Download or read book Consistency Problems for Heath Jarrow Morton Interest Rate Models written by Damir Filipovic and published by Springer. This book was released on 2004-11-02 with total page 138 pages. Available in PDF, EPUB and Kindle. Book excerpt: Bond markets differ in one fundamental aspect from standard stock markets. While the latter are built up to a finite number of trade assets, the underlying basis of a bond market is the entire term structure of interest rates: an infinite-dimensional variable which is not directly observable. On the empirical side, this necessitates curve-fitting methods for the daily estimation of the term structure. Pricing models, on the other hand, are usually built upon stochastic factors representing the term structure in a finite-dimensional state space. Written for readers with knowledge in mathematical finance (in particular interest rate theory) and elementary stochastic analysis, this research monograph has threefold aims: to bring together estimation methods and factor models for interest rates, to provide appropriate consistency conditions and to explore some important examples.

Download or read book Modeling the Term Structure of Interest Rates written by Rajna Gibson and published by Now Publishers Inc. This book was released on 2010 with total page 171 pages. Available in PDF, EPUB and Kindle. Book excerpt: Modeling the Term Structure of Interest Rates provides a comprehensive review of the continuous-time modeling techniques of the term structure applicable to value and hedge default-free bonds and other interest rate derivatives.

Download or read book Handbooks in Operations Research and Management Science Financial Engineering written by John R. Birge and published by Elsevier. This book was released on 2007-11-16 with total page 1026 pages. Available in PDF, EPUB and Kindle. Book excerpt: The remarkable growth of financial markets over the past decades has been accompanied by an equally remarkable explosion in financial engineering, the interdisciplinary field focusing on applications of mathematical and statistical modeling and computational technology to problems in the financial services industry. The goals of financial engineering research are to develop empirically realistic stochastic models describing dynamics of financial risk variables, such as asset prices, foreign exchange rates, and interest rates, and to develop analytical, computational and statistical methods and tools to implement the models and employ them to design and evaluate financial products and processes to manage risk and to meet financial goals. This handbook describes the latest developments in this rapidly evolving field in the areas of modeling and pricing financial derivatives, building models of interest rates and credit risk, pricing and hedging in incomplete markets, risk management, and portfolio optimization. Leading researchers in each of these areas provide their perspective on the state of the art in terms of analysis, computation, and practical relevance. The authors describe essential results to date, fundamental methods and tools, as well as new views of the existing literature, opportunities, and challenges for future research.

Download or read book Paris Princeton Lectures on Mathematical Finance 2003 written by Tomasz R. Bielecki and published by Springer. This book was released on 2004-08-30 with total page 254 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Paris-Princeton Lectures in Financial Mathematics, of which this is the second volume, will, on an annual basis, publish cutting-edge research in self-contained, expository articles from outstanding - established or upcoming! - specialists. The aim is to produce a series of articles that can serve as an introductory reference for research in the field. It arises as a result of frequent exchanges between the finance and financial mathematics groups in Paris and Princeton. This volume presents the following articles: "Hedging of Defaultable Claims" by T. Bielecki, M. Jeanblanc, and M. Rutkowski; "On the Geometry of Interest Rate Models" by T. Björk; "Heterogeneous Beliefs, Speculation and Trading in Financial Markets" by J.A. Scheinkman, and W. Xiong.

Download or read book The LIBOR Market Model in Practice written by Dariusz Gatarek and published by John Wiley & Sons. This book was released on 2007-01-30 with total page 290 pages. Available in PDF, EPUB and Kindle. Book excerpt: The LIBOR Market Model (LMM) is the first model of interest rates dynamics consistent with the market practice of pricing interest rate derivatives and therefore it is widely used by financial institution for valuation of interest rate derivatives. This book provides a full practitioner's approach to the LIBOR Market Model. It adopts the specific language of a quantitative analyst to the largest possible level and is one of first books on the subject written entirely by quants. The book is divided into three parts - theory, calibration and simulation. New and important issues are covered, such as various drift approximations, various parametric and nonparametric calibrations, and the uncertain volatility approach to smile modelling; a version of the HJM model based on market observables and the duality between BGM and HJM models. Co-authored by Dariusz Gatarek, the 'G' in the BGM model who is internationally known for his work on LIBOR market models, this book offers an essential perspective on the global benchmark for short-term interest rates.

