From Financial Engineering to Risk Management. Radu Tunaru University of Kent, UK
|
|
- Thomas Thornton
- 5 years ago
- Views:
Transcription
1 Model Risk in Financial Markets From Financial Engineering to Risk Management Radu Tunaru University of Kent, UK \Yp World Scientific NEW JERSEY LONDON SINGAPORE BEIJING SHANGHAI HONG KONG TAIPEI CHENNAI
2 Contents Preface List of Notations List of Figures List of Tables vii ix xix xxiii 1. Introduction 1 2. Fundamental Relationships Introduction Present Value Constant Relative Risk Aversion Utility Risk versus Return: The Sharpe Ratio Issues related to non-normality The Sharpe ratio and negative returns ART Notes and Summary Model Risk in Interest Rate Modelling Introduction Short Rate Models Theory of Interest Rate Term Structure Expectations Hypothesis A reexamination of Log EH Reconciling the arguments and examples Yield Curve 39 xi
3 xii Model Risk in Financial Markets Parallel shift of a flat yield curve Another proof that the yield curve cannot be flat Deterministic maturity independcnt yields Consol modelling Interest Rate Forward Curve Modelling One-factor or Multi-factor models Notes and Summary Arbitrage Theory Introduction Transaction Costs Arbitrage Non-convergence frnancial gain process Distortion operator with arbitrage Notes and Summary Derivatives Pricing Under Uncertainty Introduction to Model Risk Parameter estimation risk Model selection risk Model identification risk Computational Implementation risk Model protocol risk Uncertain Volatility An option pricing model with uncertain volatility Option Pricing under Uncertainty in Complete Markets Parameter uncertainty Model uncertainty Numerical examples Accounting for parameter estimation risk in the Black-Scholes model Accounting for parameter estimation risk in the CEV model A Simple Measure of Parameter Uncertainty Risk Bayesian Option Pricing Modelling the future asset value under physical measure 100
4 Contents xiii Modelling the current asset value under a riskneutral measure Measuring Model Uncertainty Worst case risk measure Cont's Framework for Model Uncertainty An axiomatic approach A coherent measure of model risk A convex measure of model risk Notes and Summary Portfolio Selection under Uncertainty Introduction to Model Risk for Portfolio Analysis Bayesian Averaging for Portfolio Analysis Empirical Bayes priors Marginal likelihood calculations Portfolio Optimization Portfolio optimisation with stochastic interest rates Stochastic market price of risk Stochastic volatility Notes and Summary Probability Pitfalls of Financial Calculus Introduction Probability Distribution Functions and Density Functions Gaussian Distribution Moments Mean-median-mode inequality Distributions are not defined by moments Conditional expectation Stochastic Processes Infinite returns from finite variance processes Martingales Spurious Testing Spurious mean reversion Spurious regression Dependence Measures 140
5 xiv Model Risk in Financial Markets Problems with the Pearson linear correlation coefficient Pitfalls in detecting breakdown of linear correlation Copulas More general issues Dependence and Levy processes Notes and Summary Model Risk in Risk Measures Calculations Introduction Controlling Risk in Insurance Diversifikation Variance Coherent Distortion Risk Measures Value-at-Risk General observations Expected shortfall and expected tail loss Violations ratio Correct representation VaR may not be subadditive Artificial improvement of VaR Problems at long horizon Backtesting Uncertainty in risk estimates: A short overview Backtesting VaR Asymptotic Risk of VaR Normal VaR More general asymptotic Standard errors for VaR Exact confidence intervals for VaR Examples VaR at different significance levels Exact confidence intervals Extreme losses estimation and uncertainty Backtesting expected shortfall Notes and Summary 199
