Stochastic Drawdowns (Modern Trends in Financial Engineering)

Stochastic Drawdowns consists of some recent advances on Dr Hongzhong Zhang's own quantitative research of the well-known risk measures, drawdowns and maximum drawdowns. In this book, the author provides an extensive probabilistic study of different aspects of drawdown risks, which include the drawdown risk in finite time-horizons, the speed of market crashes (drawdowns), the frequency of drawdowns, the occupation time (time in distress), and the duration of drawdowns. Leveraging the knowledge in stochastic calculus, Lévy processes and optimal stopping, these topics can be considered as problems in advanced applied stochastic processes, and insurance/financial mathematics.

The book also offers a number of applications of drawdowns in financial risk management, insurance, and algorithmic trading, including schemes on hedging and synthesizing of maximum drawdown options, (cancellable) drawdown insurance contracts and their fair premium, as well as optimal trading under drawdown-type constraints such as trailing stops.

It is the goal of this book to offer a comprehensive characterization of drawdown risks and a handful of applications of drawdown in practice. On the one hand, the book enables interested students and researchers to learn the state-of-art probabilistic research on drawdowns, and explore new mathematical problems that are of practical importance to the financial industry. On the other hand, the book provides financial practitioners with access to a variety of analytically tractable measurements of drawdown risks, and the insight into hedging, optimal trading and execution amid challenges of these risks.

Readership: Senior undergraduate and graduate students equipped with the knowledge of stochastic processes and financial practitioners who are interested in optimal trading and execution.

Browse Our Catalog.

View More In Analysis & Strategy.

The passage of the National Currency Act of 1863 gave the United States its first uniform paper money, its first nationally chartered and supervised commercial banks, and its first modern regulatory agency: the Office of the Comptroller of the Curren...

Reflecting the fast pace and ever-evolving nature of the financial industry, the Handbook of High-Frequency Trading and Modeling in Finance details how high-frequency analysis presents new systematic approaches to implementing quantitative activities...

A clear and practical guide to using binary options to speculate, hedge, and trade Trading Binary Options is a strategic primer on effectively navigating this fast-growing segment. With clear explanations and a practical perspective, this authoritati...

Save big! The knowledge and practice investors need to conquer the options market―two powerful guides in one affordable package  You don’t need to enroll in an expensive investing course to get the theory, instruction, and practice you need to c...

Investment Analytics: Theory and Practice is a textbook designed for: Advanced undergraduates hoping to acquire a solid introduction to investment analytics used by the asset management industryGraduate students with backgrounds in engineering mathem...

The Reuters Financial Training Series An Introduction to Technical Analysis A new concept in financial education training, An Introduction to Technical Analysis guides novices through the fascinating and increasingly popular field of technical analys...

This book provides an introduction to investment appraisal and presents a range of methods and models, some of which are not widely known, or at least not well covered by other textbooks. Each approach is thoroughly described, evaluated and illustrat...

Quantitative Finance with R offers a winning strategy for devising expertly-crafted and workable trading models using the R open source programming language, providing readers with a step-by-step approach to understanding complex quantitative finance...

Understanding and applying complex modern financial models in real life scenarios, including the Black-Litterman model for constructing an optimal portfolio while incorporating personal views. This book provides an innovative, integrated, and methodi...

This book exposes and comments on the consequences of Reg NMS and MiFID on market microstructure. It covers changes in market design, electronic trading, and investor and trader behaviors. The emergence of high frequency trading and critical events l...