Download or read book Equity Hybrid Derivatives written by Marcus Overhaus and published by John Wiley & Sons. This book was released on 2007-02-02 with total page 337 pages. Available in PDF, EPUB and Kindle. Book excerpt: Take an in-depth look at equity hybrid derivatives. Written by the quantitative research team of Deutsche Bank, the world leader in innovative equity derivative transactions, this book presents leading-edge thinking in modeling, valuing, and hedging for this market, which is increasingly used for investment by hedge funds. You'll gain a balanced, integrated presentation of theory and practice, with an emphasis on understanding new techniques for analyzing volatility and credit derivative transactions linked to equity. In every instance, theory is illustrated along with practical application. Marcus Overhaus, PhD, is Managing Director and Global Head of Quantitative Research and Equity Structuring. Ana Bermudez, PhD, is an Associate in Global Quantitative Research. Hans Buehler, PhD, is a Vice President in Global Quantitative Research. Andrew Ferraris, DPhil, is a Managing Director in Global Quantitative Research. Christopher Jordinson, PhD, is a Vice President in Global Quantitative Research. Aziz Lamnouar, DEA, is a Vice President in Global Quantitative Research. All are associated with Deutsche Bank AG, London.

Download or read book Current Trends in Operator Theory and its Applications written by Joseph A. Ball and published by Birkhäuser. This book was released on 2012-12-06 with total page 604 pages. Available in PDF, EPUB and Kindle. Book excerpt: Many developments on the cutting edge of research in operator theory and its applications are reflected in this collection of original and review articles. Particular emphasis lies on highlighting the interplay between operator theory and applications from other areas, such as multi-dimensional systems and function theory of several complex variables, distributed parameter systems and control theory, mathematical physics, wavelets, and numerical analysis.

Download or read book Term Structure Models written by Damir Filipovic and published by Springer Science & Business Media. This book was released on 2009-07-28 with total page 259 pages. Available in PDF, EPUB and Kindle. Book excerpt: Changing interest rates constitute one of the major risk sources for banks, insurance companies, and other financial institutions. Modeling the term-structure movements of interest rates is a challenging task. This volume gives an introduction to the mathematics of term-structure models in continuous time. It includes practical aspects for fixed-income markets such as day-count conventions, duration of coupon-paying bonds and yield curve construction; arbitrage theory; short-rate models; the Heath-Jarrow-Morton methodology; consistent term-structure parametrizations; affine diffusion processes and option pricing with Fourier transform; LIBOR market models; and credit risk. The focus is on a mathematically straightforward but rigorous development of the theory. Students, researchers and practitioners will find this volume very useful. Each chapter ends with a set of exercises, that provides source for homework and exam questions. Readers are expected to be familiar with elementary Itô calculus, basic probability theory, and real and complex analysis.

Download or read book Stochastic Calculus for Finance II written by Steven E. Shreve and published by Springer Science & Business Media. This book was released on 2004-06-03 with total page 586 pages. Available in PDF, EPUB and Kindle. Book excerpt: "A wonderful display of the use of mathematical probability to derive a large set of results from a small set of assumptions. In summary, this is a well-written text that treats the key classical models of finance through an applied probability approach....It should serve as an excellent introduction for anyone studying the mathematics of the classical theory of finance." --SIAM

Download or read book Risk and Financial Management written by Charles S. Tapiero and published by John Wiley & Sons. This book was released on 2004-04-23 with total page 364 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial risk management has become a popular practice amongst financial institutions to protect against the adverse effects of uncertainty caused by fluctuations in interest rates, exchange rates, commodity prices, and equity prices. New financial instruments and mathematical techniques are continuously developed and introduced in financial practice. These techniques are being used by an increasing number of firms, traders and financial risk managers across various industries. Risk and Financial Management: Mathematical and Computational Methods confronts the many issues and controversies, and explains the fundamental concepts that underpin financial risk management. Provides a comprehensive introduction to the core topics of risk and financial management. Adopts a pragmatic approach, focused on computational, rather than just theoretical, methods. Bridges the gap between theory and practice in financial risk management Includes coverage of utility theory, probability, options and derivatives, stochastic volatility and value at risk. Suitable for students of risk, mathematical finance, and financial risk management, and finance practitioners. Includes extensive reference lists, applications and suggestions for further reading. Risk and Financial Management: Mathematical and Computational Methods is ideally suited to both students of mathematical finance with little background in economics and finance, and students of financial risk management, as well as finance practitioners requiring a clearer understanding of the mathematical and computational methods they use every day. It combines the required level of rigor, to support the theoretical developments, with a practical flavour through many examples and applications.

