Market Consistent Prices

Author : Pablo Koch-Medina,Cosimo Munari
Publisher : Springer Nature
Page : 448 pages
File Size : 43,7 Mb
Release : 2020-07-16
Category : Mathematics
ISBN : 9783030397241

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Market-Consistent Prices by Pablo Koch-Medina,Cosimo Munari Pdf

Arbitrage Theory provides the foundation for the pricing of financial derivatives and has become indispensable in both financial theory and financial practice. This textbook offers a rigorous and comprehensive introduction to the mathematics of arbitrage pricing in a discrete-time, finite-state economy in which a finite number of securities are traded. In a first step, various versions of the Fundamental Theorem of Asset Pricing, i.e., characterizations of when a market does not admit arbitrage opportunities, are proved. The book then focuses on incomplete markets where the main concern is to obtain a precise description of the set of “market-consistent” prices for nontraded financial contracts, i.e. the set of prices at which such contracts could be transacted between rational agents. Both European-type and American-type contracts are considered. A distinguishing feature of this book is its emphasis on market-consistent prices and a systematic description of pricing rules, also at intermediate dates. The benefits of this approach are most evident in the treatment of American options, which is novel in terms of both the presentation and the scope, while also presenting new results. The focus on discrete-time, finite-state models makes it possible to cover all relevant topics while requiring only a moderate mathematical background on the part of the reader. The book will appeal to mathematical finance and financial economics students seeking an elementary but rigorous introduction to the subject; mathematics and physics students looking for an opportunity to get acquainted with a modern applied topic; and mathematicians, physicists and quantitatively inclined economists working or planning to work in the financial industry.

Author : Mario V. Wüthrich,Hans Bühlmann,Hansjörg Furrer
Publisher : Springer Science & Business Media
Page : 164 pages
File Size : 50,9 Mb
Release : 2010-09-02
Category : Mathematics
ISBN : 9783642148521

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Market-Consistent Actuarial Valuation by Mario V. Wüthrich,Hans Bühlmann,Hansjörg Furrer Pdf

It is a challenging task to read the balance sheet of an insurance company. This derives from the fact that different positions are often measured by different yardsticks. Assets, for example, are mostly valued at market prices whereas liabilities are often measured by established actuarial methods. However, there is a general agreement that the balance sheet of an insurance company should be measured in a consistent way. Market-Consistent Actuarial Valuation presents powerful methods to measure liabilities and assets in a consistent way. The mathematical framework that leads to market-consistent values for insurance liabilities is explained in detail by the authors. Topics covered are stochastic discounting with deflators, valuation portfolio in life and non-life insurance, probability distortions, asset and liability management, financial risks, insurance technical risks, and solvency.

Author : Malcolm Kemp
Publisher : John Wiley & Sons
Page : 647 pages
File Size : 45,7 Mb
Release : 2009-09-10
Category : Business & Economics
ISBN : 9780470684894

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Market Consistency by Malcolm Kemp Pdf

Achieving market consistency can be challenging, even for the most established finance practitioners. In Market Consistency: Model Calibration in Imperfect Markets, leading expert Malcolm Kemp shows readers how they can best incorporate market consistency across all disciplines. Building on the author's experience as a practitioner, writer and speaker on the topic, the book explores how risk management and related disciplines might develop as fair valuation principles become more entrenched in finance and regulatory practice. This is the only text that clearly illustrates how to calibrate risk, pricing and portfolio construction models to a market consistent level, carefully explaining in a logical sequence when and how market consistency should be used, what it means for different financial disciplines and how it can be achieved for both liquid and illiquid positions. It explains why market consistency is intrinsically difficult to achieve with certainty in some types of activities, including computation of hedging parameters, and provides solutions to even the most complex problems. The book also shows how to best mark-to-market illiquid assets and liabilities and to incorporate these valuations into solvency and other types of financial analysis; it indicates how to define and identify risk-free interest rates, even when the creditworthiness of governments is no longer undoubted; and it explores when practitioners should focus most on market consistency and when their clients or employers might have less desire for such an emphasis. Finally, the book analyses the intrinsic role of regulation and risk management within different parts of the financial services industry, identifying how and why market consistency is key to these topics, and highlights why ideal regulatory solvency approaches for long term investors like insurers and pension funds may not be the same as for other financial market participants such as banks and asset managers.

Author : Mario V. Wüthrich
Publisher : Springer
Page : 145 pages
File Size : 49,7 Mb
Release : 2016-10-22
Category : Business & Economics
ISBN : 9783319466361

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Market-Consistent Actuarial Valuation by Mario V. Wüthrich Pdf

This is the third edition of this well-received textbook, presenting powerful methods for measuring insurance liabilities and assets in a consistent way, with detailed mathematical frameworks that lead to market-consistent values for liabilities. Topics covered are stochastic discounting with deflators, valuation portfolio in life and non-life insurance, probability distortions, asset and liability management, financial risks, insurance technical risks, and solvency. Including updates on recent developments and regulatory changes under Solvency II, this new edition of Market-Consistent Actuarial Valuation also elaborates on different risk measures, providing a revised definition of solvency based on industry practice, and presents an adapted valuation framework which takes a dynamic view of non-life insurance reserving risk.

