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Econometrics and risk management [[electronic resource] /] / edited by Jean-Pierre Fouque, Thomas B. Fomby, Knut Solna
| Econometrics and risk management [[electronic resource] /] / edited by Jean-Pierre Fouque, Thomas B. Fomby, Knut Solna |
| Pubbl/distr/stampa | Bingley, : Emerald, 2008 |
| Descrizione fisica | 1 online resource (302 p.) |
| Disciplina | 330.015195 |
| Altri autori (Persone) |
FombyThomas B
FouqueJean-Pierre SolnaKnut |
| Collana | Advances in econometrics |
| Soggetto topico |
Credit derivatives - Mathematical models
Credit - Mathematical models Econometrics Risk management - Mathematical models |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-280-77108-9
9786613681850 1-84855-197-5 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Front Cover; Econometrics and Risk Management; Copyright Page; Contents; List of Contributors; Introduction; Chapter 1. Fast Solution of the Gaussian Copula Model; 1. Introduction; 2. The Synthetic CDO Structure; 3. Valuation Assumptions; 4. The Model; 5. Pricing; 6. A Decomposition; 7. Intrinsic Simplicity of the Intrinsic Value; 8. Time Stability of the Time Value; 9. The Time Value Computation; References; Chapter 2. An Empirical Study of Pricing and Hedging Collateralized Debt Obligation (CDO); 1. Introduction to Collateralized Debt Obligation; 2. Methodology of Pricing CDO
3. Methodology of Calculating Default Delta Sensitivity4. Empirical Results; 5. Conclusions; Note; References; Chapter 3. The Skewed t Distribution for Portfolio Credit Risk; 1. Introduction; 2. Skewed t Distributions and the EM Algorithm; 3. Copulas; 4. Measures of Dependence; 5. Single Name Credit Risk; 6. Portfolio Credit Risk; 7. Pricing of Basket Credit Default Swaps: Elliptical Copulas Versus the Skewed t Distribution; 8. Summary and Concluding Remarks; References; Chapter 4. Credit Risk Dependence Modeling with Dynamic Copula: An Application to CDO Tranches; 1. Introduction 2. Dynamic Archimedean Copula Processes3. Specific Dynamic Archimedean Copula Process; 4. Pricing of a Correlation Product: CDO; 5. Conclusions; Notes; References; Chapter 5. Perturbed Gaussian Copula; 1. Asymptotics; 2. Density of the Perturbed Copula; 3. Conclusion; References; Appendix. Explicit Formulas; Chapter 6. The Determinants of Default Correlations; 1. Introduction; 2. A Brief Digression on Measures of Dependence; 3. Default Risk and Correlations; 4. Data and Methodology; 5. Empirical Evidence; 6. Conclusion; Notes; Acknowledgment; References; Appendix A. Structural Models Appendix B. Factor AnalysisChapter 7. Data Mining Procedures in Generalized Cox Regressions; 1. Introduction; 2. Part I: Generalized Cox Regression with Time-Independent Covariates; 3. Part II: Generalized Cox Regression with Time-Dependent and Hidden Covariates; 4. Concluding Remarks; Notes; Acknowledgments; References; Appendix A. Counting and Intensity Processes; Appendix B. Gamma and Variance Gamma Processes; Chapter 8. Jump Diffusion in Credit Barrier Modeling: A Partial Integro-Differential Equation Approach; 1. Introduction; 2. Modeling Credit Index with Lévy Processes 3. Credit Rating Migration Model4. Calibration to Historical Rating Transition Matrices; 5. Change to the Risk-Neutral Measure; 6. Conclusion; Acknowledgments; References; Chapter 9. Bond Markets with Stochastic Volatility; 1. Introduction; 2. Pricing Bonds; 3. Affine Models; 4. The Vasicek Model with Stochastic Volatility; 5. The Bond Price with Stochastic Volatility; 6. Group Parameter Reduction; 7. Calibration of the Model; 8. Connection to Default Able Bonds; References; Chapter 10. Two-Dimensional Markovian Model for Dynamics of Aggregate Credit Loss; 1. Introduction; 2. The Model 3. Calibration |
| Record Nr. | UNINA-9910455535803321 |