Download or read book New Frontiers in Enterprise Risk Management written by David L. Olson and published by Springer Science & Business Media. This book was released on 2008-04-13 with total page 233 pages. Available in PDF, EPUB and Kindle. Book excerpt: Risk management has become a critical part of doing business in the twenty-first century. This book is a collection of material about enterprise risk management, and the role of risk in decision making. Part I introduces the topic of enterprise risk management. Part II presents enterprise risk management from perspectives of finance, accounting, insurance, supply chain operations, and project management. Technology tools are addressed in Part III, including financial models of risk as well as accounting aspects, using data envelopment analysis, neural network tools for credit risk evaluation, and real option analysis applied to information techn- ogy outsourcing. In Part IV, three chapters present enterprise risk management experience in China, including banking, chemical plant operations, and information technology. Lincoln, USA David L. Olson Toronto, Canada Desheng Wu February 2008 v Contents Part I Preliminary 1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3 David L. Olson & Desheng Wu 2 The Human Reaction to Risk and Opportunity . . . . . . . . . . . . . . . . . . . 7 David R. Koenig Part II ERM Perspectives 3 Enterprise Risk Management: Financial and Accounting Perspectives . . . . . . . . . . . . . . . . . . . . . . . . . . 25 Desheng Wu & David L. Olson 4 An Empirical Study on Enterprise Risk Management in Insurance . . 39 Madhusudan Acharyya 5 Supply Chain Risk Management . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 57 David L. Olson & Desheng Wu 6 Two Polar Concept of Project Risk Management. . . . . . . . . . . . . . . . . . 69 Seyed Mohammad Seyedhoseini, Siamak Noori & Mohammed AliHatefi Part III ERM Technologies 7 The Mathematics of Risk Transfer. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 95 Marcos Escobar & Luis Seco 8 Stable Models in Risk Management. . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Download or read book Finance at Fields written by Matheus R Grasselli and published by World Scientific. This book was released on 2012-09-18 with total page 600 pages. Available in PDF, EPUB and Kindle. Book excerpt: This outstanding collection of articles includes papers presented at the Fields Institute, Toronto, as part of the Thematic Program in Quantitative Finance that took place in the first six months of the year 2010. The scope of the volume in very broad, including papers on foundational issues in mathematical finance, papers on computational finance, and papers on derivatives and risk management. Many of the articles contain path-breaking insights that are relevant to the developing new order of post-crisis financial risk management. Contents:Preface: Reflections on the Crisis and a Glimpse at the Future of Mathematical Finance (Matheus R Grasselli and Lane P Hughston)Heat Kernel Interest Rate Models with Time-Inhomogeneous Markov Processes (Jirô Akahori and Andrea Macrina)Stress Testing the Resilience of Financial Networks (Hamed Amini, Rama Cont and Andreea Minca)Managing Corporate Liquidity: Strategies and Pricing Implications (Attakrit Asvanunt, Mark Broadie and Suresh Sundaresan)Valuation and Hedging of CDS Counterparty Exposure in a Markov Copula Model (T R Bielecki, S Crépey, M Jeanblanc and B Zargari)Information-Based Asset Pricing (Dorje C Brody, Lane P Hughston and Andrea Macrina)Tangent Models as a Mathematical Framework for Dynamic Calibration (René Carmona and Sergey Nadtochiy)Composition of Time-Consistent Dynamic Monetary Risk Measures in Discrete Time (Patrick Cheridito and Michael Kupper)Target Volatility Option Pricing (Giuseppe Di Graziano and Lorenzo Torricelli)Conditional Density Models for Asset Pricing (Damir Filipović, Lane P Hughston and Andrea Macrina)Monetary Valuation of Cash Flows Under Knightian Uncertainty (Hans Föllmer and Irina Penner)Portfolio Optimization Under Partial Information with Expert Opinions (Rüdiger Frey, Abdelali Gabih and Ralf Wunderlich)On the Penalty Function and on Continuity Properties of Risk Measures (Marco Frittelli and Emanuela Rosazza Gianin)Conditional Certainty Equivalent (Marco Frittelli and Marco Maggis)Pricing of Perpetual American Options in a Model with Partial Information (Pavel V Gapeev)Optimal Investment on Finite Horizon with Random Discrete Order Flow in Illiquid Markets (Paul Gassiat, Huyên Pham and Mihai Sîrbu)Optimal Trade Execution Under Geometric Brownian Motion in the Almgren and Chriss Framework (Jim Gatheral and Alexander Schied)The Heat-Kernel Most-Likely-Path Approximation (Jim Gatheral and Tai-Ho Wang)Forward and Future Implied Volatility (Paul Glasserman and Qi Wu)Absolutely Continuous Compensators (Svante Janson, Sokhna M'Baye and Philip Protter)Conic Finance and the Corporate Balance Sheet (Dilip B Madan and Wim Schoutens)Optimal Exercise of an Executive Stock Option by an Insider (Michael Monoyios and Andrew Ng)Initial Investment Choice and Optimal Future Allocations Under Time-Monotone Performance Criteria (M Musiela and T Zariphopoulou)Performance of Robust Hedges for Digital Double Barrier Options (Jan Obłój and Frédérik Ulmer)CDO Term Structure Modelling with Lévy Processes and the Relation to Market Models (Thorsten Schmidt and Jerzy Zabczyk) Readership: Students, academic researchers in mathematical finance, financial economics, and risk management; financial market professionals. Keywords:Mathematical Finance;Financial Mathematics;Risk Management;Asset Pricing;Computational Finance;Derivatives;Option Pricing;Portfolio OptimizationKey Features:Covers a wide range of topics of current interest in mathematical finance and its applicationsContributors include many of the most well-known active participants in the field of modern mathematical financeWritten in part under the stimulus of the events of the financial crisis, and as such is representative of the progressive developments that have ensued both as a consequence of and as a reaction to the crisis

