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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
| 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 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
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 - Proceedings Of The Innovations In Insurance, Risk- And Asset Management Conference |
| Autore | Glau Kathrin |
| Pubbl/distr/stampa | World Scientific Publishing Co, 2018 |
| Descrizione fisica | 1 online resource (469 pages) |
| Disciplina | 368 |
| Altri autori (Persone) |
LindersDaniel
MinAleksey SchererMatthias SchneiderLorenz ZagstRudi |
| Soggetto non controllato |
Dynamic Hedging
Uncertainty Quantification Actuarial Science Copula Exchange-Traded Funds Autoregressive Hidden Markov Models Fixed Income Reinsurance Stochastic Processes for Finance Risk Measure Bayesian Finance Insurance Replicating Portfolio Risk Classification Stochastic Dominance |
| ISBN |
981-327-256-2
981-327-255-4 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Intro -- Contents -- Foreword -- Preface -- About the Editors -- Part I. Innovations in Risk Management -- 1. Behavioral Value Adjustments for Mortgage Valuation -- 1. Introduction -- 2. Literature review -- 3. A general framework for modeling behavioral risk -- 3.1. Defining behavioral risk -- 3.2. A general framework in parallel with credit risk -- 3.3. Behavioral risk adjustments -- 3.4. A general formula for portfolio valuation -- 4. Mortgage portfolio valuation with BIX model -- 4.1. Heterogeneity and granularity -- 4.2. Market factors -- 4.3. Exogenous factors -- 4.4. Marginal exercise probabilities -- 4.5. Hints for calibration -- 4.6. Survival exercise probabilities -- 4.7. Portfolio pricing -- 4.7.1. Expression for II0(X) -- 4.7.2. Expression for II1(X) -- 4.7.3. Expression for II2(X) -- 4.8. Simulation -- 5. Conclusion -- 6. Appendix -- References -- 2. Wrong-Way Risk Adjusted Exposure: Analytical Approximations for Optionsin Default Intensity Models -- 1. Introduction -- 2. Call and put risk-neutral dynamics -- 3. Expected positive exposures under no WWR -- 4. Expected positive exposures under WWR -- 5. Proxys of ts -- 5.1. Q-expectation -- 5.2. Approximation of QCT -expectation -- 6. Potential future exposures (PFE) -- 7. Numerical experiments -- 8. Conclusion -- References -- 3. Consistent Iterated Simulation of Multivariate Defaults: Markov Indicators, Lack of Memory, Extreme-Value Copulas, and the Marshall- Olkin Distribution -- 1. Introduction -- 1.1. Problem one: "Survival-of-all" events -- 1.2. Problem two: "Mixed default/survival" events -- 1.3. Structure of the paper -- 2. Default-time distributions and survival-indicator processes -- 2.1. Markovian survival indicator-processes -- 2.2. Lack-of-memory properties -- 3. Problem one: Iterating "survival-of-all -- 3.1. Lack-of-memory properties revisited.
