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Rethinking Valuation and Pricing Models

Author: Carsten Wehn

Publisher: Academic Press

Published: 2012-11-08

Total Pages: 658

ISBN-13: 0124158757

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It is widely acknowledged that many financial modelling techniques failed during the financial crisis, and in our post-crisis environment many techniques are being reconsidered. This single volume provides a guide to lessons learned for practitioners and a reference for academics. Including reviews of traditional approaches, real examples, and case studies, contributors consider portfolio theory; methods for valuing equities and equity derivatives, interest rate derivatives, and hybrid products; and techniques for calculating risks and implementing investment strategies. Describing new approaches without losing sight of their classical antecedents, this collection of original articles presents a timely perspective on our post-crisis paradigm. Highlights pre-crisis best classical practices, identifies post-crisis key issues, and examines emerging approaches to solving those issues Singles out key factors one must consider when valuing or calculating risks in the post-crisis environment Presents material in a homogenous, practical, clear, and not overly technical manner

Book Synopsis Rethinking Valuation and Pricing Models by : Carsten Wehn

Download or read book Rethinking Valuation and Pricing Models written by Carsten Wehn and published by Academic Press. This book was released on 2012-11-08 with total page 658 pages. Available in PDF, EPUB and Kindle. Book excerpt: It is widely acknowledged that many financial modelling techniques failed during the financial crisis, and in our post-crisis environment many techniques are being reconsidered. This single volume provides a guide to lessons learned for practitioners and a reference for academics. Including reviews of traditional approaches, real examples, and case studies, contributors consider portfolio theory; methods for valuing equities and equity derivatives, interest rate derivatives, and hybrid products; and techniques for calculating risks and implementing investment strategies. Describing new approaches without losing sight of their classical antecedents, this collection of original articles presents a timely perspective on our post-crisis paradigm. Highlights pre-crisis best classical practices, identifies post-crisis key issues, and examines emerging approaches to solving those issues Singles out key factors one must consider when valuing or calculating risks in the post-crisis environment Presents material in a homogenous, practical, clear, and not overly technical manner

Mathematical and Statistical Methods for Actuarial Sciences and Finance

Author: Marco Corazza

Publisher: Springer

Published: 2014-08-06

Total Pages: 312

ISBN-13: 331902499X

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The interaction between mathematicians and statisticians has been shown to be an effective approach for dealing with actuarial, insurance and financial problems, both from an academic perspective and from an operative one. The collection of original papers presented in this volume pursues precisely this purpose. It covers a wide variety of subjects in actuarial, insurance and finance fields, all treated in the light of the successful cooperation between the above two quantitative approaches. The papers published in this volume present theoretical and methodological contributions and their applications to real contexts. With respect to the theoretical and methodological contributions, some of the considered areas of investigation are: actuarial models; alternative testing approaches; behavioral finance; clustering techniques; coherent and non-coherent risk measures; credit scoring approaches; data envelopment analysis; dynamic stochastic programming; financial contagion models; financial ratios; intelligent financial trading systems; mixture normality approaches; Monte Carlo-based methods; multicriteria methods; nonlinear parameter estimation techniques; nonlinear threshold models; particle swarm optimization; performance measures; portfolio optimization; pricing methods for structured and non-structured derivatives; risk management; skewed distribution analysis; solvency analysis; stochastic actuarial valuation methods; variable selection models; time series analysis tools. As regards the applications, they are related to real problems associated, among the others, to: banks; collateralized fund obligations; credit portfolios; defined benefit pension plans; double-indexed pension annuities; efficient-market hypothesis; exchange markets; financial time series; firms; hedge funds; non-life insurance companies; returns distributions; socially responsible mutual funds; unit-linked contracts. This book is aimed at academics, Ph.D. students, practitioners, professionals and researchers. But it will also be of interest to readers with some quantitative background knowledge.