Author : Nils Rüfenacht
Publisher : Springer Science & Business Media
Page : 187 pages
File Size : 53,8 Mb
Release : 2012-05-04
Category : Business & Economics
ISBN : 9783790828429

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Implicit Embedded Options in Life Insurance Contracts by Nils Rüfenacht Pdf

This book presents a market-consistent valuation framework for implicit embedded options in life insurance contracts. This framework is used to perform an empirical analysis based on more than 110,000 actual and in-force life insurance policies and with a focus on the modeling of interest rates. Its results are the answer to the central question posed in the objectives: What value do the embedded options and guarantees considered have? This question is answered both absolutely and relative to the current policy reserves, from the perspective of the insurer, the policyholder and the shareholder respectively

Author : Kathrin Glau,Matthias Scherer,Rudi Zagst
Publisher : Springer
Page : 434 pages
File Size : 52,5 Mb
Release : 2015-01-09
Category : Mathematics
ISBN : 9783319091143

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Innovations in Quantitative Risk Management by Kathrin Glau,Matthias Scherer,Rudi Zagst Pdf

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 : Anonim
Publisher : Lulu.com
Page : 294 pages
File Size : 54,7 Mb
Release : 2004
Category : Bank capital
ISBN : 9789291316694

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International Convergence of Capital Measurement and Capital Standards by Anonim Pdf

Author : Johan van der Ende,Rym Ayadi,Christopher O'Brien,Centre for European Policy Studies (Brussels, Belgium)
Publisher : CEPS
Page : 166 pages
File Size : 49,5 Mb
Release : 2006
Category : Business & Economics
ISBN : 9789290796305

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The Future of Insurance Regulation and Supervision in the EU by Johan van der Ende,Rym Ayadi,Christopher O'Brien,Centre for European Policy Studies (Brussels, Belgium) Pdf

This report offers a comprehensive overview of the developments in the European insurance market over the last decade. It also examines the regulatory initiatives undertaken by the relevant international organizations (IAIS, IAA IASB) in order to develop a global risk-sensitive solvency regime for insurance companies. The authors focus in particular on the ongoing developments of the new European solvency regime (known as Solvency II) and the issues addressed by the proposed EU directives on insurance groups and conglomerates.

Author : Tom Eisenmann
Publisher : Currency
Page : 370 pages
File Size : 45,9 Mb
Release : 2021-03-30
Category : Business & Economics
ISBN : 9780593137024

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Why Startups Fail by Tom Eisenmann Pdf

If you want your startup to succeed, you need to understand why startups fail. “Whether you’re a first-time founder or looking to bring innovation into a corporate environment, Why Startups Fail is essential reading.”—Eric Ries, founder and CEO, LTSE, and New York Times bestselling author of The Lean Startup and The Startup Way Why do startups fail? That question caught Harvard Business School professor Tom Eisenmann by surprise when he realized he couldn’t answer it. So he launched a multiyear research project to find out. In Why Startups Fail, Eisenmann reveals his findings: six distinct patterns that account for the vast majority of startup failures. • Bad Bedfellows. Startup success is thought to rest largely on the founder’s talents and instincts. But the wrong team, investors, or partners can sink a venture just as quickly. • False Starts. In following the oft-cited advice to “fail fast” and to “launch before you’re ready,” founders risk wasting time and capital on the wrong solutions. • False Promises. Success with early adopters can be misleading and give founders unwarranted confidence to expand. • Speed Traps. Despite the pressure to “get big fast,” hypergrowth can spell disaster for even the most promising ventures. • Help Wanted. Rapidly scaling startups need lots of capital and talent, but they can make mistakes that leave them suddenly in short supply of both. • Cascading Miracles. Silicon Valley exhorts entrepreneurs to dream big. But the bigger the vision, the more things that can go wrong. Drawing on fascinating stories of ventures that failed to fulfill their early promise—from a home-furnishings retailer to a concierge dog-walking service, from a dating app to the inventor of a sophisticated social robot, from a fashion brand to a startup deploying a vast network of charging stations for electric vehicles—Eisenmann offers frameworks for detecting when a venture is vulnerable to these patterns, along with a wealth of strategies and tactics for avoiding them. A must-read for founders at any stage of their entrepreneurial journey, Why Startups Fail is not merely a guide to preventing failure but also a roadmap charting the path to startup success.