| Bingley, : Emerald, 2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Econometrics and risk management [[electronic resource] /] / edited by Jean-Pierre Fouque, Thomas B. Fomby, Knut Solna
| Econometrics and risk management [[electronic resource] /] / edited by Jean-Pierre Fouque, Thomas B. Fomby, Knut Solna |
| Pubbl/distr/stampa | Bingley, : Emerald, 2008 |
| Descrizione fisica | 1 online resource (302 p.) |
| Disciplina | 330.015195 |
| Altri autori (Persone) |
FombyThomas
FouqueJean-Pierre SolnaKnut |
| Collana | Advances in econometrics |
| Soggetto topico |
Business & Economics - Econometrics
Business & Economics - Forecasting Econometrics |
| ISBN |
1-280-77108-9
9786613681850 1-84855-197-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Fast solution of the Gaussian copula model / Bjorn Flesaker -- Perturbed Gaussian copula / Jean-Pierre Fouque, Xianwen Zhou -- The determinants of default correlations / Kanak Patel, Ricardo Pereira -- An empirical study of pricing and hedging collateralized debt obligation (CDO) / Lijuan Cao, Zhang Jingqing, Lim Kian Guan, Zhonghui Zhao -- Data mining procedures in generalized Cox regressions / Zhen Wei -- Jump diffusion in credit barrier modeling : a partial integro-differential equation approach / Jingyi Zhu -- Bond markets with stochastic volatility / Rafael DeSantiago, Jean-Pierre Fouque, Knut Solna -- Two-dimensional Markovian model for dynamics of aggregate credit loss / Andrei V. Lopatin, Timur Misirpashaev -- Credit derivatives and risk aversion / Tim Leung, Ronnie Sircar, Thaleia Zariphopoulou -- The skewed t / Wenbo Hu, Alec N. Kercheval -- Credit risk dependence modeling with dynamic copula : an application to CDO tranches / Daniel Totouom, Margaret Armstrong -- Introduction / Jean-Pierre Fouque, Thomas B. Fomby, Knut Solna. |
| Record Nr. | UNINA-9910778081503321 |
| Bingley, : Emerald, 2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Econometrics and risk management / / edited by Jean-Pierre Fouque, Thomas B. Fomby, Knut Solna
| Econometrics and risk management / / edited by Jean-Pierre Fouque, Thomas B. Fomby, Knut Solna |
| Edizione | [First edition.] |
| Pubbl/distr/stampa | Bingley, : Emerald, 2008 |
| Descrizione fisica | 1 online resource (302 pages) |
| Disciplina | 330.015195 |
| Altri autori (Persone) |
FombyThomas B
FouqueJean-Pierre SolnaKnut |
| Collana | Advances in econometrics |
| Soggetto topico |
Credit derivatives - Mathematical models
Credit - Mathematical models Econometrics Risk management - Mathematical models |
| ISBN |
1-280-77108-9
9786613681850 1-84855-197-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Fast solution of the Gaussian copula model / Bjorn Flesaker -- Perturbed Gaussian copula / Jean-Pierre Fouque, Xianwen Zhou -- The determinants of default correlations / Kanak Patel, Ricardo Pereira -- An empirical study of pricing and hedging collateralized debt obligation (CDO) / Lijuan Cao, Zhang Jingqing, Lim Kian Guan, Zhonghui Zhao -- Data mining procedures in generalized Cox regressions / Zhen Wei -- Jump diffusion in credit barrier modeling : a partial integro-differential equation approach / Jingyi Zhu -- Bond markets with stochastic volatility / Rafael DeSantiago, Jean-Pierre Fouque, Knut Solna -- Two-dimensional Markovian model for dynamics of aggregate credit loss / Andrei V. Lopatin, Timur Misirpashaev -- Credit derivatives and risk aversion / Tim Leung, Ronnie Sircar, Thaleia Zariphopoulou -- The skewed t / Wenbo Hu, Alec N. Kercheval -- Credit risk dependence modeling with dynamic copula : an application to CDO tranches / Daniel Totouom, Margaret Armstrong -- Introduction / Jean-Pierre Fouque, Thomas B. Fomby, Knut Solna. |
| Record Nr. | UNINA-9910813914203321 |
| Bingley, : Emerald, 2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Handbook on systemic risk / / edited by Jean-Pierre Fouque, Joseph A. Langsam [[electronic resource]]