6 Contents xv 9. Parameter Estimation Risk Introduction Problems with Estimating Diffusions A brief review Parameter estimation for the Vasicek model Parameter estimation for the CIR model Problems with Estimation of Jump-Diffusion Models The Gaussian-Poisson jump-diffusion model ML Estimation under the Merton Model Inexistence of an unbiased estimator A Critique of Maximum Likelihood Estimation Bootstrapping Can Be Unreliable Too Notes and Summary Computational Problems Introduction Problems with Monte Carlo Variance Reduction Techniques Pitfalls in Estimating Greeks with Pathwise Monte Carlo Simulation Pitfall in Options Portfolio Calculation by Approximation Methods Transformations and Expansions Edgeworth expansion Computational issues for MLE Calculating the Implied Volatility Existence and uniqueness of implied volatility under Black-Scholes Approximation formulae for implied volatility An interesting example Incorrect Implied Volatility for Merton Model Notes and Summary Portfolio Selection Using the Sharpe Ratio Bayesian Calibration for Low Frequency Data Introduction 263
7 xvi Model Risk in Financial Markets 12.2 Problems in Pricing Derivatives for Assets with a Slow Business Time Choosing the Correct Auxiliary Vahles Empirical Exemplifications A mean-reversion model with predictability in the drift Data Augmentation MCMC Inference for the IPD model Derivatives Pricing Notes and Summary MCMC Estimation of Credit Risk Measures Introduction A Short Example Further Analysis Bayesian inference with Gibbs sampling Hierarchical Bayesian Models for Credit Risk Model specification of probabilitics of default Model estimation Standard&Poor's Rating Data Data description Hierarchical model for aggregated data Hierarchical time-series model Hierarchical model for disaggregated data Further Credit Modelling with MCMC Callibration Estimating the Transition Matrix MCMC estimation MLE estimation Notes and Summary Last But Not Least. Can We Avoid the Next Big Systemic Financial Crisis? Yes, We Can No, We Cannot A Non-technical Template for Model Risk Control Identify the type of model risk that may appear A guide for senior managers There is Still Work to Do 327
8 Contents xvii 15. Notations for the Study of MLE for CIR process 329 Bibliography 331 Index 351
Handbook of Financial Risk Management
Handbook of Financial Risk Management Simulations and Case Studies N.H. Chan H.Y. Wong The Chinese University of Hong Kong WILEY Contents Preface xi 1 An Introduction to Excel VBA 1 1.1 How to Start Excel
More informationStatistical Models and Methods for Financial Markets
Tze Leung Lai/ Haipeng Xing Statistical Models and Methods for Financial Markets B 374756 4Q Springer Preface \ vii Part I Basic Statistical Methods and Financial Applications 1 Linear Regression Models
More informationMarket Risk Analysis Volume I
Market Risk Analysis Volume I Quantitative Methods in Finance Carol Alexander John Wiley & Sons, Ltd List of Figures List of Tables List of Examples Foreword Preface to Volume I xiii xvi xvii xix xxiii
More informationFinancial Models with Levy Processes and Volatility Clustering
Financial Models with Levy Processes and Volatility Clustering SVETLOZAR T. RACHEV # YOUNG SHIN ICIM MICHELE LEONARDO BIANCHI* FRANK J. FABOZZI WILEY John Wiley & Sons, Inc. Contents Preface About the
More informationContents. An Overview of Statistical Applications CHAPTER 1. Contents (ix) Preface... (vii)
Contents (ix) Contents Preface... (vii) CHAPTER 1 An Overview of Statistical Applications 1.1 Introduction... 1 1. Probability Functions and Statistics... 1..1 Discrete versus Continuous Functions... 1..
