Effectiveness Of Cppi Strategies Under Discrete Time Trading
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| Author | : Rudiger Kiesel |
| Publisher | : World Scientific |
| Total Pages | : 414 |
| Release | : 2010-06-18 |
| Genre | : Business & Economics |
| ISBN | : 9814467332 |
This book combines academic research and practical expertise on alternative assets and trading strategies in a unique way. The asset classes that are discussed include: credit risk, cross-asset derivatives, energy, private equity, freight agreements, alternative real assets (ARA), and socially responsible investments (SRI). The coverage on trading and investment strategies are directed at portfolio insurance, especially constant proportion portfolio insurance (CPPI) and constant proportion debt obligation (CPDO) strategies, robust portfolio optimization, and hedging strategies for exotic options.
| Author | : Kathrin Glau |
| Publisher | : Springer |
| Total Pages | : 434 |
| Release | : 2015-01-09 |
| Genre | : Mathematics |
| ISBN | : 331909114X |
Quantitative models are omnipresent –but often controversially discussed– in todays risk management practice. New regulations, innovative financial products, and advances in valuation techniques provide a continuous flow of challenging problems for financial engineers and risk managers alike. Designing a sound stochastic model requires finding a careful balance between parsimonious model assumptions, mathematical viability, and interpretability of the output. Moreover, data requirements and the end-user training are to be considered as well. The KPMG Center of Excellence in Risk Management conference Risk Management Reloaded and this proceedings volume contribute to bridging the gap between academia –providing methodological advances– and practice –having a firm understanding of the economic conditions in which a given model is used. Discussed fields of application range from asset management, credit risk, and energy to risk management issues in insurance. Methodologically, dependence modeling, multiple-curve interest rate-models, and model risk are addressed. Finally, regulatory developments and possible limits of mathematical modeling are discussed.
| Author | : Yanwen Wu |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 1100 |
| Release | : 2012-01-16 |
| Genre | : Computers |
| ISBN | : 3642037178 |
The volume includes a set of selected papers extended and revised from the I2009 Pacific-Asia Conference on Knowledge Engineering and Software Engineering (KESE 2009) was held on December 19~ 20, 2009, Shenzhen, China. Volume 1 is to provide a forum for researchers, educators, engineers, and government officials involved in the general areas of Computer and Software Engineering to disseminate their latest research results and exchange views on the future research directions of these fields. 140 high-quality papers are included in the volume. Each paper has been peer-reviewed by at least 2 program committee members and selected by the volume editor Prof. Yanwen Wu. On behalf of this volume, we would like to express our sincere appreciation to all of authors and referees for their efforts reviewing the papers. Hoping you can find lots of profound research ideas and results on the related fields of Computer and Software Engineering.
| Author | : Harry M. Kat |
| Publisher | : |
| Total Pages | : 316 |
| Release | : 1993 |
| Genre | : Business & Economics |
| ISBN | : |
| Author | : Cheng-Few Lee |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 861 |
| Release | : 2006-07-27 |
| Genre | : Business & Economics |
| ISBN | : 0387262849 |
This is a major new reference work covering all aspects of finance. Coverage includes finance (financial management, security analysis, portfolio management, financial markets and instruments, insurance, real estate, options and futures, international finance) and statistical applications in finance (applications in portfolio analysis, option pricing models and financial research). The project is designed to attract both an academic and professional market. It also has an international approach to ensure its maximum appeal. The Editors' wish is that the readers will find the encyclopedia to be an invaluable resource.
| Author | : Rudi Zagst |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 349 |
| Release | : 2013-04-17 |
| Genre | : Business & Economics |
| ISBN | : 3662121069 |
This book combines a rigorous overview of the mathematics of financial markets with an insight into the practical application of these models to the risk and portfolio management of interest-rate derivatives. It can also serve as a valuable textbook on financial markets for graduate and PhD students in mathematics. Interesting and comprehensive case studies illustrate the theoretical concepts.
| Author | : B V (Boris Vladimirovich) Gnedenko |
| Publisher | : Hassell Street Press |
| Total Pages | : 284 |
| Release | : 2021-09-09 |
| Genre | : |
| ISBN | : 9781014649485 |
This work has been selected by scholars as being culturally important and is part of the knowledge base of civilization as we know it. This work is in the public domain in the United States of America, and possibly other nations. Within the United States, you may freely copy and distribute this work, as no entity (individual or corporate) has a copyright on the body of the work. Scholars believe, and we concur, that this work is important enough to be preserved, reproduced, and made generally available to the public. To ensure a quality reading experience, this work has been proofread and republished using a format that seamlessly blends the original graphical elements with text in an easy-to-read typeface. We appreciate your support of the preservation process, and thank you for being an important part of keeping this knowledge alive and relevant.
