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Applied Quantitative Finance / Wolfgang Karl Härdle, Cathy Yi-Hsuan Chen, Ludger Overbeck editors
| Applied Quantitative Finance / Wolfgang Karl Härdle, Cathy Yi-Hsuan Chen, Ludger Overbeck editors |
| Edizione | [3. ed] |
| Pubbl/distr/stampa | Berlin, : Springer, 2017 |
| Descrizione fisica | x, 372 p. : ill. ; 24 cm |
| Soggetto topico |
91Gxx - Actuarial science and mathematical finance [MSC 2020]
00B15 - Collections of articles of miscellaneous specific interest [MSC 2020] 91-XX - Game theory, economics, finance, and other social and behavioral sciences [MSC 2020] 62Pxx - Applications of statistics [MSC 2020] |
| Soggetto non controllato |
Copula
Copula modelling Credit risk Cryptocurrency Default modeling Dynamics risk measurement High-frequency data Market risk Network risk Portfolio Quantitative Finance Quantitative methods Risk management Systemic risk Time varying quantile lasso Value at risk Volatility |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Titolo uniforme | |
| Record Nr. | UNICAMPANIA-VAN0123841 |
| Berlin, : Springer, 2017 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Vanvitelli | ||
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Copula-Based Markov Models for Time Series : Parametric Inference and Process Control / Li-Hsien Sun ... [et al.]
| Copula-Based Markov Models for Time Series : Parametric Inference and Process Control / Li-Hsien Sun ... [et al.] |
| Pubbl/distr/stampa | Singapore, : Springer, 2020 |
| Descrizione fisica | xvi, 131 p. : ill. ; 24 cm |
| Soggetto topico |
62-XX - Statistics [MSC 2020]
62F15 - Bayesian inference [MSC 2020] 62H05 - Characterization and structure theory for multivariate probability distributions; copulas [MSC 2020] 62M10 - Time series, auto-correlation, regression, etc. in statistics (GARCH) [MSC 2020] 62P20 - Applications of statistics to economics [MSC 2020] 93C95 - Application models in control theory [MSC 2020] |
| Soggetto non controllato |
Copula
Markov Chains Maximum likelihood estimator Serial Correlation Serial Dependence Statistical process control |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Titolo uniforme | |
| Record Nr. | UNICAMPANIA-VAN0250100 |
| Singapore, : Springer, 2020 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Vanvitelli | ||
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Copulas and Dependence Models with Applications : Contributions in Honor of Roger B. Nelsen / Manuel Úbeda Flores ... [et al.] editors
| Copulas and Dependence Models with Applications : Contributions in Honor of Roger B. Nelsen / Manuel Úbeda Flores ... [et al.] editors |
| Pubbl/distr/stampa | Cham, : Springer, 2017 |
| Descrizione fisica | xvii, 258 p. : ill. ; 24 cm |
| Soggetto topico |
28Axx - Classical measure theory [MSC 2020]
60Exx - Distribution theory [MSC 2020] 62Hxx - Multivariate analysis [MSC 2020] 62Pxx - Applications of statistics [MSC 2020] 62Fxx - Parametric inference [MSC 2020] 62Exx - Statistical distribution theory [MSC 2020] |
| Soggetto non controllato |
Applications of copulas
Archimedian copula Conic sections Copula Copula construction Copula theory Dependence Diagonal sections Distributions with given marginals Empirical copula Measure Theory Measures of association Multivariate copula Quantitative Risk Management Quasi-copula Rank statistics Roger B. Nelsen Sklar theorem Stochastic orderings Tail copula |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Titolo uniforme | |
| Record Nr. | UNICAMPANIA-VAN0124046 |
| Cham, : Springer, 2017 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Vanvitelli | ||
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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
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| World Scientific Publishing Co, 2018 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Multivariate Extreme Value Theory and D-Norms / Michael Falk
| Multivariate Extreme Value Theory and D-Norms / Michael Falk |
| Autore | Falk, Michael |
| Pubbl/distr/stampa | Cham, : Springer, 2019 |
| Descrizione fisica | x, 241 p. ; 24 cm |
| Soggetto topico |
60Exx - Distribution theory [MSC 2020]
62Hxx - Multivariate analysis [MSC 2020] 60G70 - Extreme value theory; extremal stochastic processes [MSC 2020] |
| Soggetto non controllato |
Copula
D-Norms Functional extreme value theory Multivariate Extreme Value Theory Multivariate Generalized Pareto Distribution |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Titolo uniforme | |
| Record Nr. | UNICAMPANIA-VAN0127039 |
|
Falk, Michael
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| Cham, : Springer, 2019 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Vanvitelli | ||
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New Perspectives on the Theory of Inequalities for Integral and Sum / Nazia Irshad ... [et al.]