More informationI Preliminary Material 1
Contents Preface Notation xvii xxiii I Preliminary Material 1 1 From Diffusions to Semimartingales 3 1.1 Diffusions.......................... 5 1.1.1 The Brownian Motion............... 5 1.1.2 Stochastic
More informationHANDBOOK OF. Market Risk CHRISTIAN SZYLAR WILEY
HANDBOOK OF Market Risk CHRISTIAN SZYLAR WILEY Contents FOREWORD ACKNOWLEDGMENTS ABOUT THE AUTHOR INTRODUCTION XV XVII XIX XXI 1 INTRODUCTION TO FINANCIAL MARKETS t 1.1 The Money Market 4 1.2 The Capital
More informationSTOCHASTIC MODELLING OF ELECTRICITY AND RELATED MARKETS
Advanced Series on Statistical Science & Applied Probability Vol. I I STOCHASTIC MODELLING OF ELECTRICITY AND RELATED MARKETS Fred Espen Benth JGrate Saltyte Benth University of Oslo, Norway Steen Koekebakker
More informationFinancial Econometrics Notes. Kevin Sheppard University of Oxford
Financial Econometrics Notes Kevin Sheppard University of Oxford Monday 15 th January, 2018 2 This version: 22:52, Monday 15 th January, 2018 2018 Kevin Sheppard ii Contents 1 Probability, Random Variables
More informationMonte Carlo Methods in Financial Engineering
Paul Glassennan Monte Carlo Methods in Financial Engineering With 99 Figures
More informationFIXED INCOME SECURITIES
FIXED INCOME SECURITIES Valuation, Risk, and Risk Management Pietro Veronesi University of Chicago WILEY JOHN WILEY & SONS, INC. CONTENTS Preface Acknowledgments PART I BASICS xix xxxiii AN INTRODUCTION
More informationMonte Carlo Methods in Finance
Monte Carlo Methods in Finance Peter Jackel JOHN WILEY & SONS, LTD Preface Acknowledgements Mathematical Notation xi xiii xv 1 Introduction 1 2 The Mathematics Behind Monte Carlo Methods 5 2.1 A Few Basic
More informationFixed Income Modelling
Fixed Income Modelling CLAUS MUNK OXPORD UNIVERSITY PRESS Contents List of Figures List of Tables xiii xv 1 Introduction and Overview 1 1.1 What is fixed income analysis? 1 1.2 Basic bond market terminology
More informationContents Part I Descriptive Statistics 1 Introduction and Framework Population, Sample, and Observations Variables Quali
Part I Descriptive Statistics 1 Introduction and Framework... 3 1.1 Population, Sample, and Observations... 3 1.2 Variables.... 4 1.2.1 Qualitative and Quantitative Variables.... 5 1.2.2 Discrete and Continuous
More informationMaster s in Financial Engineering Foundations of Buy-Side Finance: Quantitative Risk and Portfolio Management. > Teaching > Courses
Master s in Financial Engineering Foundations of Buy-Side Finance: Quantitative Risk and Portfolio Management www.symmys.com > Teaching > Courses Spring 2008, Monday 7:10 pm 9:30 pm, Room 303 Attilio Meucci
More informationImplementing Models in Quantitative Finance: Methods and Cases
Gianluca Fusai Andrea Roncoroni Implementing Models in Quantitative Finance: Methods and Cases vl Springer Contents Introduction xv Parti Methods 1 Static Monte Carlo 3 1.1 Motivation and Issues 3 1.1.1
More informationMarket Risk Analysis Volume IV. Value-at-Risk Models
Market Risk Analysis Volume IV Value-at-Risk Models Carol Alexander John Wiley & Sons, Ltd List of Figures List of Tables List of Examples Foreword Preface to Volume IV xiii xvi xxi xxv xxix IV.l Value
More informationMartingale Methods in Financial Modelling
Marek Musiela Marek Rutkowski Martingale Methods in Financial Modelling Second Edition Springer Table of Contents Preface to the First Edition Preface to the Second Edition V VII Part I. Spot and Futures
More informationINTRODUCTION TO THE ECONOMICS AND MATHEMATICS OF FINANCIAL MARKETS. Jakša Cvitanić and Fernando Zapatero
INTRODUCTION TO THE ECONOMICS AND MATHEMATICS OF FINANCIAL MARKETS Jakša Cvitanić and Fernando Zapatero INTRODUCTION TO THE ECONOMICS AND MATHEMATICS OF FINANCIAL MARKETS Table of Contents PREFACE...1
More informationComputational Methods in Finance
Chapman & Hall/CRC FINANCIAL MATHEMATICS SERIES Computational Methods in Finance AM Hirsa Ltfi) CRC Press VV^ J Taylor & Francis Group Boca Raton London New York CRC Press is an imprint of the Taylor &
