Interest Rate Modeling Post Crisis Challenges And Approaches

Author : Zorana Grbac,Wolfgang Runggaldier
Publisher : Springer
Page : 140 pages
File Size : 46,7 Mb
Release : 2015-12-26
Category : Mathematics
ISBN : 9783319253855

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Interest Rate Modeling: Post-Crisis Challenges and Approaches by Zorana Grbac,Wolfgang Runggaldier Pdf

Filling a gap in the literature caused by the recent financial crisis, this book provides a treatment of the techniques needed to model and evaluate interest rate derivatives according to the new paradigm for fixed income markets. Concerning this new development, there presently exist only research articles and two books, one of them an edited volume, both being written by researchers working mainly in practice. The aim of this book is to concentrate primarily on the methodological side, thereby providing an overview of the state-of-the-art and also clarifying the link between the new models and the classical literature. The book is intended to serve as a guide for graduate students and researchers as well as practitioners interested in the paradigm change for fixed income markets. A basic knowledge of fixed income markets and related stochastic methodology is assumed as a prerequisite.

Author : Marco Bianchetti,Massimo Morini
Publisher : Unknown
Page : 0 pages
File Size : 53,5 Mb
Release : 2013
Category : Derivative securities
ISBN : 1906348936

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Interest Rate Modelling After the Financial Crisis by Marco Bianchetti,Massimo Morini Pdf

As interest rate markets continue to innovate and expand in this new landscape, it is becoming increasingly important to remain up-to-date with the latest practical and theoretical developments. In Interest Rate Modelling after the Financial Crisis, Massimo Morini and Marco Bianchetti address and explicate these changes, gathering the latest ideas on post-crisis market modelling and applying new methods to market data and market practice.

Author : Mehdi Mili,Reyes Samaniego Medina,Filippo di Pietro
Publisher : Springer
Page : 297 pages
File Size : 41,7 Mb
Release : 2018-08-18
Category : Business & Economics
ISBN : 9783319952857

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New Methods in Fixed Income Modeling by Mehdi Mili,Reyes Samaniego Medina,Filippo di Pietro Pdf

This book presents new approaches to fixed income modeling and portfolio management techniques. Taking into account the latest mathematical and econometric developments in finance, it analyzes the hedging securities and structured instruments that are offered by banks, since recent research in the field of fixed incomes and financial markets has raised awareness for changes in market risk management strategies. The book offers a valuable resource for all researchers and practitioners interested in the theory behind fixed income instruments, and in their applications in financial portfolio management.

Author : Jan Kallsen,Antonis Papapantoleon
Publisher : Springer
Page : 496 pages
File Size : 42,5 Mb
Release : 2016-12-01
Category : Mathematics
ISBN : 9783319458755

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Advanced Modelling in Mathematical Finance by Jan Kallsen,Antonis Papapantoleon Pdf

This Festschrift resulted from a workshop on “Advanced Modelling in Mathematical Finance” held in honour of Ernst Eberlein’s 70th birthday, from 20 to 22 May 2015 in Kiel, Germany. It includes contributions by several invited speakers at the workshop, including several of Ernst Eberlein’s long-standing collaborators and former students. Advanced mathematical techniques play an ever-increasing role in modern quantitative finance. Written by leading experts from academia and financial practice, this book offers state-of-the-art papers on the application of jump processes in mathematical finance, on term-structure modelling, and on statistical aspects of financial modelling. It is aimed at graduate students and researchers interested in mathematical finance, as well as practitioners wishing to learn about the latest developments.

Author : Kathrin Glau,Zorana Grbac,Matthias Scherer,Rudi Zagst
Publisher : Springer
Page : 449 pages
File Size : 50,8 Mb
Release : 2016-12-02
Category : Mathematics
ISBN : 9783319334462

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Innovations in Derivatives Markets by Kathrin Glau,Zorana Grbac,Matthias Scherer,Rudi Zagst Pdf

This book presents 20 peer-reviewed chapters on current aspects of derivatives markets and derivative pricing. The contributions, written by leading researchers in the field as well as experienced authors from the financial industry, present the state of the art in: • Modeling counterparty credit risk: credit valuation adjustment, debit valuation adjustment, funding valuation adjustment, and wrong way risk. • Pricing and hedging in fixed-income markets and multi-curve interest-rate modeling. • Recent developments concerning contingent convertible bonds, the measuring of basis spreads, and the modeling of implied correlations. The recent financial crisis has cast tremendous doubts on the classical view on derivative pricing. Now, counterparty credit risk and liquidity issues are integral aspects of a prudent valuation procedure and the reference interest rates are represented by a multitude of curves according to their different periods and maturities. A panel discussion included in the book (featuring Damiano Brigo, Christian Fries, John Hull, and Daniel Sommer) on the foundations of modeling and pricing in the presence of counterparty credit risk provides intriguing insights on the debate.

