Innovations in Derivatives Markets [[electronic resource] ] : Fixed Income Modeling, Valuation Adjustments, Risk Management, and Regulation / / edited by Kathrin Glau, Zorana Grbac, Matthias Scherer, Rudi Zagst |
Edizione | [1st ed. 2016.] |
Pubbl/distr/stampa | Cham : , : Springer International Publishing : , : Imprint : Springer, , 2016 |
Descrizione fisica | 1 online resource (X, 449 p. 68 illus., 43 illus. in color.) |
Disciplina | 519 |
Collana | Springer Proceedings in Mathematics & Statistics |
Soggetto topico |
Economics, Mathematical
Banks and banking Statistics Mathematical models Probabilities Financial engineering Quantitative Finance Banking Statistics for Business, Management, Economics, Finance, Insurance Mathematical Modeling and Industrial Mathematics Probability Theory and Stochastic Processes Financial Engineering |
ISBN | 3-319-33446-8 |
Formato | Materiale a stampa ![]() |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Nota di contenuto | Foreword -- Preface -- Part I: Valuation Adjustments -- Part II: Fixed Income Modeling -- Part III: Financial Engineering. . |
Record Nr. | UNINA-9910166651303321 |
Cham : , : Springer International Publishing : , : Imprint : Springer, , 2016 | ||
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Lo trovi qui: Univ. Federico II | ||
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Innovations in Quantitative Risk Management [[electronic resource] ] : TU München, September 2013 / / edited by Kathrin Glau, Matthias Scherer, Rudi Zagst |
Autore | Glau Kathrin |
Edizione | [1st ed. 2015.] |
Pubbl/distr/stampa | Cham, : Springer Nature, 2015 |
Descrizione fisica | 1 online resource (xi, 438 pages) : illustrations; digital, PDF file(s) |
Disciplina | 658.155 |
Collana | Springer Proceedings in Mathematics & Statistics |
Soggetto topico |
Economics, Mathematical
Game theory Finance Actuarial science Quantitative Finance Game Theory, Economics, Social and Behav. Sciences Finance, general Actuarial Sciences |
Soggetto non controllato |
Quantitative Finance
Game Theory, Economics, Social and Behav. Sciences Finance/Investment/Banking Actuarial Sciences |
ISBN |
9783319091143 (ebook)
9783319091136 (hardback) |
Formato | Materiale a stampa ![]() |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Nota di contenuto | Part I Markets, Regulation, and Model Risk -- A Random Holding Period Approach for Liquidity-Inclusive Risk Management -- Regulatory Developments in Risk Management: Restoring Confidence in Internal Models -- Model Risk in Incomplete Markets with Jumps -- Part II Financial Engineering -- Bid-Ask Spread for Exotic Options Under Conic Finance -- Derivative Pricing Under the Possibility of Long Memory in the supOU Stochastic Volatility Model -- A Two-Sided BNS Model for Multicurrency FX Markets -- Modeling the Price of Natural Gas with Temperature and Oil Price as Exogenous Factors -- Copula-Specific Credit Portfolio Modeling -- Implied Recovery Rates—Auctions and Models -- Upside and Downside Risk Exposures of Currency Carry Trades via Tail Dependence -- Part III Insurance Risk and Asset Management -- Participating Life Insurance Contracts Under Risk Based Solvency Frameworks: How to Increase Capital Efficiency by Product Design -- Reducing Surrender Incentives Through Fee Structure in Variable Annuities -- A Variational Approach for Mean-Variance-Optimal Deterministic Consumption and Investment -- Risk Control in Asset Management: Motives and Concepts -- Worst-Case Scenario Portfolio Optimization Given the Probability of a Crash -- Improving Optimal Terminal Value Replicating Portfolios -- Part IV Computational Methods for Risk Management -- Risk and Computation -- Extreme Value Importance Sampling for Rare Event Risk Measurement -- A Note on the Numerical Evaluation of the Hartman–Watson Density and Distribution Function -- Computation of Copulas by Fourier Methods -- Part V Dependence Modelling -- Goodness-of-fit Tests for Archimedean Copulas in High Dimensions -- Duality in Risk Aggregation -- Some Consequences of the Markov Kernel Perspective of Copulas -- Copula Representations for Invariant Dependence Functions -- Nonparametric Copula Density Estimation Using a Petrov–Galerkin Projection. |
Record Nr. | UNINA-9910132289903321 |
Glau Kathrin
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Cham, : Springer Nature, 2015 | ||
![]() | ||
Lo trovi qui: Univ. Federico II | ||
|
Innovations in Quantitative Risk Management [[electronic resource] ] : TU München, September 2013 / / edited by Kathrin Glau, Matthias Scherer, Rudi Zagst |
Autore | Glau Kathrin |
Edizione | [1st ed. 2015.] |
Pubbl/distr/stampa | Cham, : Springer Nature, 2015 |
Descrizione fisica | 1 online resource (xi, 438 pages) : illustrations; digital, PDF file(s) |
Disciplina | 658.155 |
Collana | Springer Proceedings in Mathematics & Statistics |
Soggetto topico |
Economics, Mathematical
Game theory Finance Actuarial science Quantitative Finance Game Theory, Economics, Social and Behav. Sciences Finance, general Actuarial Sciences |
Soggetto non controllato |
Quantitative Finance
Game Theory, Economics, Social and Behav. Sciences Finance/Investment/Banking Actuarial Sciences |
ISBN |
9783319091143 (ebook)
9783319091136 (hardback) |
Formato | Materiale a stampa ![]() |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Nota di contenuto | Part I Markets, Regulation, and Model Risk -- A Random Holding Period Approach for Liquidity-Inclusive Risk Management -- Regulatory Developments in Risk Management: Restoring Confidence in Internal Models -- Model Risk in Incomplete Markets with Jumps -- Part II Financial Engineering -- Bid-Ask Spread for Exotic Options Under Conic Finance -- Derivative Pricing Under the Possibility of Long Memory in the supOU Stochastic Volatility Model -- A Two-Sided BNS Model for Multicurrency FX Markets -- Modeling the Price of Natural Gas with Temperature and Oil Price as Exogenous Factors -- Copula-Specific Credit Portfolio Modeling -- Implied Recovery Rates—Auctions and Models -- Upside and Downside Risk Exposures of Currency Carry Trades via Tail Dependence -- Part III Insurance Risk and Asset Management -- Participating Life Insurance Contracts Under Risk Based Solvency Frameworks: How to Increase Capital Efficiency by Product Design -- Reducing Surrender Incentives Through Fee Structure in Variable Annuities -- A Variational Approach for Mean-Variance-Optimal Deterministic Consumption and Investment -- Risk Control in Asset Management: Motives and Concepts -- Worst-Case Scenario Portfolio Optimization Given the Probability of a Crash -- Improving Optimal Terminal Value Replicating Portfolios -- Part IV Computational Methods for Risk Management -- Risk and Computation -- Extreme Value Importance Sampling for Rare Event Risk Measurement -- A Note on the Numerical Evaluation of the Hartman–Watson Density and Distribution Function -- Computation of Copulas by Fourier Methods -- Part V Dependence Modelling -- Goodness-of-fit Tests for Archimedean Copulas in High Dimensions -- Duality in Risk Aggregation -- Some Consequences of the Markov Kernel Perspective of Copulas -- Copula Representations for Invariant Dependence Functions -- Nonparametric Copula Density Estimation Using a Petrov–Galerkin Projection. |
Record Nr. | UNISA-996213775103316 |
Glau Kathrin
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Cham, : Springer Nature, 2015 | ||
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Lo trovi qui: Univ. di Salerno | ||
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