More informationApplied Stochastic Processes and Control for Jump-Diffusions
Applied Stochastic Processes and Control for Jump-Diffusions Modeling, Analysis, and Computation Floyd B. Hanson University of Illinois at Chicago Chicago, Illinois siam.. Society for Industrial and Applied
More informationComputational Statistics Handbook with MATLAB
«H Computer Science and Data Analysis Series Computational Statistics Handbook with MATLAB Second Edition Wendy L. Martinez The Office of Naval Research Arlington, Virginia, U.S.A. Angel R. Martinez Naval
More informationCredit Risk Modeling Using Excel and VBA with DVD O. Gunter Loffler Peter N. Posch. WILEY A John Wiley and Sons, Ltd., Publication
Credit Risk Modeling Using Excel and VBA with DVD O Gunter Loffler Peter N. Posch WILEY A John Wiley and Sons, Ltd., Publication Preface to the 2nd edition Preface to the 1st edition Some Hints for Troubleshooting
More informationADVANCED ASSET PRICING THEORY
Series in Quantitative Finance -Vol. 2 ADVANCED ASSET PRICING THEORY Chenghu Ma Fudan University, China Imperial College Press Contents List of Figures Preface Background Organization and Content Readership
More informationIntroduction to Risk Parity and Budgeting
Chapman & Hall/CRC FINANCIAL MATHEMATICS SERIES Introduction to Risk Parity and Budgeting Thierry Roncalli CRC Press Taylor &. Francis Group Boca Raton London New York CRC Press is an imprint of the Taylor
More informationFUNDAMENTALS OF FUTURES AND OPTIONS MARKETS
SEVENTH EDITION FUNDAMENTALS OF FUTURES AND OPTIONS MARKETS GLOBAL EDITION John C. Hull / Maple Financial Group Professor of Derivatives and Risk Management Joseph L. Rotman School of Management University
More informationMartingale Methods in Financial Modelling
Marek Musiela Marek Rutkowski Martingale Methods in Financial Modelling Second Edition \ 42 Springer - . Preface to the First Edition... V Preface to the Second Edition... VII I Part I. Spot and Futures
More information? World Scientific NEW JERSEY. LONDON SINGAPORE BEIJING SHANGHAI HONG KONG TAIPEI CHENNAI
" u*' ' - Microstructure in Practice Second Edition Editors Charles-Albert Lehalle Capital Fund Management, France Sophie Lamelle Universite Paris-Est Creteil, France? World Scientific NEW JERSEY. LONDON
More informationIntroduction Models for claim numbers and claim sizes
Table of Preface page xiii 1 Introduction 1 1.1 The aim of this book 1 1.2 Notation and prerequisites 2 1.2.1 Probability 2 1.2.2 Statistics 9 1.2.3 Simulation 9 1.2.4 The statistical software package
More informationVolatility Models and Their Applications
HANDBOOK OF Volatility Models and Their Applications Edited by Luc BAUWENS CHRISTIAN HAFNER SEBASTIEN LAURENT WILEY A John Wiley & Sons, Inc., Publication PREFACE CONTRIBUTORS XVII XIX [JQ VOLATILITY MODELS
More informationMarket Risk Analysis Volume II. Practical Financial Econometrics
Market Risk Analysis Volume II Practical Financial Econometrics Carol Alexander John Wiley & Sons, Ltd List of Figures List of Tables List of Examples Foreword Preface to Volume II xiii xvii xx xxii xxvi
More informationInterest Rate Modeling
Chapman & Hall/CRC FINANCIAL MATHEMATICS SERIES Interest Rate Modeling Theory and Practice Lixin Wu CRC Press Taylor & Francis Group Boca Raton London New York CRC Press is an imprint of the Taylor & Francis
More informationInstitute of Actuaries of India Subject CT6 Statistical Methods
Institute of Actuaries of India Subject CT6 Statistical Methods For 2014 Examinations Aim The aim of the Statistical Methods subject is to provide a further grounding in mathematical and statistical techniques
More informationA Non-Random Walk Down Wall Street
A Non-Random Walk Down Wall Street Andrew W. Lo A. Craig MacKinlay Princeton University Press Princeton, New Jersey list of Figures List of Tables Preface xiii xv xxi 1 Introduction 3 1.1 The Random Walk
More informationStatistics and Finance
David Ruppert Statistics and Finance An Introduction Springer Notation... xxi 1 Introduction... 1 1.1 References... 5 2 Probability and Statistical Models... 7 2.1 Introduction... 7 2.2 Axioms of Probability...
