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Description
Stochastic DrawdownsStochastic 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
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, L
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