3.2. Change in dependence when iterating non-self chaining copulas -- 4. Problem two: "Mixed default/survival" events -- 4.1. The looping default model and the Freund distribution -- 4.2. Marshall-Olkin distributions -- 4.3. Case study: Iteration bias for selected multivariate distributions -- 5. Conclusions -- Appendix A. Alternative construction of Markovian processes -- Acknowledgments -- References -- 4. Examples of Wrong-Way Risk in CVA Induced by Devaluations on Default -- 1. Introduction -- 1.1. Overview of the modeling framework -- 2. A PDE approach for both FX-driven and equity-driven WWR -- 2.1. FX -- 2.1.1. No-arbitrage drift for the market risk-factor (FX) -- 2.1.2. Final conditions - CVA payoff -- 2.2. Equity -- 2.2.1. No-arbitrage drift for the market risk-factor (equity) -- 2.2.2. Final conditions - CVA payoff -- 3. A structural approach for equity/credit WWR -- 3.1. AT1P -- 3.1.1. Credit risk -- 3.1.2. Equity price -- 3.2. Introducing WWR -- 4. Results -- 4.1. Models calibrations -- 4.2. Equity WWR: Correlation impact -- 4.3. Equity WWR: Devaluation impact -- 4.4. FX WWR: FX Vega -- 5. Conclusions -- References -- 5. Implied Distributions from Risk-Reversals and Brexit/Trump Predictions -- 1. Introduction -- 2. Literature Review -- 3. Method -- 4. Results -- 4.1. 2016 Brexit referendum -- 4.2. 2016 US election - Trump -- 4.3. 2017 French elections -- 4.4. 2017 UK general election -- 5. Conclusions -- References -- 6. Data and Uncertainty in Extreme Risks: A Nonlinear Expectations Approach -- 1. Introduction -- 2. DR-expectations -- 2.1. Data-robust risk measures -- 3. Regularization from data -- 4. Heavy tails -- 4.1. Expected shortfall -- 4.2. Value at risk -- 4.3. Probability of loss -- 4.4. Integrated tail and Cramer-Lundberg failure probability -- 4.5. Distortion risk -- Appendix -- Acknowledgments -- References. 7. Intrinsic Risk Measures -- 1. Introduction -- 2. Terminology and preliminaries -- 2.1. Acceptance sets -- 2.2. Traditional risk measures -- 2.2.1. Coherent risk measures -- 2.2.2. Convex risk measures -- 2.2.3. Cash-subadditivity and quasi-convexity of risk measures -- 2.2.4. General monetary risk measures -- 3. Intrinsic risk measures -- 3.1. Fundamental concepts -- 3.2. Representation on conic acceptance sets -- 3.3. Efficiency of the intrinsic approach -- 3.4. Dual representations on convex acceptance sets -- 4. Conclusion -- Bibliography -- 8. Pathwise Construction of Affine Processes -- 1. Introduction -- 2. Preliminaries -- 2.1. Notation -- 2.2. Affine processes -- 2.3. Towards the multivariate Lamperti transform -- 2.4. Affine processes of Heston type -- 3. Existence of the solution of the time-change equation -- 3.1. The setting -- 3.2. The core of the proof -- 3.2.1. Approximation of the vector field -- 3.2.2. The algorithm -- 4. Pathwise construction of affine processes with time-change -- Bibliography -- Part II. Innovations in Insurance and Asset Management -- 9. Fixed-Income Returns from Hedge Funds with Negative Fee Structures: Valuation and Risk Analysis -- 1. Introduction -- 2. Hedge fund fee structures: From traditional fee structures to negative fees -- 2.1. Traditional fee structures -- 2.2. From first-loss to negative first-loss fee structure -- 3. Pricing the payoffs -- 4. Risk analysis of the investor's position as a bond -- 4.1. Impact of the manager's deposit c -- 5. Conclusion -- References -- 10. Static Versus Adapted Optimal Execution Strategies in Two Benchmark Trading Models -- 1. Introduction -- 2. Discrete time trading with information flow -- 2.1. Model formulation with cost based criterion -- 2.2. Permanent market impact: Optimal adapted solution -- 2.3. Permanent market impact: Optimal deterministic solution. 