Key Features:This book offers an excellent synthesis of the academic literature in a clear, ordered, and intuitive wayThe continuous-time theory of the choice of portfolio is exposed with particular care when asset dynamics are modeled with processes admitting a jump component. This is a...

The Basle 2 Capital Accord issued by the Basle Committee on banking supervision has proposed a multiplier superior to 3 on banks' internal 99% 10-day Value-at-Risk calculated for market risk exposure. This ad hoc factor has not been fully explained and is poorly justified by arguing that the...