Credit Risk: Modeling, Valuation and Hedging, Tomasz R. Bielecki; Marek Rutkowski
Автор: Cesari Giovanni Название: Modelling, Pricing, and Hedging Counterparty Credit Exposure ISBN: 3642262082 ISBN-13(EAN): 9783642262081 Издательство: Springer Рейтинг: Цена: 69870.00 T Наличие на складе: Есть у поставщика Поставка под заказ. Описание: It was the end of 2005 when our employer, a major European Investment Bank, gave our team the mandate to compute in an accurate way the counterparty credit exposure arising from exotic derivatives traded by the ?rm.
Автор: Bouchard Название: Fundamentals and Advanced Techniques in Derivatives Hedging ISBN: 3319389882 ISBN-13(EAN): 9783319389882 Издательство: Springer Рейтинг: Цена: 41920.00 T Наличие на складе: Есть у поставщика Поставка под заказ. Описание:
This book covers the theory of derivatives pricing and hedging as well as techniques used in mathematical finance. The authors use a top-down approach, starting with fundamentals before moving to applications, and present theoretical developments alongside various exercises, providing many examples of practical interest.
A large spectrum of concepts and mathematical tools that are usually found in separate monographs are presented here. In addition to the no-arbitrage theory in full generality, this book also explores models and practical hedging and pricing issues. Fundamentals and Advanced Techniques in Derivatives Hedging further introduces advanced methods in probability and analysis, including Malliavin calculus and the theory of viscosity solutions, as well as the recent theory of stochastic targets and its use in risk management, making it the first textbook covering this topic.
Graduate students in applied mathematics with an understanding of probability theory and stochastic calculus will find this book useful to gain a deeper understanding of fundamental concepts and methods in mathematical finance.
Автор: Nielsen, Lars Tyge Название: Pricing and Hedging of Derivative Securities ISBN: 0198776195 ISBN-13(EAN): 9780198776192 Издательство: Oxford Academ Рейтинг: Цена: 134640.00 T Наличие на складе: Невозможна поставка. Описание: An introduction to advanced probability theory in financial economics, this text covers continuous-time stochastic processes; trading, pricing, and hedging in continuous time, using the Martingale approach; and the BlackScholes and Gaussian one-factor models of the term structure of interest rates.
Автор: Mahoney Daniel Название: Modeling and Valuation of Energy Structures ISBN: 1137560142 ISBN-13(EAN): 9781137560148 Издательство: Springer Рейтинг: Цена: 102480.00 T Наличие на складе: Есть у поставщика Поставка под заказ. Описание: Commodity markets present several challenges for quantitative modeling. In addition, the set of traded products in commodity markets is more limited than in financial or equity markets, making value extraction through trading more difficult.
Автор: Davidson Andrew S. Название: Mortgage Valuation Models: Embedded Options, Risk, and Uncertainty ISBN: 0199998167 ISBN-13(EAN): 9780199998166 Издательство: Oxford Academ Рейтинг: Цена: 134640.00 T Наличие на складе: Есть у поставщика Поставка под заказ. Описание: Valuation of mortgage-backed securities requires blending empirical analysis of borrower behavior and mathematical modeling of interest rates and home prices, with recognition of various prices of risk and uncertainty. This book offers a detailed description of the sophisticated theories and advanced methods used for the real-world valuation of MBS.
Автор: Nicholas H. Bingham; R?diger Kiesel Название: Risk-Neutral Valuation ISBN: 184996873X ISBN-13(EAN): 9781849968737 Издательство: Springer Рейтинг: Цена: 62380.00 T Наличие на складе: Есть у поставщика Поставка под заказ. Описание: This second edition - completely up to date with new exercises - provides a comprehensive and self-contained treatment of the probabilistic theory behind the risk-neutral valuation principle and its application to the pricing and hedging of financial derivatives.
Автор: Arindam Chaudhuri; Soumya K. Ghosh Название: Quantitative Modeling of Operational Risk in Finance and Banking Using Possibility Theory ISBN: 3319374184 ISBN-13(EAN): 9783319374185 Издательство: Springer Рейтинг: Цена: 78350.00 T Наличие на складе: Есть у поставщика Поставка под заказ. Описание: This book offers a comprehensive guide to the modelling of operational risk using possibility theory. The book offers a complete assessment of fuzzy methods for determining both value at risk (VaR) and subjective value at risk (SVaR), together with a stability estimation of VaR and SVaR.
Автор: Aniello Amendola; Tatiana Ermolieva; Joanne Linner Название: Integrated Catastrophe Risk Modeling ISBN: 9401784981 ISBN-13(EAN): 9789401784986 Издательство: Springer Рейтинг: Цена: 104480.00 T Наличие на складе: Есть у поставщика Поставка под заказ. Описание: Efficient and equitable policies for managing disaster risks and adapting to global environmental change are critically dependent on development of robust options supported by integrated modeling. The book is addressed both to researchers and to organizations involved with catastrophe risk management and risk mitigation policies.
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