absence est l)amour ce qu)est au feu le vent; il eteint le petit et allume le grand)) Roger de Bussy-Rabuttin "Histoire amoureuse de GauZes"
Preface
This book is a revised version of my doctoral dissertation submitted to the University of St. Gallen in October 1999. I would like to than