Author : Leif B. G. Andersen,Vladimir V. Piterbarg
Publisher : Unknown
Page : 1154 pages
File Size : 55,9 Mb
Release : 2010
Category : Business & Economics
ISBN : 0984422102

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Interest Rate Modeling by Leif B. G. Andersen,Vladimir V. Piterbarg Pdf

"The three volumes of Interest rate modeling are aimed primarily at practitioners working in the area of interest rate derivatives, but much of the material is quite general and, we believe, will also hold significant appeal to researchers working in other asset classes. Students and academics interested in financial engineering and applied work will find the material particularly useful for its description of real-life model usage and for its expansive discussion of model calibration, approximation theory, and numerical methods."--Preface.

Author : Kathrin Glau,Daniel Linders,Aleksey Min,Matthias Scherer,Lorenz Schneider,Rudi Zagst
Publisher : World Scientific
Page : 468 pages
File Size : 49,7 Mb
Release : 2018-09-14
Category : Business & Economics
ISBN : 9789813272576

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Innovations In Insurance, Risk- And Asset Management - Proceedings Of The Innovations In Insurance, Risk- And Asset Management Conference by Kathrin Glau,Daniel Linders,Aleksey Min,Matthias Scherer,Lorenz Schneider,Rudi Zagst Pdf

This book covers recent developments in the interdisciplinary fields of actuarial science, quantitative finance, risk- and asset management. The authors are leading experts from academia and practice who participated in Innovations in Insurance, Risk- and Asset Management, an international conference held at the Technical University of Munich in 2017.The topics covered include the mathematics of extreme risks, systemic risk, model uncertainty, interest rate and hybrid models, alternative investments, dynamic investment strategies, quantitative risk management, asset liability management, liability driven investments, and behavioral finance.This timely selection of topics is highly relevant for the financial industry and addresses current issues both from an academic as well as from a practitioner's point of view.

Author : Anna Esposito,Marcos Faundez-Zanuy,Francesco Carlo Morabito,Eros Pasero
Publisher : Springer
Page : 318 pages
File Size : 50,9 Mb
Release : 2018-07-21
Category : Technology & Engineering
ISBN : 9783319950983

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Neural Advances in Processing Nonlinear Dynamic Signals by Anna Esposito,Marcos Faundez-Zanuy,Francesco Carlo Morabito,Eros Pasero Pdf

This book proposes neural networks algorithms and advanced machine learning techniques for processing nonlinear dynamic signals such as audio, speech, financial signals, feedback loops, waveform generation, filtering, equalization, signals from arrays of sensors, and perturbations in the automatic control of industrial production processes. It also discusses the drastic changes in financial, economic, and work processes that are currently being experienced by the computational and engineering sciences community. Addresses key aspects, such as the integration of neural algorithms and procedures for the recognition, the analysis and detection of dynamic complex structures and the implementation of systems for discovering patterns in data, the book highlights the commonalities between computational intelligence (CI) and information and communications technologies (ICT) to promote transversal skills and sophisticated processing techniques. This book is a valuable resource for a. The academic research community b. The ICT market c. PhD students and early stage researchers d. Companies, research institutes e. Representatives from industry and standardization bodies

Author : L. P. Hughston
Publisher : Unknown
Page : 408 pages
File Size : 47,9 Mb
Release : 1996
Category : Economics
ISBN : UIUC:30112046211899

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Vasicek and Beyond by L. P. Hughston Pdf

Author : Lixin Wu
Publisher : Chapman & Hall/CRC
Page : 0 pages
File Size : 48,9 Mb
Release : 2024-05
Category : Business & Economics
ISBN : 1032483555

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Interest Rate Modeling by Lixin Wu Pdf

