Stochastic Drawdowns (Modern Trends in Financial Engineering)

In particular, the author provides an extensive probabilistic study of several quantities related to drawdowns, which include the drawdown risk in finite time-horizons, the speed of market crashes (drawdowns), the occupation time (time in distress), and the duration of drawdowns. On the other hand, the book provides financial practitioners with access to a variety of tractable quantities related to drawdown risk, and a better understanding of optimal trading and execution amid challenges and risks.. This book also discusses the applications of drawdowns in detecting abrupt changes in drift of a price process.It is the goal of this book to fill the gap between theory and practice on drawdowns. On one hand, the book enables students and researchers to lea