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Innovations in Quantitative Risk Management

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Book Series: Springer Proceedings in Mathematics & Statistics ISSN: 21941009 ISBN: 9783319091136 9783319091143 Year: Volume: 99 Pages: 438 DOI: 10.1007/978-3-319-09114-3 Language: English
Publisher: Springer
Subject: Business and Management
Added to DOAB on : 2015-07-15 16:03:26
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Quantitative Finance; Game Theory, Economics, Social and Behav. Sciences; Finance/Investment/Banking; Actuarial Sciences

Innovations in Derivatives Markets: Fixed Income Modeling, Valuation Adjustments, Risk Management, and Regulation

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Book Series: Springer Proceedings in Mathematics & Statistics ISSN: 2194-1009 ISBN: 9783319334455 9783319334462 Year: Volume: 165 Pages: 449 DOI: 10.1007/978-3-319-33446-2 Language: English
Publisher: Springer
Subject: Mechanical Engineering --- Therapeutics --- Biotechnology --- Business and Management --- Chemical Technology
Added to DOAB on : 2017-03-08 12:08:06
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This book presents 20 peer-reviewed chapters on current aspects of derivatives markets and derivative pricing. The contributions, written by leading researchers in the field as well as experienced authors from the financial industry, present the state of the art in:• Modeling counterparty credit risk: credit valuation adjustment, debit valuation adjustment, funding valuation adjustment, and wrong way risk.• Pricing and hedging in fixed-income markets and multi-curve interest-rate modeling.• Recent developments concerning contingent convertible bonds, the measuring of basis spreads, and the modeling of implied correlations.The recent financial crisis has cast tremendous doubts on the classical view on derivative pricing. Now, counterparty credit risk and liquidity issues are integral aspects of a prudent valuation procedure and the reference interest rates are represented by a multitude of curves according to their different periods and maturities.A panel discussion included in the book (featuring Damiano Brigo, Christian Fries, John Hull, and Daniel Sommer) on the foundations of modeling and pricing in the presence of counterparty credit risk provides intriguing insights on the debate.

Innovations in Insurance, Risk- and Asset Management:Proceedings of the Innovations in Insurance, Risk- and Asset Management Conference Innovations in Insurance, Risk- and Asset Management

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ISBN: 9789813272569 Year: DOI: 10.1142/11051 Language: ENG
Publisher: World Scientific Publishing Co.
Added to DOAB on : 2019-01-23 02:22:36
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This book covers recent developments in the interdisciplinary fields of actuarial science, quantitative finance, risk- and asset management. The authors are leading experts from academia and practice who participated in Innovations in Insurance, Risk- and Asset Management, an international conference held at the Technical University of Munich in 2017.The topics covered include the mathematics of extreme risks, systemic risk, model uncertainty, interest rate and hybrid models, alternative investments, dynamic investment strategies, quantitative risk management, asset liability management, liability driven investments, and behavioral finance.This timely selection of topics is highly relevant for the financial industry and addresses current issues both from an academic as well as from a practitioner's point of view.

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