Książki

Stochastic Drawdowns consists of some recent advances on Hongzhong Zhang's own quantitative research of the well-known risk measures, drawdowns and maximum drawdowns.

Stochastic Drawdowns

Introduction; Mathematical Theory of Drawdowns: Drawdown Risks of Diffusion Type Models; Drawdown Risks of Processes with Jumps; Applications: Maximum Drawdown Insurance; Drawdown Swaps and Their Earlier Exercise Premium; Optimal Trading Under a Trailing Stop Constraint; Application of Drawdowns in Detecting Abrupt Changes;