| New Perspectives on the Theory of Inequalities for Integral and Sum / Nazia Irshad ... [et al.] |
| Pubbl/distr/stampa | Cham, : Birkhäuser, : Springer, 2021 |
| Descrizione fisica | xiii, 308 p. : ill. ; 24 cm |
| Soggetto non controllato |
Abel-Gontscharoff interpolating polynomials
Bernstein polynomials Bounded differentiable functions Cebysev type identity and inequality Cebyšev functional Completely monotonic functions Convex functions Copula Exponentially convex functions Fink identity Fubini’s theorem Function with nondecreasing increments Greens Functions Gruss inequality Hölder’s Inequality Jensen-Boas inequality Korkine’s identity Levinson’s-type inequality Ostrowski inequality |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNICAMPANIA-VAN0274424 |
| Cham, : Birkhäuser, : Springer, 2021 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Vanvitelli | ||
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Review Papers for Journal of Risk and Financial Management (JRFM)
| Review Papers for Journal of Risk and Financial Management (JRFM) |
| Autore | McAleer Michael |
| Pubbl/distr/stampa | Basel, Switzerland, : MDPI - Multidisciplinary Digital Publishing Institute, 2020 |
| Descrizione fisica | 1 electronic resource (206 p.) |
| Soggetto topico | Technology: general issues |
| Soggetto non controllato |
big data
computational science economics finance management theoretical models econometric and statistical models applications bank regulation capital adequacy standards regulatory complexity US banking crises supply chain management supply chain finance working capital factors outcomes solutions optimisation portfolio selection risk measure fat tail Copula shrinkage semi-variance CVaR excess returns efficient market hypothesis data snooping investment and capital markets market efficiency price-volume adaptive market hypothesis time-varying or adaptive market efficiency cross section of country equity returns country-level stock market anomalies empirical asset pricing international equity markets return predictability bank regulatory capital requirements marketing psychology price-volume relationship adaptive market efficiency covariance matrix estimation portfolio risk measurement stock investment country equity returns |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Altri titoli varianti | Review Papers for Journal of Risk and Financial Management |
| Record Nr. | UNINA-9910557764503321 |
|
McAleer Michael
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| Basel, Switzerland, : MDPI - Multidisciplinary Digital Publishing Institute, 2020 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Statistical Analysis of Operational Risk Data / Giovanni De Luca, Danilo Carità, Francesco Martinelli
| Statistical Analysis of Operational Risk Data / Giovanni De Luca, Danilo Carità, Francesco Martinelli |
| Autore | De Luca, Giovanni, economista |
| Pubbl/distr/stampa | Cham, : Springer, 2020 |
| Descrizione fisica | ix, 84 p. : ill. ; 24 cm |
| Altri autori (Persone) |
Carità, Danilo
Martinelli, Francesco |
| Soggetto topico |
62F10 - Point estimation [MSC 2020]
46F10 - Operations with distributions and generalized functions [MSC 2020] 62H05 - Characterization and structure theory for multivariate probability distributions; copulas [MSC 2020] 62H30 - Classification and discrimination; cluster analysis (statistical aspects) [MSC 2020] |
| Soggetto non controllato |
Capital-at-risk
Convolution Copula Extreme value theory Frequency analysis Identification of risk classes Loss distribution approach Mixture of distributions Operational risk Overall loss distribution Real-world data Risk class aggregation Severity analysis |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Titolo uniforme | |
| Record Nr. | UNICAMPANIA-VAN0249856 |
|
De Luca, Giovanni, economista
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| Cham, : Springer, 2020 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Vanvitelli | ||
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