Book Synopsis Mathematical and Statistical Methods for Actuarial Sciences and Finance by : Marco Corazza

Download or read book Mathematical and Statistical Methods for Actuarial Sciences and Finance written by Marco Corazza and published by Springer. This book was released on 2014-08-06 with total page 312 pages. Available in PDF, EPUB and Kindle. Book excerpt: The interaction between mathematicians and statisticians has been shown to be an effective approach for dealing with actuarial, insurance and financial problems, both from an academic perspective and from an operative one. The collection of original papers presented in this volume pursues precisely this purpose. It covers a wide variety of subjects in actuarial, insurance and finance fields, all treated in the light of the successful cooperation between the above two quantitative approaches. The papers published in this volume present theoretical and methodological contributions and their applications to real contexts. With respect to the theoretical and methodological contributions, some of the considered areas of investigation are: actuarial models; alternative testing approaches; behavioral finance; clustering techniques; coherent and non-coherent risk measures; credit scoring approaches; data envelopment analysis; dynamic stochastic programming; financial contagion models; financial ratios; intelligent financial trading systems; mixture normality approaches; Monte Carlo-based methods; multicriteria methods; nonlinear parameter estimation techniques; nonlinear threshold models; particle swarm optimization; performance measures; portfolio optimization; pricing methods for structured and non-structured derivatives; risk management; skewed distribution analysis; solvency analysis; stochastic actuarial valuation methods; variable selection models; time series analysis tools. As regards the applications, they are related to real problems associated, among the others, to: banks; collateralized fund obligations; credit portfolios; defined benefit pension plans; double-indexed pension annuities; efficient-market hypothesis; exchange markets; financial time series; firms; hedge funds; non-life insurance companies; returns distributions; socially responsible mutual funds; unit-linked contracts. This book is aimed at academics, Ph.D. students, practitioners, professionals and researchers. But it will also be of interest to readers with some quantitative background knowledge.

The Price of Fixed Income Market Volatility

Author: Antonio Mele

Publisher: Springer

Published: 2016-01-11

Total Pages: 250

ISBN-13: 3319265237

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Fixed income volatility and equity volatility evolve heterogeneously over time, co-moving disproportionately during periods of global imbalances and each reacting to events of different nature. While the methodology for options-based "model-free" pricing of equity volatility has been known for some time, little is known about analogous methodologies for pricing various fixed income volatilities. This book fills this gap and provides a unified evaluation framework of fixed income volatility while dealing with disparate markets such as interest-rate swaps, government bonds, time-deposits and credit. It develops model-free, forward looking indexes of fixed-income volatility that match different quoting conventions across various markets, and uncovers subtle yet important pitfalls arising from naïve superimpositions of the standard equity volatility methodology when pricing various fixed income volatilities.

Book Synopsis The Price of Fixed Income Market Volatility by : Antonio Mele

Download or read book The Price of Fixed Income Market Volatility written by Antonio Mele and published by Springer. This book was released on 2016-01-11 with total page 250 pages. Available in PDF, EPUB and Kindle. Book excerpt: Fixed income volatility and equity volatility evolve heterogeneously over time, co-moving disproportionately during periods of global imbalances and each reacting to events of different nature. While the methodology for options-based "model-free" pricing of equity volatility has been known for some time, little is known about analogous methodologies for pricing various fixed income volatilities. This book fills this gap and provides a unified evaluation framework of fixed income volatility while dealing with disparate markets such as interest-rate swaps, government bonds, time-deposits and credit. It develops model-free, forward looking indexes of fixed-income volatility that match different quoting conventions across various markets, and uncovers subtle yet important pitfalls arising from naïve superimpositions of the standard equity volatility methodology when pricing various fixed income volatilities.

Market Research in Practice

Author: Paul Hague

Publisher: Kogan Page Publishers

Published: 2021-11-03

Total Pages: 393

ISBN-13: 1398602833

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Learn the fundamentals of market research with this bestselling guide that delivers an overview of the whole process, from planning a project and executing it, what tools to use, through to analysis and presenting the findings. Market Research in Practice provides a practical and robust introduction to the subject, providing a clear step-by-step guide to managing market research and how to effectively to obtain the most reliable results. Written by an industry expert with over 35 years' practical experience in running a successful market research agency, tips and advice are included throughout to ground the concepts in business reality. This text also benefits from real-world examples from companies including Adidas, Marks & Spencer, Grohe and General Motors. Now in its fourth edition, Market Research in Practice is now fully updated to capture the latest changes and developments in the field and explores new tools of qualitative research using online methods as well as expanding further on online surveys such as SurveyMonkey. Accompanied by a range of templates, surveys and resources for lecturers, this is an invaluable guide for students of research methods, researchers, marketers and users of market research.

