Series in Quantitative Finance, Book

Each financial crisis calls for — by its novelty and the mechanisms it shares with preceding crises — appropriate means to analyze financial risks. In Extreme Financial Risks and Asset Allocation, the authors present in an accessible and timely manner the concepts, methods, and techniques that are essential for an understanding of these risks in an environment where asset prices are subject to sudden, rough, and unpredictable changes.

This volume offers the reader practical methods to compute the option prices in the incomplete asset markets. The [GLP & MEMM] pricing models are clearly introduced, and the properties of these models are discussed in great detail.