Bayesian risk management :

000SB:332.0415
Se463

137007

Sekerke, Matt, Bayesian risk management : a guide to model risk and sequential learning in financial markets / Matt Sekerke. - New Jersey : John Wiley & Sons, Inc., ©2015.
xiv, 219 p. : illustrations ; 24 cm. - (Wiley finance series ) Content notes : 1. Models for discontinuous markets --
Part I: Capturing uncertainty in statstical models --
2. Prior knowledge, parameter uncertainty, and estimation --
3. Model uncertainty --
Part II: Sequential learning with adaptive statistical models --
4. Introduction to sequential modeling --
5. Bayesian inference in state-space time series models --
6. Sequential Monte Carlo inference --
Part III: Sequential models of financial risk --
7. Volatility modeling --
8. Asset-pricing models and hedging --
Part IV: Bayesian risk management --
9. From risk measurement to risk management. 9781118708606 * Finance - Mathematical models. Financial risk management - Mathematical models. Bayesian statistical decision theory. * Series