Book Synopsis Market Research in Practice by : Paul Hague

Download or read book Market Research in Practice written by Paul Hague and published by Kogan Page Publishers. This book was released on 2021-11-03 with total page 393 pages. Available in PDF, EPUB and Kindle. Book excerpt: Learn the fundamentals of market research with this bestselling guide that delivers an overview of the whole process, from planning a project and executing it, what tools to use, through to analysis and presenting the findings. Market Research in Practice provides a practical and robust introduction to the subject, providing a clear step-by-step guide to managing market research and how to effectively to obtain the most reliable results. Written by an industry expert with over 35 years' practical experience in running a successful market research agency, tips and advice are included throughout to ground the concepts in business reality. This text also benefits from real-world examples from companies including Adidas, Marks & Spencer, Grohe and General Motors. Now in its fourth edition, Market Research in Practice is now fully updated to capture the latest changes and developments in the field and explores new tools of qualitative research using online methods as well as expanding further on online surveys such as SurveyMonkey. Accompanied by a range of templates, surveys and resources for lecturers, this is an invaluable guide for students of research methods, researchers, marketers and users of market research.

The Risk Modeling Evaluation Handbook: Rethinking Financial Risk Management Methodologies in the Global Capital Markets

Author: Greg N. Gregoriou

Publisher: McGraw Hill Professional

Published: 2010-02-12

Total Pages: 529

ISBN-13: 0071663711

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Addresses newly exposed weaknesses of financial risk models in the context of market stress scenarios This will be the definitive book for readers looking to improve their approach to modeling financial risk

Book Synopsis The Risk Modeling Evaluation Handbook: Rethinking Financial Risk Management Methodologies in the Global Capital Markets by : Greg N. Gregoriou

Download or read book The Risk Modeling Evaluation Handbook: Rethinking Financial Risk Management Methodologies in the Global Capital Markets written by Greg N. Gregoriou and published by McGraw Hill Professional. This book was released on 2010-02-12 with total page 529 pages. Available in PDF, EPUB and Kindle. Book excerpt: Addresses newly exposed weaknesses of financial risk models in the context of market stress scenarios This will be the definitive book for readers looking to improve their approach to modeling financial risk

Bayesian Model Comparison

Author: Ivan Jeliazkov

Publisher: Emerald Group Publishing

Published: 2014-11-21

Total Pages: 390

ISBN-13: 1784411841

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This volume of Advances in Econometrics 34 focusses on Bayesian model comparison. It reflects the recent progress in model building and evaluation that has been achieved in the Bayesian paradigm and provides new state-of-the-art techniques, methodology, and findings that should stimulate future research.

Book Synopsis Bayesian Model Comparison by : Ivan Jeliazkov

Download or read book Bayesian Model Comparison written by Ivan Jeliazkov and published by Emerald Group Publishing. This book was released on 2014-11-21 with total page 390 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume of Advances in Econometrics 34 focusses on Bayesian model comparison. It reflects the recent progress in model building and evaluation that has been achieved in the Bayesian paradigm and provides new state-of-the-art techniques, methodology, and findings that should stimulate future research.

Introduction to Econophysics

Author: Carlo Requião da Cunha

Publisher: CRC Press

Published: 2021-10-29

Total Pages: 218

ISBN-13: 1000464237

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Econophysics explores the parallels between physics and economics and is an exciting topic that is attracting increasing attention. However there is a lack of literature that explains the topic from a broad perspective. This book introduces advanced undergraduates and graduate students in physics and engineering to the topic from this outlook, and is accompanied by rigorous mathematics which ensures that this will also be a good guide for established researchers in the field as well as researchers from other fields, such as mathematics and statistics, who are interested in the topic. Key features: Presents a multidisciplinary approach that will be of interest to students and researchers from physics, engineering, mathematics, statistics, and other physical sciences Accompanied by Python code with further learning opportunities, available for readers to download from the CRC Press website. Accessible to both students and researchers Carlo R. da Cunha is an associate professor of physics and engineering physics at the Universidade Federal do Rio Grande do Sul (Brazil) and has been since 2011. Dr. da Cunha received his M.Sc. Degree from the West Virginia University in 2001 and his Ph.D. degree from Arizona State University in 2005. He was a postdoctoral researcher at McGill University in Canada in 2006 and an assistant professor of engineering at the University Federal de Santa Catarina between 2007 and 2011. He has been a guest professor at the Technische Universität Wien (Austria), Chiba University (Japan) and Arizona State University (US). His research revolves around the physics of complex systems where he has been drawing parallels between physical and economic systems from quantum to social levels. To access additional resources please take a lookhere.