Containing many results that are new, or which exist only in recent research articles, this thoroughly revised third edition of Interest Rate Modeling: Theory and Practice, Third Edition portrays the theory of interest rate modeling as a three-dimensional object of finance, mathematics, and computation. It introduces all models with financial-economical justifications, develops options along the martingale approach, and handles option evaluations with precise numerical methods. Features Presents a complete cycle of model construction and applications, showing readers how to build and use models Provides a systematic treatment of intriguing industrial issues, such as volatility smiles and correlation adjustments Contains exercise sets and a number of examples, with many based on real market data Includes comments on cutting-edge research, such as volatility-smile, positive interest-rate models, and convexity adjustment. New to the Third edition Introduction of Fed fund market and Fed fund futures Replacement of the forward-looking USD LIBOR by the backward-looking SOFR term rates in the market model, and the deletion of dual-curve market model developed especially for the post-crisis derivatives markets New chapters on LIBOR Transition and SOFR Derivatives Markets.

Author : Carsten Wehn,Christian Hoppe,Greg N. Gregoriou
Publisher : Academic Press
Page : 652 pages
File Size : 40,6 Mb
Release : 2012-12-17
Category : Business & Economics
ISBN : 9780124158887

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Rethinking Valuation and Pricing Models by Carsten Wehn,Christian Hoppe,Greg N. Gregoriou Pdf

It is widely acknowledged that many financial modelling techniques failed during the financial crisis, and in our post-crisis environment many techniques are being reconsidered. This single volume provides a guide to lessons learned for practitioners and a reference for academics. Including reviews of traditional approaches, real examples, and case studies, contributors consider portfolio theory; methods for valuing equities and equity derivatives, interest rate derivatives, and hybrid products; and techniques for calculating risks and implementing investment strategies. Describing new approaches without losing sight of their classical antecedents, this collection of original articles presents a timely perspective on our post-crisis paradigm. Highlights pre-crisis best classical practices, identifies post-crisis key issues, and examines emerging approaches to solving those issues Singles out key factors one must consider when valuing or calculating risks in the post-crisis environment Presents material in a homogenous, practical, clear, and not overly technical manner

Author : Ernst Eberlein,Jan Kallsen
Publisher : Springer Nature
Page : 774 pages
File Size : 49,5 Mb
Release : 2019-12-03
Category : Mathematics
ISBN : 9783030261061

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Mathematical Finance by Ernst Eberlein,Jan Kallsen Pdf

Taking continuous-time stochastic processes allowing for jumps as its starting and focal point, this book provides an accessible introduction to the stochastic calculus and control of semimartingales and explains the basic concepts of Mathematical Finance such as arbitrage theory, hedging, valuation principles, portfolio choice, and term structure modelling. It bridges thegap between introductory texts and the advanced literature in the field. Most textbooks on the subject are limited to diffusion-type models which cannot easily account for sudden price movements. Such abrupt changes, however, can often be observed in real markets. At the same time, purely discontinuous processes lead to a much wider variety of flexible and tractable models. This explains why processes with jumps have become an established tool in the statistics and mathematics of finance. Graduate students, researchers as well as practitioners will benefit from this monograph.

Author : Michał Barski,Jerzy Zabczyk
Publisher : Cambridge University Press
Page : 401 pages
File Size : 55,7 Mb
Release : 2020-04-23
Category : Business & Economics
ISBN : 9781107101296

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Mathematics of the Bond Market: A Lévy Processes Approach by Michał Barski,Jerzy Zabczyk Pdf

Analyses bond market models with Lévy stochastic factors, suitable for graduates and researchers in probability and mathematical finance.

Author : Fredj Jawadi,William Barnett
Publisher : Emerald Group Publishing
Page : 560 pages
File Size : 54,8 Mb
Release : 2015-07-02
Category : Business & Economics
ISBN : 9781784417796

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Monetary Policy in the Context of Financial Crisis by Fredj Jawadi,William Barnett Pdf

This is Volume 24 of the monograph series International Symposia in Economic Theory and Econometrics. ISETE publishes proceedings of conferences and symposia, as well as research monographs of the highest quality and importance.

Author : Anonim
Publisher : Lulu.com
Page : 294 pages
File Size : 50,6 Mb
Release : 2004
Category : Bank capital
ISBN : 9789291316694

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International Convergence of Capital Measurement and Capital Standards by Anonim Pdf