The Handbook Of Post Crisis Financial Modelling

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The Handbook of Post Crisis Financial Modelling

Emmanuel Haven,Philip Molyneux,John Wilson,Sergei Fedotov,Meryem Duygun
The Handbook of Post Crisis Financial Modelling Book PDF

Author : Emmanuel Haven,Philip Molyneux,John Wilson,Sergei Fedotov,Meryem Duygun
Publisher : Springer
Page : 316 pages
File Size : 40,5 Mb
Release : 2016-04-29
Category : Business & Economics
ISBN : 9781137494498

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The Handbook of Post Crisis Financial Modelling by Emmanuel Haven,Philip Molyneux,John Wilson,Sergei Fedotov,Meryem Duygun Pdf

The 2008 financial crisis was a watershed moment which clearly influenced the public's perception of the role of 'finance' in society. Since 2008, a plethora of books and newspaper articles have been produced accusing the academic community of being unable to produce valid models which can accommodate those extreme events. This unique Handbook brings together leading practitioners and academics in the areas of banking, mathematics, and law to present original research on the key issues affecting financial modelling since the 2008 financial crisis. As well as exploring themes of distributional assumptions and efficiency the Handbook also explores how financial modelling can possibly be re-interpreted in light of the 2008 crisis.

The Handbook of Post Crisis Financial Modelling

Emmanuel Haven
The Handbook of Post Crisis Financial Modelling Book PDF

Author : Emmanuel Haven
Publisher : Unknown
Page : 128 pages
File Size : 54,9 Mb
Release : 2015
Category : Economics, Mathematical
ISBN : 1786846896

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The Handbook of Post Crisis Financial Modelling by Emmanuel Haven Pdf

This unique Handbook brings together leading practitioners and academics in the areas of banking, mathematics, and law to present original research on the key issues affecting financial modelling since the 2008 financial crisis. As well as exploring themes of distributional assumptions and efficiency the Handbook also explores how financial modelling can possibly be re-interpreted in light of the 2008 crisis.

Interest Rate Modeling: Post-Crisis Challenges and Approaches

Zorana Grbac,Wolfgang Runggaldier
Interest Rate Modeling Post Crisis Challenges and Approaches Book PDF

Author : Zorana Grbac,Wolfgang Runggaldier
Publisher : Springer
Page : 140 pages
File Size : 53,7 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.

Handbook of Macroeconomics

John B. Taylor,Harald Uhlig
Handbook of Macroeconomics Book PDF

Author : John B. Taylor,Harald Uhlig
Publisher : Elsevier
Page : 1370 pages
File Size : 46,5 Mb
Release : 2016-12-01
Category : Business & Economics
ISBN : 9780444594778

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Handbook of Macroeconomics by John B. Taylor,Harald Uhlig Pdf

Handbook of Macroeconomics surveys all major advances in macroeconomic scholarship since the publication of Volume 1 (1999), carefully distinguishing between empirical, theoretical, methodological, and policy issues. It courageously examines why existing models failed during the financial crisis, and also addresses well-deserved criticism head on. With contributions from the world's chief macroeconomists, its reevaluation of macroeconomic scholarship and speculation on its future constitute an investment worth making. Serves a double role as a textbook for macroeconomics courses and as a gateway for students to the latest research Acts as a one-of-a-kind resource as no major collections of macroeconomic essays have been published in the last decade

Handbook of Financial Stress Testing

J. Doyne Farmer,Alissa M. Kleinnijenhuis,Til Schuermann,Thom Wetzer
Handbook of Financial Stress Testing Book PDF

Author : J. Doyne Farmer,Alissa M. Kleinnijenhuis,Til Schuermann,Thom Wetzer
Publisher : Unknown
Page : 729 pages
File Size : 41,8 Mb
Release : 2022-04-14
Category : Mathematics
ISBN : 9781108830737

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Handbook of Financial Stress Testing by J. Doyne Farmer,Alissa M. Kleinnijenhuis,Til Schuermann,Thom Wetzer Pdf

Discover current uses and future development of stress tests, the most innovative regulatory tool to prevent and fight financial crises.