Book Synopsis Introduction to Econophysics by : Carlo Requião da Cunha

Download or read book Introduction to Econophysics written by Carlo Requião da Cunha and published by CRC Press. This book was released on 2021-10-29 with total page 218 pages. Available in PDF, EPUB and Kindle. Book excerpt: Econophysics explores the parallels between physics and economics and is an exciting topic that is attracting increasing attention. However there is a lack of literature that explains the topic from a broad perspective. This book introduces advanced undergraduates and graduate students in physics and engineering to the topic from this outlook, and is accompanied by rigorous mathematics which ensures that this will also be a good guide for established researchers in the field as well as researchers from other fields, such as mathematics and statistics, who are interested in the topic. Key features: Presents a multidisciplinary approach that will be of interest to students and researchers from physics, engineering, mathematics, statistics, and other physical sciences Accompanied by Python code with further learning opportunities, available for readers to download from the CRC Press website. Accessible to both students and researchers Carlo R. da Cunha is an associate professor of physics and engineering physics at the Universidade Federal do Rio Grande do Sul (Brazil) and has been since 2011. Dr. da Cunha received his M.Sc. Degree from the West Virginia University in 2001 and his Ph.D. degree from Arizona State University in 2005. He was a postdoctoral researcher at McGill University in Canada in 2006 and an assistant professor of engineering at the University Federal de Santa Catarina between 2007 and 2011. He has been a guest professor at the Technische Universität Wien (Austria), Chiba University (Japan) and Arizona State University (US). His research revolves around the physics of complex systems where he has been drawing parallels between physical and economic systems from quantum to social levels. To access additional resources please take a lookhere.

Artificial Neural Networks for Renewable Energy Systems and Real-World Applications

Author: Ammar Hamed Elsheikh

Publisher: Academic Press

Published: 2022-09-08

Total Pages: 290

ISBN-13: 0128231866

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Artificial Neural Networks for Renewable Energy Systems and Real-World Applications presents current trends for the solution of complex engineering problems in the application, modeling, analysis, and optimization of different energy systems and manufacturing processes. With growing research catering to the applications of neural networks in specific industrial applications, this reference provides a single resource catering to a broader perspective of ANN in renewable energy systems and manufacturing processes. ANN-based methods have attracted the attention of scientists and researchers in different engineering and industrial disciplines, making this book a useful reference for all researchers and engineers interested in artificial networks, renewable energy systems, and manufacturing process analysis. Includes illustrative examples on the design and development of ANNS for renewable and manufacturing applications Features computer-aided simulations presented as algorithms, pseudocodes and flowcharts Covers ANN theory for easy reference in subsequent technology specific sections

Book Synopsis Artificial Neural Networks for Renewable Energy Systems and Real-World Applications by : Ammar Hamed Elsheikh

Download or read book Artificial Neural Networks for Renewable Energy Systems and Real-World Applications written by Ammar Hamed Elsheikh and published by Academic Press. This book was released on 2022-09-08 with total page 290 pages. Available in PDF, EPUB and Kindle. Book excerpt: Artificial Neural Networks for Renewable Energy Systems and Real-World Applications presents current trends for the solution of complex engineering problems in the application, modeling, analysis, and optimization of different energy systems and manufacturing processes. With growing research catering to the applications of neural networks in specific industrial applications, this reference provides a single resource catering to a broader perspective of ANN in renewable energy systems and manufacturing processes. ANN-based methods have attracted the attention of scientists and researchers in different engineering and industrial disciplines, making this book a useful reference for all researchers and engineers interested in artificial networks, renewable energy systems, and manufacturing process analysis. Includes illustrative examples on the design and development of ANNS for renewable and manufacturing applications Features computer-aided simulations presented as algorithms, pseudocodes and flowcharts Covers ANN theory for easy reference in subsequent technology specific sections