| Author | : Jochen Felsenheimer |
| Publisher | : John Wiley & Sons |
| Total Pages | : 581 |
| Release | : 2006-03-10 |
| Genre | : Business & Economics |
| ISBN | : 3527501983 |
The introduction of the euro in 1999 marked the starting point of the development of a very liquid and heterogeneous EUR credit market, which exceeds EUR 350bn with respect to outstanding corporate bonds. As a result, credit risk trading and credit portfolio management gained significantly in importance. The book shows how to optimize, manage, and hedge liquid credit portfolios, i.e. applying innovative derivative instruments. Against the background of the highly complex structure of credit derivatives, the book points out how to implement portfolio optimization concepts using credit-relevant parameters, and basic Markowitz or more sophisticated modified approaches (e.g., Conditional Value at Risk, Omega optimization) to fulfill the special needs of an active credit portfolio management on a single-name and on a portfolio basis (taking default correlation within a credit risk model framework into account). This includes appropriate strategies to analyze the impact from credit-relevant newsflow (macro- and micro-fundamental news, rating actions, etc.). As credits resemble equity-linked instruments, we also highlight how to implement debt-equity strategies, which are based on a modified Merton approach. The book is obligatory for credit portfolio managers of funds and insurance companies, as well as bank-book managers, credit traders in investment banks, cross-asset players in hedge funds, and risk controllers.
| Author | : Gunter Meissner |
| Publisher | : John Wiley & Sons |
| Total Pages | : 268 |
| Release | : 2013-12-19 |
| Genre | : Business & Economics |
| ISBN | : 1118796896 |
A thorough guide to correlation risk and its growing importance in global financial markets Ideal for anyone studying for CFA, PRMIA, CAIA, or other certifications, Correlation Risk Modeling and Management is the first rigorous guide to the topic of correlation risk. A relatively overlooked type of risk until it caused major unexpected losses during the financial crisis of 2007 through 2009, correlation risk has become a major focus of the risk management departments in major financial institutions, particularly since Basel III specifically addressed correlation risk with new regulations. This offers a rigorous explanation of the topic, revealing new and updated approaches to modelling and risk managing correlation risk. Offers comprehensive coverage of a topic of increasing importance in the financial world Includes the Basel III correlation framework Features interactive models in Excel/VBA, an accompanying website with further materials, and problems and questions at the end of each chapter
| Author | : Robert Kosowski |
| Publisher | : Academic Press |
| Total Pages | : 893 |
| Release | : 2014-11-26 |
| Genre | : Business & Economics |
| ISBN | : 0123870070 |
Principles of Financial Engineering, Third Edition, is a highly acclaimed text on the fast-paced and complex subject of financial engineering. This updated edition describes the "engineering" elements of financial engineering instead of the mathematics underlying it. It shows how to use financial tools to accomplish a goal rather than describing the tools themselves. It lays emphasis on the engineering aspects of derivatives (how to create them) rather than their pricing (how they act) in relation to other instruments, the financial markets, and financial market practices. This volume explains ways to create financial tools and how the tools work together to achieve specific goals. Applications are illustrated using real-world examples. It presents three new chapters on financial engineering in topics ranging from commodity markets to financial engineering applications in hedge fund strategies, correlation swaps, structural models of default, capital structure arbitrage, contingent convertibles, and how to incorporate counterparty risk into derivatives pricing. Poised midway between intuition, actual events, and financial mathematics, this book can be used to solve problems in risk management, taxation, regulation, and above all, pricing. A solutions manual enhances the text by presenting additional cases and solutions to exercises. This latest edition of Principles of Financial Engineering is ideal for financial engineers, quantitative analysts in banks and investment houses, and other financial industry professionals. It is also highly recommended to graduate students in financial engineering and financial mathematics programs. - The Third Edition presents three new chapters on financial engineering in commodity markets, financial engineering applications in hedge fund strategies, correlation swaps, structural models of default, capital structure arbitrage, contingent convertibles and how to incorporate counterparty risk into derivatives pricing, among other topics - Additions, clarifications, and illustrations throughout the volume show these instruments at work instead of explaining how they should act - The solutions manual enhances the text by presenting additional cases and solutions to exercises