Continuous-Time Models in Corporate Finance, Banking, and Insurance

Santiago Moreno-Bromberg,Jean-Charles Rochet
Continuous Time Models in Corporate Finance Banking and Insurance Book PDF

Author : Santiago Moreno-Bromberg,Jean-Charles Rochet
Publisher : Princeton University Press
Page : 176 pages
File Size : 54,9 Mb
Release : 2018-01-08
Category : Business & Economics
ISBN : 9781400889204

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Continuous-Time Models in Corporate Finance, Banking, and Insurance by Santiago Moreno-Bromberg,Jean-Charles Rochet Pdf

Continuous-Time Models in Corporate Finance synthesizes four decades of research to show how stochastic calculus can be used in corporate finance. Combining mathematical rigor with economic intuition, Santiago Moreno-Bromberg and Jean-Charles Rochet analyze corporate decisions such as dividend distribution, the issuance of securities, and capital structure and default. They pay particular attention to financial intermediaries, including banks and insurance companies. The authors begin by recalling the ways that option-pricing techniques can be employed for the pricing of corporate debt and equity. They then present the dynamic model of the trade-off between taxes and bankruptcy costs and derive implications for optimal capital structure. The core chapter introduces the workhorse liquidity-management model—where liquidity and risk management decisions are made in order to minimize the costs of external finance. This model is used to study corporate finance decisions and specific features of banks and insurance companies. The book concludes by presenting the dynamic agency model, where financial frictions stem from the lack of interest alignment between a firm's manager and its financiers. The appendix contains an overview of the main mathematical tools used throughout the book. Requiring some familiarity with stochastic calculus methods, Continuous-Time Models in Corporate Finance will be useful for students, researchers, and professionals who want to develop dynamic models of firms' financial decisions.

The Future of Finance

Moorad Choudhry,Gino Landuyt
The Future of Finance Book PDF

Author : Moorad Choudhry,Gino Landuyt
Publisher : John Wiley & Sons
Page : 53 pages
File Size : 44,9 Mb
Release : 2010-09-16
Category : Business & Economics
ISBN : 9780470906460

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The Future of Finance by Moorad Choudhry,Gino Landuyt Pdf

New banking and investment business models to navigate the post-financial crisis environment The financial crisis of 2007-2008 has discredited business models in the banking and fund management industries. In The Future of Finance, Moorad Choudhry and Gino Landuyt argue that banks must realign their business models, implying a lower return-on-equity; diversifying their funding sources; and increasing liquidity reserves. On the investment side, the authors discuss how diversification did not reduce risk, but rather amplified it, and failed to stabilize returns. The authors conclude that the clear lesson from the crisis is to know one's risk. A lesson that is best served by concentrating on assets and sectors that you understand. Examines the weaknesses in the business models of many institutions, as well as the theoretical foundation for professionals in the field of finance Identifies the shortcomings of Modern Portfolio Theory Addresses how investment managers can find new strategies for creating "alpha" and why they need to re-vamp their fee structures Filled with in-depth insights and practical advice, The Future of Finance will provide bankers and investment managers with a guide to realigning their businesses in order to prosper in the post-crisis financial markets.

Rethinking Valuation and Pricing Models

Carsten Wehn,Christian Hoppe,Greg N. Gregoriou
Rethinking Valuation and Pricing Models Book PDF

Author : Carsten Wehn,Christian Hoppe,Greg N. Gregoriou
Publisher : Academic Press
Page : 652 pages
File Size : 50,7 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

Quantum Methods in Social Science

Emmanuel Haven,Andrei Khrennikov,Terry Robinson
Quantum Methods in Social Science Book PDF

Author : Emmanuel Haven,Andrei Khrennikov,Terry Robinson
Publisher : World Scientific Publishing Company
Page : 276 pages
File Size : 48,5 Mb
Release : 2017-06-22
Category : Business & Economics
ISBN : 9781786342799

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Quantum Methods in Social Science by Emmanuel Haven,Andrei Khrennikov,Terry Robinson Pdf