Systemic Risk Tomography

Author: Monica Billio

Publisher: Elsevier

Published: 2016-11-25

Total Pages: 300

ISBN-13: 0081011768

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In April 2010 Europe was shocked by the Greek financial turmoil. At that time, the global financial crisis, which started in the summer of 2007 and reached systemic dimensions in September 2008 with the Lehman Brothers’ crash, took a new course. An adverse feedback loop between sovereign and bank risks reflected into bubble-like spreads, as if financial markets had received a wake-up call concerning the disregarded structural vulnerability of economies at risk. These events inspired the SYRTO project to “think and rethink the economic and financial system and to conceive it as an “ensemble of Sovereigns and Banks with other Financial Intermediaries and Corporations. Systemic Risk Tomography: Signals, Measurement and Transmission Channels proposes a novel way to explore the financial system by sectioning each part of it and analyzing all relevant inter-relationships. The financial system is inspected as a biological entity to identify the main risk signals and to provide the correct measures of prevention and intervention. Explores the economic and financial system of Sovereigns, Banks, other Financial Intermediaries, and Corporations Presents the financial system as a biological entity to be explored in order to identify the main risk signals and provide the right measures of prevention and interventions Offers a new, systemic-based approach to construct a hierarchical, internally coherent framework to be used in developing an effective early warning system

Book Synopsis Systemic Risk Tomography by : Monica Billio

Download or read book Systemic Risk Tomography written by Monica Billio and published by Elsevier. This book was released on 2016-11-25 with total page 300 pages. Available in PDF, EPUB and Kindle. Book excerpt: In April 2010 Europe was shocked by the Greek financial turmoil. At that time, the global financial crisis, which started in the summer of 2007 and reached systemic dimensions in September 2008 with the Lehman Brothers’ crash, took a new course. An adverse feedback loop between sovereign and bank risks reflected into bubble-like spreads, as if financial markets had received a wake-up call concerning the disregarded structural vulnerability of economies at risk. These events inspired the SYRTO project to “think and rethink the economic and financial system and to conceive it as an “ensemble of Sovereigns and Banks with other Financial Intermediaries and Corporations. Systemic Risk Tomography: Signals, Measurement and Transmission Channels proposes a novel way to explore the financial system by sectioning each part of it and analyzing all relevant inter-relationships. The financial system is inspected as a biological entity to identify the main risk signals and to provide the correct measures of prevention and intervention. Explores the economic and financial system of Sovereigns, Banks, other Financial Intermediaries, and Corporations Presents the financial system as a biological entity to be explored in order to identify the main risk signals and provide the right measures of prevention and interventions Offers a new, systemic-based approach to construct a hierarchical, internally coherent framework to be used in developing an effective early warning system

Topics in Statistical Simulation

Author: V.B. Melas

Publisher: Springer

Published: 2014-12-05

Total Pages: 531

ISBN-13: 1493921045

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The Department of Statistical Sciences of the University of Bologna in collaboration with the Department of Management and Engineering of the University of Padova, the Department of Statistical Modelling of Saint Petersburg State University, and INFORMS Simulation Society sponsored the Seventh Workshop on Simulation. This international conference was devoted to statistical techniques in stochastic simulation, data collection, analysis of scientific experiments, and studies representing broad areas of interest. The previous workshops took place in St. Petersburg, Russia in 1994, 1996, 1998, 2001, 2005, and 2009. The Seventh Workshop took place in the Rimini Campus of the University of Bologna, which is in Rimini’s historical center.

Book Synopsis Topics in Statistical Simulation by : V.B. Melas

Download or read book Topics in Statistical Simulation written by V.B. Melas and published by Springer. This book was released on 2014-12-05 with total page 531 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Department of Statistical Sciences of the University of Bologna in collaboration with the Department of Management and Engineering of the University of Padova, the Department of Statistical Modelling of Saint Petersburg State University, and INFORMS Simulation Society sponsored the Seventh Workshop on Simulation. This international conference was devoted to statistical techniques in stochastic simulation, data collection, analysis of scientific experiments, and studies representing broad areas of interest. The previous workshops took place in St. Petersburg, Russia in 1994, 1996, 1998, 2001, 2005, and 2009. The Seventh Workshop took place in the Rimini Campus of the University of Bologna, which is in Rimini’s historical center.