2.4. Permanent market impact: Adapted vs deterministic solution -- 3. Continuous time trading with risk function -- 3.1. Model formulation with cost and risk based criterion -- 3.2. Optimal adapted solution under temporary and permanent impact -- 3.3. Optimal static solution under temporary and permanent impact -- 3.4. Comparison of optimal static and adapted solutions -- 4. Conclusions and further research -- References -- 11. Liability Driven Investments with a Link to Behavioral Finance -- 1. Introduction -- 2. A model for assets and liabilities -- 3. Expected utility framework -- 3.1. The optimization problem -- 4. Extension to cumulative prospect theory -- 4.1. The optimization problem -- 4.2. Probability distortion function -- 5. Comparison -- 5.1. Partial surplus optimization -- 5.2. Connection between CPT optimization, funding ratio optimization and partial surplus optimization -- 6. Conclusion -- Acknowledgment -- Appendix A. Solution of the HJB equation -- Appendix B. Quantile optimization approach -- Appendix C. Probability distortion -- Appendix D. Replicating strategies for selected pay-offs -- Bibliography -- 12. Option Pricing and Hedging for Discrete Time Autoregressive Hidden Markov Model -- 1. Introduction -- 2. Regime-switching autoregressive models -- 2.1. Regime prediction -- 2.1.1. Filtering algorithm -- 2.1.2. Conditional distribution -- 2.1.3. Stationary distribution in the Gaussian case -- 2.2. Estimation of parameters -- 2.3. Goodness-of-fit test and selection of the number of regimes -- 2.4. Application to S& -- P 500 daily returns -- 3. Optimal discrete time hedging -- 3.1. Implementation issues -- 3.1.1. Using regime predictions -- 3.2. Optimal hedging vs delta-hedging -- 3.3. Simulated hedging errors -- 4. Out-of-sample vanilla pricing and hedging -- 4.1. Methodology -- 4.1.1. The underlying asset. 4.1.2. Option dataset -- 4.1.3. Backtesting -- 4.2. Empirical results -- 4.2.1. 2008-2009 Financial Crisis -- 4.2.2. 2013-2015 Bull markets -- 5. Conclusion -- Appendix A. Extension of Baum-Welch algorithm -- Appendix A.1. Estimation of regime-switching models -- Appendix B. Goodness-of-fit test for ARHMM -- Appendix B.1. Rosenblatt's transform -- Appendix B.2. Test statistic -- Appendix B.3. Parametric bootstrap algorithm -- References -- 13. Interest Rate Swap Valuation in the Chinese Market -- 1. Introduction -- 2. Pricing model -- 2.1. Dual curve discounting -- 2.2. Single curve discounting -- 2.3. Valuation difference -- 3. Candidates for the risk-free rate in the Chinese swap market -- 4. Numerical test -- 5. Conclusion -- References -- 14. On Consistency of the Omega Ratio with Stochastic Dominance Rules -- 1. Introduction -- 2. Omega ratios and stochastic dominance -- 3. Omega ratios and combined concave and convex stochastic dominance -- References -- 15. Chance-Risk Classification of Pension Products: Scientific Concepts and Challenges -- 1. Introduction -- 2. Typical private pension products offered in Germany -- 3. Aspects of chance-risk classification concepts -- 4. Capital market model and simulation of important product ingredients -- 5. Scientific challenges and outlook -- References -- 16. Forward versus Spot Price Modeling -- 1. Introduction -- 2. Spot and forward model -- 2.1. Spot model -- 2.2. Forward model -- 2.2.1. Wealth process model -- 3. First example: CEV model -- 4. Second example: JDCEV model -- 5. Implications for modeling -- 6. Conclusion -- Appendix A. Martingale property of driving process -- Appendix B. Density of ST in JDCEV model -- References -- 17. Replication Methods for Financial Indexes -- 1. Introduction -- 2. Replication methods -- 2.1. Factorial approach for strong replication -- 2.2. Weak replication. 2.2.1. Implementation steps. |
| Altri titoli varianti |
Innovations in Insurance, Risk- and Asset Management
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 |
| Record Nr. | UNINA-9910349465003321 |
Glau Kathrin
|
||
| World Scientific Publishing Co, 2018 | ||
| Materiale a stampa | ||
| 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
| 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
|
||
| Cham, : Springer Nature, 2015 | ||
| Materiale a stampa | ||
| 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
| 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
|
||
| Cham, : Springer Nature, 2015 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. di Salerno | ||
| ||