More informationNINTH EDITION FUNDAMENTALS OF. John C. Hüll
NINTH EDITION FUNDAMENTALS OF FUTURES AND OPTIONS MARKETS John C. Hüll Maple Financial Group Professor of Derivatives and Risk Management Joseph L. Rotman School of Management University of Toronto PEARSON
More informationSECOND EDITION. MARY R. HARDY University of Waterloo, Ontario. HOWARD R. WATERS Heriot-Watt University, Edinburgh
ACTUARIAL MATHEMATICS FOR LIFE CONTINGENT RISKS SECOND EDITION DAVID C. M. DICKSON University of Melbourne MARY R. HARDY University of Waterloo, Ontario HOWARD R. WATERS Heriot-Watt University, Edinburgh
More informationTable of Contents. Part I. Deterministic Models... 1
Preface...xvii Part I. Deterministic Models... 1 Chapter 1. Introductory Elements to Financial Mathematics.... 3 1.1. The object of traditional financial mathematics... 3 1.2. Financial supplies. Preference
More informationRisk Management anil Financial Institullons^
Risk Management anil Financial Institullons^ Third Edition JOHN C. HULL WILEY John Wiley & Sons, Inc. Contents Preface ' xix CHAPTBM Introduction! 1 1.1 Risk vs. Return for Investors, 2 1.2 The Efficient
More informationFINANCIAL DERIVATIVE. INVESTMENTS An Introduction to Structured Products. Richard D. Bateson. Imperial College Press. University College London, UK
FINANCIAL DERIVATIVE INVESTMENTS An Introduction to Structured Products Richard D. Bateson University College London, UK Imperial College Press Contents Preface Guide to Acronyms Glossary of Notations
More informationUPDATED IAA EDUCATION SYLLABUS
II. UPDATED IAA EDUCATION SYLLABUS A. Supporting Learning Areas 1. STATISTICS Aim: To enable students to apply core statistical techniques to actuarial applications in insurance, pensions and emerging
More informationList of tables List of boxes List of screenshots Preface to the third edition Acknowledgements
Table of List of figures List of tables List of boxes List of screenshots Preface to the third edition Acknowledgements page xii xv xvii xix xxi xxv 1 Introduction 1 1.1 What is econometrics? 2 1.2 Is
More informationSubject CT8 Financial Economics Core Technical Syllabus
Subject CT8 Financial Economics Core Technical Syllabus for the 2018 exams 1 June 2017 Aim The aim of the Financial Economics subject is to develop the necessary skills to construct asset liability models
More informationMarkov Processes and Applications
Markov Processes and Applications Algorithms, Networks, Genome and Finance Etienne Pardoux Laboratoire d'analyse, Topologie, Probabilites Centre de Mathematiques et d'injormatique Universite de Provence,
More informationFrom Financial Risk Management. Full book available for purchase here.
From Financial Risk Management. Full book available for purchase here. Contents Preface Acknowledgments xi xvii CHAPTER 1 Introduction 1 Banks and Risk Management 1 Evolution of Bank Capital Regulation
More informationThe Capital Asset Pricing Model in the 21st Century. Analytical, Empirical, and Behavioral Perspectives
The Capital Asset Pricing Model in the 21st Century Analytical, Empirical, and Behavioral Perspectives HAIM LEVY Hebrew University, Jerusalem CAMBRIDGE UNIVERSITY PRESS Contents Preface page xi 1 Introduction
More informationDynamic Copula Methods in Finance
Dynamic Copula Methods in Finance Umberto Cherubini Fabio Gofobi Sabriea Mulinacci Silvia Romageoli A John Wiley & Sons, Ltd., Publication Contents Preface ix 1 Correlation Risk in Finance 1 1.1 Correlation
More informationIntroductory Econometrics for Finance
Introductory Econometrics for Finance SECOND EDITION Chris Brooks The ICMA Centre, University of Reading CAMBRIDGE UNIVERSITY PRESS List of figures List of tables List of boxes List of screenshots Preface
More informationMODELS FOR QUANTIFYING RISK
MODELS FOR QUANTIFYING RISK THIRD EDITION ROBIN J. CUNNINGHAM, FSA, PH.D. THOMAS N. HERZOG, ASA, PH.D. RICHARD L. LONDON, FSA B 360811 ACTEX PUBLICATIONS, INC. WINSTED, CONNECTICUT PREFACE iii THIRD EDITION
