Stochastic Drawdowns

Hongzhong Zhang
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Hongzhong Zhang: Columbia University, USA

Abstract: Stochastic Drawdowns

Keywords: Drawdown; Maximum Drawdown; Insurance; Optimal Trading (search for similar items in EconPapers)
JEL-codes: C02 G32 (search for similar items in EconPapers)
Date: 2018
ISBN: 9789813141636
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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https://www.worldscientific.com/worldscibooks/10.1142/10078 (text/html)
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Chapters in this book:

Ch 1 Introduction , pp 1-13: Zhang Hongzhong
Ch 2 Drawdowns Preceding Drawups in a Finite Time-Horizon , pp 17-40: Zhang Hongzhong
Ch 3 Drawdowns and the Speed of Market Crashes , pp 41-57: Zhang Hongzhong
Ch 4 Frequency of Drawdowns in a Brownian Motion Model , pp 59-80: Zhang Hongzhong
Ch 5 Occupation Times Related to Drawdowns , pp 81-97: Zhang Hongzhong
Ch 6 Duration of Drawdowns Under Lévy Models , pp 99-129: Zhang Hongzhong
Ch 7 Maximum Drawdown Insurance Using Options , pp 133-173: Zhang Hongzhong
Ch 8 Fair Premiums of Drawdown Insurances , pp 175-201: Zhang Hongzhong
Ch 9 Optimal Trading with a Trailing Stop , pp 203-223: Zhang Hongzhong

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