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Other titles in the Springer Series in Operations Research and Financial Enginee series:
Risk and Portfolio Analysis: Principles and Methods (Springer Series in Operations Research and Financial Enginee)by Henrik Hult
Synopses & Reviews
Investment and risk management problems are fundamental problems for
This book offers principles and useful methods for making investment and risk management decisions in the presence of hedgeable and non-hedgeable risks using the simplest possible methods and models that capture the essential features of real-world problems.
About the Author
Henrik Hult is an associate professor at KTH Royal Institute of Technology in Stockholm, Sweden. Filip Lindskog is an associate professor at KTH Royal Institute of Technology in Stockholm, Sweden. Ola Hammarlid, PhD, is the Head of Quantitative Research at E. Öhman J:or Capital AB in Stockholm, Sweden. Carl Johan Rehn, PhD, is in Quantitative Research at E. Öhman J:or Capital AB in Stockholm, Sweden.
Table of Contents
Interest rates and financial derivatives .-Convex optimization . -Quadratic hedging principles. -Quadratic investment principles. -Utility based investment principles. -Risk measurement principles. -Empirical methods. -Parametric models and their tails. -Multivariate models.
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