Author : Kenneth L. Fisher
Publisher : McGraw Hill Professional
Page : 290 pages
File Size : 45,5 Mb
Release : 2007-10-12
Category : Business & Economics
ISBN : 9780071596305

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Super Stocks by Kenneth L. Fisher Pdf

Target the Super Stocks that deliver huge returns One of the most successful investing books ever published, Super Stocks showed investors how to use innovative techniques and fundamental analysis for valuing stocks and predicting future profit margins. You'll gain valuable insight into Fisher's original thinkin for valuing stocks and predicting future profit margins. A pioneer in the use of the Price Sales Ratio-a powerful analytical tool-Fisher regales readers with instructive tales of the businesses he invested in and profited from. Super Stocks gives a historical perspective on how Fisher successfully researched companies and stocks—who he saw and what he asked—to get a better read on profitable returns. “As rich in investment war stories as it is in knowledge.”-The Motley Fool

Author : Thomas C. Wilson
Publisher : John Wiley & Sons
Page : 720 pages
File Size : 45,5 Mb
Release : 2015-08-10
Category : Business & Economics
ISBN : 9781118774380

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Value and Capital Management by Thomas C. Wilson Pdf

A value management framework designed specifically for bankingand insurance The Value Management Handbook is a comprehensive,practical reference written specifically for bank and insurancevaluation and value management. Spelling out how the finance andrisk functions add value in their respective spheres, this bookpresents a framework for measuring – and more importantly,influencing – the value of the firm from the position of theCFO and CRO. Case studies illustrating value-enhancing initiativesare designed to help Heads of Strategy offer CEOs concrete ideastoward creating more value, and discussion of "hard" and "soft"skills put CFOs and CROs in a position to better influence strategyand operations. The challenge of financial services valuation isaddressed in terms of the roles of risk and capital, andbusiness-specific "value trees" demonstrate the source ofsuccessful value enhancement initiatives. While most value management resources fail to adequately addressthe unique role of risk and capital in banks, insurance, and assetmanagement, this book fills the gap by providing concrete,business-specific information that connects management actions andvalue creation, helping readers to: Measure value accurately for more productive value-basedmanagement initiatives and evaluation of growth opportunities Apply a quantitative, risk-adjusted value management frameworkreconciled with the way financial services shares are valued by themarket Develop a value set specific to the industry to inspireinitiatives that increase the firm's value Study the quantitative and qualitative management frameworksthat move CFOs and CROs from measurement to management The roles of CFO and CRO in financial firms have changeddramatically over the past decade, requiring business savvy and theability to challenge the CEO. The Value Management Handbookprovides the expert guidance that leads CFOs and CROs toward betterinformation, better insight, and better decisions.

Author : J. Monkiewicz,M. Malecki,Marian Ma?ecki
Publisher : Springer
Page : 302 pages
File Size : 55,9 Mb
Release : 2014-11-04
Category : Business & Economics
ISBN : 9781137439109

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Macroprudential Supervision in Insurance by J. Monkiewicz,M. Malecki,Marian Ma?ecki Pdf

Macroprudential policies, tools and supervision have become important since the last financial crisis. This book addresses general and methodological issues and provides a framework for the analysis of macroprudential policies and supervision in insurance. It focuses on policy related issues and global level aspects of macroprudential in insurance.

Author : Niels E. Kortleve,Theo E. Nijman,Eduard H. M. Ponds
Publisher : Emerald Group Publishing
Page : 219 pages
File Size : 48,5 Mb
Release : 2006-05-01
Category : Political Science
ISBN : 9780444522450

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Fair Value and Pension Fund Management by Niels E. Kortleve,Theo E. Nijman,Eduard H. M. Ponds Pdf

Written in accordance with the rules set by the International Accounting Standards Board, this work deals with the application of fair-value principles to accounting for pensions. It is of interest to pension professionals, pension fund trustees, and regulators.

Author : Burton G. Malkiel
Publisher : W. W. Norton & Company
Page : 454 pages
File Size : 40,6 Mb
Release : 2007-12-17
Category : Business & Economics
ISBN : 9780393330335

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A Random Walk Down Wall Street: The Time-Tested Strategy for Successful Investing (Ninth Edition) by Burton G. Malkiel Pdf

Updated with a new chapter that draws on behavioral finance, the field that studies the psychology of investment decisions, the bestselling guide to investing evaluates the full range of financial opportunities.

Author : Arne Sandström
Publisher : CRC Press
Page : 1084 pages
File Size : 45,6 Mb
Release : 2016-04-19
Category : Business & Economics
ISBN : 9781439821329

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Handbook of Solvency for Actuaries and Risk Managers by Arne Sandström Pdf

Reflecting the author's wealth of experience in this field, Handbook of Solvency for Actuaries and Risk Managers: Theory and Practice focuses on the valuation of assets and liabilities, the calculation of capital requirement, and the calculation of the standard formula for the European Solvency II project.The first three sections of the book examin