More informationPART II INTERNAL TRANSFER PRICING, ACCOUNTING AND AUDITING
Contents Preface Acknowledgments About the author PART I INTRODUCTION 1 1 The History of ALM 3 1.1 The history of the banking industry from antiquity to the Middle Ages 3 1.2 The modern banking industry
More informationSemimartingales and their Statistical Inference
Semimartingales and their Statistical Inference B.L.S. Prakasa Rao Indian Statistical Institute New Delhi, India CHAPMAN & HALL/CRC Boca Raten London New York Washington, D.C. Contents Preface xi 1 Semimartingales
More informationme Theory ami Empirics of Exchange Rates
340 064 me Theory ami Empirics of Exchange Rates Imad A Moosa Monash University, Australia Razzaque H Bhatti Gulf University for Science and Technology, Kuwait World Scientific NEW JERSEY LONDON SINGAPORE
More informationAMSTERDAM BOSTON HEIDELBERG LONDON NEW YORK OXFORD PARIS SAN DIEGO SAN FRANCISCO SINGAPORE SYDNEY TOKYO Academic Press is an Imprint of Elsevier
Computational Finance Using C and C# Derivatives and Valuation SECOND EDITION George Levy ELSEVIER AMSTERDAM BOSTON HEIDELBERG LONDON NEW YORK OXFORD PARIS SAN DIEGO SAN FRANCISCO SINGAPORE SYDNEY TOKYO
More informationPROBABILITY. Wiley. With Applications and R ROBERT P. DOBROW. Department of Mathematics. Carleton College Northfield, MN
PROBABILITY With Applications and R ROBERT P. DOBROW Department of Mathematics Carleton College Northfield, MN Wiley CONTENTS Preface Acknowledgments Introduction xi xiv xv 1 First Principles 1 1.1 Random
More informationMonte Carlo Methods in Structuring and Derivatives Pricing
Monte Carlo Methods in Structuring and Derivatives Pricing Prof. Manuela Pedio (guest) 20263 Advanced Tools for Risk Management and Pricing Spring 2017 Outline and objectives The basic Monte Carlo algorithm
More informationSubject CS1 Actuarial Statistics 1 Core Principles. Syllabus. for the 2019 exams. 1 June 2018
` Subject CS1 Actuarial Statistics 1 Core Principles Syllabus for the 2019 exams 1 June 2018 Copyright in this Core Reading is the property of the Institute and Faculty of Actuaries who are the sole distributors.
More informationpalgrave Shipping Derivatives and Risk Management macmiuan Amir H. Alizadeh & Nikos K. Nomikos
Shipping Derivatives and Risk Management Amir H. Alizadeh & Nikos K. Nomikos Faculty of Finance, Cass Business School, City University, London palgrave macmiuan Contents About the Authors. xv Preface and
More informationAsset Pricing and Portfolio. Choice Theory SECOND EDITION. Kerry E. Back
Asset Pricing and Portfolio Choice Theory SECOND EDITION Kerry E. Back Preface to the First Edition xv Preface to the Second Edition xvi Asset Pricing and Portfolio Puzzles xvii PART ONE Single-Period
More information2017 IAA EDUCATION SYLLABUS
2017 IAA EDUCATION SYLLABUS 1. STATISTICS Aim: To enable students to apply core statistical techniques to actuarial applications in insurance, pensions and emerging areas of actuarial practice. 1.1 RANDOM
More informationApplication of MCMC Algorithm in Interest Rate Modeling
Application of MCMC Algorithm in Interest Rate Modeling Xiaoxia Feng and Dejun Xie Abstract Interest rate modeling is a challenging but important problem in financial econometrics. This work is concerned
More informationEmpirical Dynamic Asset Pricing
Empirical Dynamic Asset Pricing Model Specification and Econometric Assessment Kenneth J. Singleton Princeton University Press Princeton and Oxford Preface Acknowledgments xi xiii 1 Introduction 1 1.1.
More informationدرس هفتم یادگیري ماشین. (Machine Learning) دانشگاه فردوسی مشهد دانشکده مهندسی رضا منصفی
یادگیري ماشین توزیع هاي نمونه و تخمین نقطه اي پارامترها Sampling Distributions and Point Estimation of Parameter (Machine Learning) دانشگاه فردوسی مشهد دانشکده مهندسی رضا منصفی درس هفتم 1 Outline Introduction
More informationChapman & Hall/CRC FINANCIAL MATHEHATICS SERIES
Chapman & