Fractal Asset Pricing Models for Financial Risk Management
The article presents the analysis findings of the problems and prospects of using the fractal markets theory to mathematically predict the price dynamics of assets as part of a financial risk management strategy. The aim of the article is to find out the features of value of bank assets and to devel...
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| Format: | Article |
| Language: | Russian |
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Government of the Russian Federation, Financial University
2019-12-01
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| Series: | Финансы: теория и практика |
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| Online Access: | https://financetp.fa.ru/jour/article/view/931 |
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| _version_ | 1849409910411886592 |
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| author | I. Z. Yarygina V. B. Gisin B. A. Putko |
| author_facet | I. Z. Yarygina V. B. Gisin B. A. Putko |
| author_sort | I. Z. Yarygina |
| collection | DOAJ |
| description | The article presents the analysis findings of the problems and prospects of using the fractal markets theory to mathematically predict the price dynamics of assets as part of a financial risk management strategy. The aim of the article is to find out the features of value of bank assets and to develop recommendations for assessing financial risks based on mathematical methods for forecasting economic processes. Theoretical and empirical research methods were used to achieve the aim. The article reveals the features of mathematical modeling of economic processes related to asset pricing in a volatile market. It was proved that using financial mathematics in banking contributes to the stable development of the economy. Mathematical modeling of the price dynamics of financial assets is based on a substantive hypothesis and supported by an adequate apparatus of fractal pair pricing models in order to reveal specific market relations of business entities. According to the authors, the prospects of using forecast models to minimize the financial risks of derivative financial instruments are positive. The authors concluded that the considered methods contribute to managing financial risks and improving forecasts, including operations with derivatives. Besides, the studied fractal volatility parameters proved the predictive power regarding extreme events in financial markets, such as the bankruptcy of Lehman Brothers investment bank in 2008. The relevance of the article is due to the fact that the favorable investment climate and the use of modern financing methods largely depend on the effective financial risk management. |
| format | Article |
| id | doaj-art-23af6c1ffc3740d98181dfe26c05ffd3 |
| institution | Kabale University |
| issn | 2587-5671 2587-7089 |
| language | Russian |
| publishDate | 2019-12-01 |
| publisher | Government of the Russian Federation, Financial University |
| record_format | Article |
| series | Финансы: теория и практика |
| spelling | doaj-art-23af6c1ffc3740d98181dfe26c05ffd32025-08-20T03:35:20ZrusGovernment of the Russian Federation, Financial UniversityФинансы: теория и практика2587-56712587-70892019-12-0123611713010.26794/2587-5671-2019-23-6-117-130752Fractal Asset Pricing Models for Financial Risk ManagementI. Z. Yarygina0V. B. Gisin1B. A. Putko2Financial UniversityFinancial UniversityFinancial UniversityThe article presents the analysis findings of the problems and prospects of using the fractal markets theory to mathematically predict the price dynamics of assets as part of a financial risk management strategy. The aim of the article is to find out the features of value of bank assets and to develop recommendations for assessing financial risks based on mathematical methods for forecasting economic processes. Theoretical and empirical research methods were used to achieve the aim. The article reveals the features of mathematical modeling of economic processes related to asset pricing in a volatile market. It was proved that using financial mathematics in banking contributes to the stable development of the economy. Mathematical modeling of the price dynamics of financial assets is based on a substantive hypothesis and supported by an adequate apparatus of fractal pair pricing models in order to reveal specific market relations of business entities. According to the authors, the prospects of using forecast models to minimize the financial risks of derivative financial instruments are positive. The authors concluded that the considered methods contribute to managing financial risks and improving forecasts, including operations with derivatives. Besides, the studied fractal volatility parameters proved the predictive power regarding extreme events in financial markets, such as the bankruptcy of Lehman Brothers investment bank in 2008. The relevance of the article is due to the fact that the favorable investment climate and the use of modern financing methods largely depend on the effective financial risk management.https://financetp.fa.ru/jour/article/view/931bankingasset valuationeconomic and mathematical methodsfinancial risk managementhedging |
| spellingShingle | I. Z. Yarygina V. B. Gisin B. A. Putko Fractal Asset Pricing Models for Financial Risk Management Финансы: теория и практика banking asset valuation economic and mathematical methods financial risk management hedging |
| title | Fractal Asset Pricing Models for Financial Risk Management |
| title_full | Fractal Asset Pricing Models for Financial Risk Management |
| title_fullStr | Fractal Asset Pricing Models for Financial Risk Management |
| title_full_unstemmed | Fractal Asset Pricing Models for Financial Risk Management |
| title_short | Fractal Asset Pricing Models for Financial Risk Management |
| title_sort | fractal asset pricing models for financial risk management |
| topic | banking asset valuation economic and mathematical methods financial risk management hedging |
| url | https://financetp.fa.ru/jour/article/view/931 |
| work_keys_str_mv | AT izyarygina fractalassetpricingmodelsforfinancialriskmanagement AT vbgisin fractalassetpricingmodelsforfinancialriskmanagement AT baputko fractalassetpricingmodelsforfinancialriskmanagement |