| Handbook on systemic risk / / edited by Jean-Pierre Fouque, Joseph A. Langsam [[electronic resource]] |
| Pubbl/distr/stampa | Cambridge : , : Cambridge University Press, , 2013 |
| Descrizione fisica | 1 online resource (xxviii, 964 pages) : digital, PDF file(s) |
| Disciplina | 332.042 |
| Soggetto topico |
Financial risk management
Financial risk - Econometric models |
| ISBN |
1-316-09068-X
1-107-27395-1 1-107-27844-9 1-107-27721-3 1-299-74931-3 1-107-27518-0 1-139-15118-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Data : the prerequisite for managing systemic risk -- Statistics and systemic risk -- Measuring and regulating systemic risk -- Networks -- Systemic risk and mathematical finance -- Counterparty risk and systemic risk -- Algorithmic trading -- Behavioral finance : the psychological dimension of systemic risk -- Regulation -- Computational issues and requirements -- Accounting issues. |
| Record Nr. | UNINA-9910462828703321 |
| Cambridge : , : Cambridge University Press, , 2013 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Handbook on systemic risk / / edited by Jean-Pierre Fouque, Joseph A. Langsam [[electronic resource]]
| Handbook on systemic risk / / edited by Jean-Pierre Fouque, Joseph A. Langsam [[electronic resource]] |
| Pubbl/distr/stampa | Cambridge : , : Cambridge University Press, , 2013 |
| Descrizione fisica | 1 online resource (xxviii, 964 pages) : digital, PDF file(s) |
| Disciplina | 332.042 |
| Soggetto topico |
Financial risk management
Financial risk - Econometric models |
| ISBN |
1-316-09068-X
1-107-27395-1 1-107-27844-9 1-107-27721-3 1-299-74931-3 1-107-27518-0 1-139-15118-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Data : the prerequisite for managing systemic risk -- Statistics and systemic risk -- Measuring and regulating systemic risk -- Networks -- Systemic risk and mathematical finance -- Counterparty risk and systemic risk -- Algorithmic trading -- Behavioral finance : the psychological dimension of systemic risk -- Regulation -- Computational issues and requirements -- Accounting issues. |
| Record Nr. | UNINA-9910786966403321 |
| Cambridge : , : Cambridge University Press, , 2013 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Handbook on systemic risk / / edited by Jean-Pierre Fouque, Joseph A. Langsam
| Handbook on systemic risk / / edited by Jean-Pierre Fouque, Joseph A. Langsam |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Cambridge ; ; New York, : Cambridge University Press, c2013 |
| Descrizione fisica | 1 online resource (xxviii, 964 pages) : digital, PDF file(s) |
| Disciplina | 338.5 |
| Altri autori (Persone) |
FouqueJean-Pierre
LangsamJoseph A |
| Soggetto topico |
Financial risk
Financial risk management |
| ISBN |
1-316-09068-X
1-107-27395-1 1-107-27844-9 1-107-27721-3 1-299-74931-3 1-107-27518-0 1-139-15118-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Data : the prerequisite for managing systemic risk -- Statistics and systemic risk -- Measuring and regulating systemic risk -- Networks -- Systemic risk and mathematical finance -- Counterparty risk and systemic risk -- Algorithmic trading -- Behavioral finance : the psychological dimension of systemic risk -- Regulation -- Computational issues and requirements -- Accounting issues. |
| Record Nr. | UNINA-9910820519003321 |
| Cambridge ; ; New York, : Cambridge University Press, c2013 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Multiscale stochastic volatility for equity, interest rate, and credit derivatives / / Jean-Pierre Fouque [and others] [[electronic resource]]
| Multiscale stochastic volatility for equity, interest rate, and credit derivatives / / Jean-Pierre Fouque [and others] [[electronic resource]] |
| Autore | Fouque Jean-Pierre |
| Pubbl/distr/stampa | Cambridge : , : Cambridge University Press, , 2011 |