Shown here is how basic concepts of physics can be used to improve models in finance, economics, psychology and biology. Readers are introduced to how physical theory can inform non-physical phenomena in the social sciences, thereby improving decision making and modeling capabilities in research-based and professional settings. Consisting of three parts, the first part deals with the application of quantum operator methods to financial transactions and population dynamics. Part two develops physical concepts, working from classical Lagrangian and Hamiltonian mechanics and leading to an introduction of quantum information and its application to decision making. The final part treats classical and quantum probability theory in some detail and deals, at a more advanced level, with the impact of quantum probabilities on common knowledge and common beliefs between agents in systems. Quantum Methods in Social Science is a high level textbook for advanced undergraduate or graduate students of economics, finance and business, while also being of interest to those with a background in physics. Request Inspection Copy Contents:Quantum Counting: The Number Operator in a Social Science Context:IntroductionClassical Interlude: Modelling Population DynamicsA Quantum Description of SystemsQuantum CountingQuantum TransactionsQuantum MigrationMore Elaborate SystemsConclusionsReferences — Part IThe Quantum-Like Paradigm with Simple Applications:Taking a Step BackModeling Information with an Operational FormalismDecision Making and Quantum ProbabilityReferences — Part IIThe Quantum-Like Paradigm with Advanced Applications:Basics of Classical ProbabilityQuantum ProbabilityCommon KnowledgeQuantum(-Like) Formalization of Common KnowledgeExamplesAppendixReferences — Part III Readership: Advanced undergraduate or graduate students of economics, finance and business, while also being of interest to those with a background in physics.

Fractal Approaches for Modeling Financial Assets and Predicting Crises

Nekrasova, Inna,Karnaukhova, Oxana,Christiansen, Bryan
Fractal Approaches for Modeling Financial Assets and Predicting Crises Book PDF

Author : Nekrasova, Inna,Karnaukhova, Oxana,Christiansen, Bryan
Publisher : IGI Global
Page : 306 pages
File Size : 44,5 Mb
Release : 2018-02-09
Category : Business & Economics
ISBN : 9781522537687

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Fractal Approaches for Modeling Financial Assets and Predicting Crises by Nekrasova, Inna,Karnaukhova, Oxana,Christiansen, Bryan Pdf

In an ever-changing economy, market specialists strive to find new ways to evaluate the risks and potential reward of economic ventures. They start by assessing the importance of human reaction during the economic planning process and put together systems to measure financial markets and their longevity. Fractal Approaches for Modeling Financial Assets and Predicting Crises is a critical scholarly resource that examines the fractal structure and long-term memory of the financial markets in order to predict prices of financial assets and financial crises. Featuring coverage on a broad range of topics, such as computational process models, chaos theory, and game theory, this book is geared towards academicians, researchers, and students seeking current research on pricing and predicting financial crises.

Structural Changes and their Econometric Modeling

Vladik Kreinovich,Songsak Sriboonchitta
Structural Changes and their Econometric Modeling Book PDF

Author : Vladik Kreinovich,Songsak Sriboonchitta
Publisher : Springer
Page : 776 pages
File Size : 47,9 Mb
Release : 2018-11-24
Category : Technology & Engineering
ISBN : 9783030042639

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Structural Changes and their Econometric Modeling by Vladik Kreinovich,Songsak Sriboonchitta Pdf

This book focuses on structural changes and economic modeling. It presents papers describing how to model structural changes, as well as those introducing improvements to the existing before-structural-changes models, making it easier to later on combine these models with techniques describing structural changes. The book also includes related theoretical developments and practical applications of the resulting techniques to economic problems. Most traditional mathematical models of economic processes describe how the corresponding quantities change with time. However, in addition to such relatively smooth numerical changes, economical phenomena often undergo more drastic structural change. Describing such structural changes is not easy, but it is vital if we want to have a more adequate description of economic phenomena – and thus, more accurate and more reliable predictions and a better understanding on how best to influence the economic situation.

Handbook of Investors' Behavior during Financial Crises

Fotini Economou,Konstantinos Gavriilidis,Greg N. Gregoriou,Vasileios Kallinterakis
Handbook of Investors Behavior during Financial Crises Book PDF

Author : Fotini Economou,Konstantinos Gavriilidis,Greg N. Gregoriou,Vasileios Kallinterakis
Publisher : Academic Press
Page : 514 pages
File Size : 49,8 Mb
Release : 2017-06-24
Category : Business & Economics
ISBN : 9780128112533

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Handbook of Investors' Behavior during Financial Crises by Fotini Economou,Konstantinos Gavriilidis,Greg N. Gregoriou,Vasileios Kallinterakis Pdf

