Model risk in financial markets :
xxvii, 353 pages : illustrations ; 24 cm. Content notes : 1. Introduction;
2. Fundamental Relationships;
3. Model Risk in Interest Rate Modelling;
4. Arbitrage Theory;
5. Derivatives Pricing Under Uncertainty;
6. Portfolio Selection under Uncertainty;
7. Probability Pitfalls of Financial Calculus;
8. Model Risk in Risk Measures Calculations;
9. Parameter Estimation Risk;
10. Computational Problems;
11. Portfolio Selection Using the Sharpe Ratio;
12. Bayesian Calibration for Low Frequency Data;
13. MCMC Estimation of Credit Risk Measures;
14. Last But Not Least. Can We Avoid the Next Big Systemic Financial Crisis?;
15. Notations for the study of MLE for CIR process. Risk management. Financial engineering.