| Descrizione fisica | 1 online resource (xiii, 441 pages) : digital, PDF file(s) |
| Disciplina | 332.642015195 |
| Altri autori (Persone) | FouqueJean-Pierre |
| Soggetto topico | Derivative securities - Econometric models |
| ISBN |
1-107-22565-5
1-283-34216-2 1-139-15982-8 9786613342164 1-139-16082-6 1-139-15526-1 1-139-15701-9 1-139-15877-5 1-139-02053-6 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Cover; MULTISCALE STOCHASTIC VOLATILITY FOR EQUITY, INTEREST RATE, AND CREDIT DERIVATIVES; Title; Copyright; To our families and students; Contents; Introduction; 1 The Black-Scholes Theory of Derivative Pricing; 1.1 Market Model; 1.2 Derivative Contracts; 1.3 Replicating Strategies; 1.4 Risk-Neutral Pricing; 1.5 Risk-Neutral Expectations and Partial Differential Equations; 1.6 American Options and Free Boundary Problems; 1.7 Path-Dependent Derivatives; 1.8 First-Passage Structural Approach to Default; 1.9 Multidimensional Stochastic Calculus; 1.10 Complete Market
2 Introduction to Stochastic Volatility Models2.1 Implied Volatility Surface; 2.2 Local Volatility; 2.3 Stochastic Volatility Models; 2.4 Derivative Pricing; 2.5 General Results on Stochastic Volatility Models; 2.6 Summary and Conclusions; 3 Volatility Time Scales; 3.1 A Simple Picture of Fast and Slow Time Scales; 3.2 Ergodicity and Mean-Reversion; 3.3 Examples of Mean-Reverting Processes; 3.4 Time Scales in Synthetic Returns Data; 3.5 Time Scales in Market Data; 3.6 Multiscale Models; 4 First-Order Perturbation Theory; 4.1 Option Pricing under Multiscale Stochastic Volatility 4.2 Formal Regular and Singular Perturbation Analysis4.3 Parameter Reduction; 4.4 First-Order Approximation: Summary and Discussion; 4.5 Accuracy of First-Order Approximation; 5 Implied Volatility Formulas and Calibration; 5.1 Approximate Call Prices and Implied Volatilities; 5.2 Calibration Procedure; 5.3 Illustration with S&P 500 Data; 5.4 Maturity Cycles; 5.5 Higher-Order Corrections; 6 Application to Exotic Derivatives; 6.1 European Binary Options; 6.2 Barrier Options; 6.3 Asian Options; 7 Application to American Derivatives; 7.1 American Options Valuation under Stochastic Volatility 7.2 Stochastic Volatility Correction for American Put7.3 Parameter Reduction; 7.4 Summary; 8 Hedging Strategies; 8.1 Black-Scholes Delta Hedging; 8.2 The Strategy and its Cost; 8.3 Mean Self-Financing Hedging Strategy; 8.4 A Strategy with Frozen Parameters; 8.5 Strategies Based on Implied Volatilities; 8.6 Martingale Approach to Pricing; 8.7 Non-Markovian Models of Volatility; 9 Extensions; 9.1 Dividends and Varying Interest Rates; 9.2 Probabilistic Representation of the Approximate Prices; 9.3 Second-Order Correction from Fast Scale; 9.4 Second-Order Corrections from Slow and Fast Scales 9.5 Periodic Day Effect9.6 Markovian Jump Volatility Models; 9.7 Multidimensional Models; 10 Around the Heston Model; 10.1 The Heston Model; 10.2 Approximations to the Heston Model; 10.3 A Fast Mean-Reverting Correction to the Heston Model; 10.4 Large Deviations and Short Maturity Asymptotics; 11 Other Applications; 11.1 Application to Variance Reduction in Monte Carlo Computations; 11.2 Portfolio Optimization under Stochastic Volatility; 11.3 Application to CAPM Forward-Looking Beta Estimation; 12 Interest Rate Models; 12.1 The Vasicek Model; 12.2 The Bond Price and its Expansion 12.3 The Quadratic Model |
| Altri titoli varianti | Multiscale Stochastic Volatility for Equity, Interest Rate, & Credit Derivatives |
| Record Nr. | UNINA-9910781959503321 |
Fouque Jean-Pierre
|
||
| Cambridge : , : Cambridge University Press, , 2011 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Multiscale stochastic volatility for equity, interest rate, and credit derivatives / / Jean-Pierre Fouque [and others] [[electronic resource]]