The Handbook of Investors' Behavior during Financial Crises provides fundamental information about investor behavior during turbulent periods, such the 2000 dot com crash and the 2008 global financial crisis. Contributors share the same behavioral finance tools and techniques while analyzing behaviors across a variety of market structures and asset classes. The volume provides novel insights about the influence and effects of regional differences in market design. Its distinctive approach to studies of financial crises is of key importance in our contemporary financial landscape, even more so since the accelerated process of globalization has rendered the outbreak of financial crises internationally more commonplace compared to previous decades. Encompasses empirical, quantitative and regulation-motivated studies Includes information about retail and institutional investor behavior Analyzes optimal financial structures for the development and growth of specific regional economies

Behavioral Finance and Asset Prices

David Bourghelle,Pascal Grandin,Fredj Jawadi,Philippe Rozin
Behavioral Finance and Asset Prices Book PDF

Author : David Bourghelle,Pascal Grandin,Fredj Jawadi,Philippe Rozin
Publisher : Springer Nature
Page : 228 pages
File Size : 52,7 Mb
Release : 2023-04-05
Category : Business & Economics
ISBN : 9783031244865

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Behavioral Finance and Asset Prices by David Bourghelle,Pascal Grandin,Fredj Jawadi,Philippe Rozin Pdf

In recent decades, the financial markets have experienced various crises, shocks and disruptive events, driving high levels of volatility. This volatility is too strong to be fully justified simply by changes in fundamentals. This volume discusses these highly relevant issues with special focus on asset pricing and behavioral finance. Financial price assets of the 2020s appear to be driven by various attractors in addition to fundamentals, and there is no doubt that investor emotions, market sentiment, the news, and external factors such as uncertainty all play a key role. This has been clearly observed in recent years, especially during the ongoing coronavirus pandemic that has changed the common perception of the way financial markets work.

Stochastic Analysis, Filtering, and Stochastic Optimization

George Yin,Thaleia Zariphopoulou
Stochastic Analysis Filtering and Stochastic Optimization Book PDF

Author : George Yin,Thaleia Zariphopoulou
Publisher : Springer Nature
Page : 466 pages
File Size : 48,5 Mb
Release : 2022-04-22
Category : Mathematics
ISBN : 9783030985196

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Stochastic Analysis, Filtering, and Stochastic Optimization by George Yin,Thaleia Zariphopoulou Pdf

This volume is a collection of research works to honor the late Professor Mark H.A. Davis, whose pioneering work in the areas of Stochastic Processes, Filtering, and Stochastic Optimization spans more than five decades. Invited authors include his dissertation advisor, past collaborators, colleagues, mentees, and graduate students of Professor Davis, as well as scholars who have worked in the above areas. Their contributions may expand upon topics in piecewise deterministic processes, pathwise stochastic calculus, martingale methods in stochastic optimization, filtering, mean-field games, time-inconsistency, as well as impulse, singular, risk-sensitive and robust stochastic control.

A Financial Crisis Manual

Dimitrios D. Thomakos,Platon Monokroussos,Konstantinos I. Nikolopoulos
A Financial Crisis Manual Book PDF

Author : Dimitrios D. Thomakos,Platon Monokroussos,Konstantinos I. Nikolopoulos
Publisher : Springer
Page : 334 pages
File Size : 52,6 Mb
Release : 2016-03-31
Category : Business & Economics
ISBN : 9781137448309

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A Financial Crisis Manual by Dimitrios D. Thomakos,Platon Monokroussos,Konstantinos I. Nikolopoulos Pdf

The recent financial crisis has generated many structural changes within the economy. Many issues are ongoing, and the question of how to recover from the crisis, and how to avoid another one, are continually addressed by scholars and practitioners everywhere. Where there is much discussion within academic and practitioner circles, there is not always adequate interaction between these schools of research. This book provides a thorough overview of the recent financial crisis from the perspective of both industry practitioners and academics specialising in the area. The first part provides practitioner insight on the crisis, and explores the causes and effects and of the recession, European public financing, ECB monetary policy and the Euro, the repression of financial markets, and financial stability. Part two focuses on the case of Greece, as a country still heavily impacted by the crisis, which has undergone various unorthodox policies imposed by the IMF, the ECB the EU. The third part provides insight from researchers and academics, covering an array of Economic theories and revealing new economics architectures available for the future. With informed views from both financial industry practitioners and academics, this book discusses current issues and implementable solutions for a faster post-crisis recovery.