Download or read book Continuous Time Asset Pricing Theory written by Robert A. Jarrow and published by Springer Nature. This book was released on 2021-07-30 with total page 470 pages. Available in PDF, EPUB and Kindle. Book excerpt: Asset pricing theory yields deep insights into crucial market phenomena such as stock market bubbles. Now in a newly revised and updated edition, this textbook guides the reader through this theory and its applications to markets. The new edition features ​new results on state dependent preferences, a characterization of market efficiency and a more general presentation of multiple-factor models using only the assumptions of no arbitrage and no dominance. Taking an innovative approach based on martingales, the book presents advanced techniques of mathematical finance in a business and economics context, covering a range of relevant topics such as derivatives pricing and hedging, systematic risk, portfolio optimization, market efficiency, and equilibrium pricing models. For applications to high dimensional statistics and machine learning, new multi-factor models are given. This new edition integrates suicide trading strategies into the understanding of asset price bubbles, greatly enriching the overall presentation and further strengthening the book’s underlying theme of economic bubbles. Written by a leading expert in risk management, Continuous-Time Asset Pricing Theory is the first textbook on asset pricing theory with a martingale approach. Based on the author’s extensive teaching and research experience on the topic, it is particularly well suited for graduate students in business and economics with a strong mathematical background.

Download or read book Paris Princeton Lectures on Mathematical Finance 2004 written by René Carmona and published by Springer. This book was released on 2007-08-10 with total page 248 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is the third volume in the Paris-Princeton Lectures in Financial Mathematics, which publishes, on an annual basis, cutting-edge research in self-contained, expository articles from outstanding specialists, both established and upcoming. Coverage includes articles by René Carmona, Ivar Ekeland/Erik Taflin, Arturo Kohatsu-Higa, Pierre-Louis Lions/Jean-Michel Lasry, and Huyên Pham.

Download or read book A First Course in Quantitative Finance written by Thomas Mazzoni and published by Cambridge University Press. This book was released on 2018-03-22 with total page 599 pages. Available in PDF, EPUB and Kindle. Book excerpt: This new and exciting book offers a fresh approach to quantitative finance and utilises novel features, including stereoscopic images which permit 3D visualisation of complex subjects without the need for additional tools. Offering an integrated approach to the subject, A First Course in Quantitative Finance introduces students to the architecture of complete financial markets before exploring the concepts and models of modern portfolio theory, derivative pricing and fixed income products in both complete and incomplete market settings. Subjects are organised throughout in a way that encourages a gradual and parallel learning process of both the economic concepts and their mathematical descriptions, framed by additional perspectives from classical utility theory, financial economics and behavioural finance. Suitable for postgraduate students studying courses in quantitative finance, financial engineering and financial econometrics as part of an economics, finance, econometric or mathematics program, this book contains all necessary theoretical and mathematical concepts and numerical methods, as well as the necessary programming code for porting algorithms onto a computer.

Download or read book HJM Interest Rate Models with Fractional Brownian Motions written by Alberto Ohashi and published by . This book was released on 2007 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Stochastic Cauchy Problems in Infinite Dimensions written by Irina V. Melnikova and published by CRC Press. This book was released on 2018-09-03 with total page 232 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stochastic Cauchy Problems in Infinite Dimensions: Generalized and Regularized Solutions presents stochastic differential equations for random processes with values in Hilbert spaces. Accessible to non-specialists, the book explores how modern semi-group and distribution methods relate to the methods of infinite-dimensional stochastic analysis. It also shows how the idea of regularization in a broad sense pervades all these methods and is useful for numerical realization and applications of the theory. The book presents generalized solutions to the Cauchy problem in its initial form with white noise processes in spaces of distributions. It also covers the "classical" approach to stochastic problems involving the solution of corresponding integral equations. The first part of the text gives a self-contained introduction to modern semi-group and abstract distribution methods for solving the homogeneous (deterministic) Cauchy problem. In the second part, the author solves stochastic problems using semi-group and distribution methods as well as the methods of infinite-dimensional stochastic analysis.