| Multiscale stochastic volatility for equity, interest rate, and credit derivatives / / Jean-Pierre Fouque [and others] [[electronic resource]] |
| Autore | Fouque Jean-Pierre |
| Pubbl/distr/stampa | Cambridge : , : Cambridge University Press, , 2011 |
| Descrizione fisica | 1 online resource (xiii, 441 pages) : digital, PDF file(s) |
| Disciplina | 332.642015195 |
| Altri autori (Persone) | FouqueJean-Pierre |
| Soggetto topico | Derivative securities - Econometric models |
| ISBN |
1-107-22565-5
1-283-34216-2 1-139-15982-8 9786613342164 1-139-16082-6 1-139-15526-1 1-139-15701-9 1-139-15877-5 1-139-02053-6 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Cover; MULTISCALE STOCHASTIC VOLATILITY FOR EQUITY, INTEREST RATE, AND CREDIT DERIVATIVES; Title; Copyright; To our families and students; Contents; Introduction; 1 The Black-Scholes Theory of Derivative Pricing; 1.1 Market Model; 1.2 Derivative Contracts; 1.3 Replicating Strategies; 1.4 Risk-Neutral Pricing; 1.5 Risk-Neutral Expectations and Partial Differential Equations; 1.6 American Options and Free Boundary Problems; 1.7 Path-Dependent Derivatives; 1.8 First-Passage Structural Approach to Default; 1.9 Multidimensional Stochastic Calculus; 1.10 Complete Market
2 Introduction to Stochastic Volatility Models2.1 Implied Volatility Surface; 2.2 Local Volatility; 2.3 Stochastic Volatility Models; 2.4 Derivative Pricing; 2.5 General Results on Stochastic Volatility Models; 2.6 Summary and Conclusions; 3 Volatility Time Scales; 3.1 A Simple Picture of Fast and Slow Time Scales; 3.2 Ergodicity and Mean-Reversion; 3.3 Examples of Mean-Reverting Processes; 3.4 Time Scales in Synthetic Returns Data; 3.5 Time Scales in Market Data; 3.6 Multiscale Models; 4 First-Order Perturbation Theory; 4.1 Option Pricing under Multiscale Stochastic Volatility 4.2 Formal Regular and Singular Perturbation Analysis4.3 Parameter Reduction; 4.4 First-Order Approximation: Summary and Discussion; 4.5 Accuracy of First-Order Approximation; 5 Implied Volatility Formulas and Calibration; 5.1 Approximate Call Prices and Implied Volatilities; 5.2 Calibration Procedure; 5.3 Illustration with S&P 500 Data; 5.4 Maturity Cycles; 5.5 Higher-Order Corrections; 6 Application to Exotic Derivatives; 6.1 European Binary Options; 6.2 Barrier Options; 6.3 Asian Options; 7 Application to American Derivatives; 7.1 American Options Valuation under Stochastic Volatility 7.2 Stochastic Volatility Correction for American Put7.3 Parameter Reduction; 7.4 Summary; 8 Hedging Strategies; 8.1 Black-Scholes Delta Hedging; 8.2 The Strategy and its Cost; 8.3 Mean Self-Financing Hedging Strategy; 8.4 A Strategy with Frozen Parameters; 8.5 Strategies Based on Implied Volatilities; 8.6 Martingale Approach to Pricing; 8.7 Non-Markovian Models of Volatility; 9 Extensions; 9.1 Dividends and Varying Interest Rates; 9.2 Probabilistic Representation of the Approximate Prices; 9.3 Second-Order Correction from Fast Scale; 9.4 Second-Order Corrections from Slow and Fast Scales 9.5 Periodic Day Effect9.6 Markovian Jump Volatility Models; 9.7 Multidimensional Models; 10 Around the Heston Model; 10.1 The Heston Model; 10.2 Approximations to the Heston Model; 10.3 A Fast Mean-Reverting Correction to the Heston Model; 10.4 Large Deviations and Short Maturity Asymptotics; 11 Other Applications; 11.1 Application to Variance Reduction in Monte Carlo Computations; 11.2 Portfolio Optimization under Stochastic Volatility; 11.3 Application to CAPM Forward-Looking Beta Estimation; 12 Interest Rate Models; 12.1 The Vasicek Model; 12.2 The Bond Price and its Expansion 12.3 The Quadratic Model |
| Altri titoli varianti | Multiscale Stochastic Volatility for Equity, Interest Rate, & Credit Derivatives |
| Record Nr. | UNINA-9910819394403321 |
|
Fouque Jean-Pierre
|
||
| Cambridge : , : Cambridge University Press, , 2011 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||