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Mathematical Methods for Financial Markets
  • Language: en
  • Pages: 754

Mathematical Methods for Financial Markets

Mathematical finance has grown into a huge area of research which requires a large number of sophisticated mathematical tools. This book simultaneously introduces the financial methodology and the relevant mathematical tools in a style that is mathematically rigorous and yet accessible to practitioners and mathematicians alike. It interlaces financial concepts such as arbitrage opportunities, admissible strategies, contingent claims, option pricing and default risk with the mathematical theory of Brownian motion, diffusion processes, and Lévy processes. The first half of the book is devoted to continuous path processes whereas the second half deals with discontinuous processes. The extensive bibliography comprises a wealth of important references and the author index enables readers quickly to locate where the reference is cited within the book, making this volume an invaluable tool both for students and for those at the forefront of research and practice.

Credit Risk: Modeling, Valuation and Hedging
  • Language: en
  • Pages: 517

Credit Risk: Modeling, Valuation and Hedging

The motivation for the mathematical modeling studied in this text on developments in credit risk research is the bridging of the gap between mathematical theory of credit risk and the financial practice. Mathematical developments are covered thoroughly and give the structural and reduced-form approaches to credit risk modeling. Included is a detailed study of various arbitrage-free models of default term structures with several rating grades.

Stochastic Processes and Applications to Mathematical Finance
  • Language: en
  • Pages: 228

Stochastic Processes and Applications to Mathematical Finance

Based around recent lectures given at the prestigious Ritsumeikan conference, the tutorial and expository articles contained in this volume are an essential guide for practitioners and graduates alike who use stochastic calculus in finance.Among the eminent contributors are Paul Malliavin and Shinzo Watanabe, pioneers of Malliavin Calculus. The coverage also includes a valuable review of current research on credit risks in a mathematically sophisticated way contrasting with existing economics-oriented articles.

Stochastic Finance
  • Language: en
  • Pages: 372

Stochastic Finance

Since the pioneering work of Black, Scholes, and Merton in the field of financial mathematics, research has led to the rapid development of a substantial body of knowledge, with plenty of applications to the common functioning of the world’s financial institutions. Mathematics, as the language of science, has always played a role in the development of knowledge and technology. Presently, the high-tech character of modern business has increased the need for advanced methods, which rely to a large extent on mathematical techniques. It has become essential for the financial analyst to possess a high degree of proficiency in these mathematical techniques.

Actuarial Sciences and Quantitative Finance
  • Language: en
  • Pages: 107

Actuarial Sciences and Quantitative Finance

  • Type: Book
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  • Published: 2015-08-01
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  • Publisher: Springer

Featuring contributions from industry and academia, this volume includes chapters covering a diverse range of theoretical and empirical aspects of actuarial science and quantitative finance, including portfolio management, derivative valuation, risk theory and the economics of insurance. Developed from the First International Congress on Actuarial Science and Quantitative Finance, held at the Universidad Nacional de Colombia in Bogotá in June 2014, this volume highlights different approaches to issues arising from industries in the Andean and Carribean regions. Contributions address topics such as Reverse mortgage schemes and urban dynamics, modeling spot price dynamics in the electricity market, and optimizing calibration and pricing with SABR models.

The Oxford Handbook of Credit Derivatives
  • Language: en
  • Pages: 828

The Oxford Handbook of Credit Derivatives

  • Type: Book
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  • Published: 2013-01-17
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  • Publisher: OUP Oxford

From the late 1990s, the spectacular growth of a secondary market for credit through derivatives has been matched by the emergence of mathematical modelling analysing the credit risk embedded in these contracts. This book aims to provide a broad and deep overview of this modelling, covering statistical analysis and techniques, modelling of default of both single and multiple entities, counterparty risk, Gaussian and non-Gaussian modelling, and securitisation. Both reduced-form and firm-value models for the default of single entities are considered in detail, with extensive discussion of both their theoretical underpinnings and practical usage in pricing and risk. For multiple entity modellin...

A Stochastic Control Framework for Real Options in Strategic Evaluation
  • Language: en
  • Pages: 275

A Stochastic Control Framework for Real Options in Strategic Evaluation

The theoretical foundation for real options goes back to the mid 1980s and the development of a model that forms the basis for many current applications of real option theory. Over the last decade the theory has rapidly expanded and become enriched thanks to increasing research activity. Modern real option theory may be used for the valuation of entire companies as well as for particular investment projects in the presence of uncertainty. As such, the theory of real options can serve as a tool for more practically oriented decision making, providing management with strategies maximizing its capital market value. This book is devoted to examining a new framework for classifying real options f...

An Introduction to Computational Risk Management of Equity-Linked Insurance
  • Language: en
  • Pages: 334

An Introduction to Computational Risk Management of Equity-Linked Insurance

  • Type: Book
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  • Published: 2018-06-13
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  • Publisher: CRC Press

The quantitative modeling of complex systems of interacting risks is a fairly recent development in the financial and insurance industries. Over the past decades, there has been tremendous innovation and development in the actuarial field. In addition to undertaking mortality and longevity risks in traditional life and annuity products, insurers face unprecedented financial risks since the introduction of equity-linking insurance in 1960s. As the industry moves into the new territory of managing many intertwined financial and insurance risks, non-traditional problems and challenges arise, presenting great opportunities for technology development. Today's computational power and technology ma...

Credit Risk Frontiers
  • Language: en
  • Pages: 770

Credit Risk Frontiers

A timely guide to understanding and implementing credit derivatives Credit derivatives are here to stay and will continue to play a role in finance in the future. But what will that role be? What issues and challenges should be addressed? And what lessons can be learned from the credit mess? Credit Risk Frontiers offers answers to these and other questions by presenting the latest research in this field and addressing important issues exposed by the financial crisis. It covers this subject from a real world perspective, tackling issues such as liquidity, poor data, and credit spreads, as well as the latest innovations in portfolio products and hedging and risk management techniques. Provides a coherent presentation of recent advances in the theory and practice of credit derivatives Takes into account the new products and risk requirements of a post financial crisis world Contains information regarding various aspects of the credit derivative market as well as cutting edge research regarding those aspects If you want to gain a better understanding of how credit derivatives can help your trading or investing endeavors, then Credit Risk Frontiers is a book you need to read.

FUNDAMENTAL ECONOMICS – Volume II
  • Language: en
  • Pages: 512

FUNDAMENTAL ECONOMICS – Volume II

Fundamental Economics in two volumes is a component of Encyclopedia of Social Sciences and Humanities in the global Encyclopedia of Life Support Systems (EOLSS), which is an integrated compendium of twenty one Encyclopedias. The Theme discusses on Fundamental Economics, Walrasian and Non-Walrasian Microeconomics, Strategic Behavior, The Economics of Bargaining, Economic Exernalities, Public Goods, Macroeconomics, Decision Making Under Uncertainty, Development Economics and many other related topics. These two volumes are aimed at the following five major target audiences: University and College Students Educators, Professional Practitioners, Research Personnel and Policy Analysts, Managers, and Decision Makers, NGOs and GOs.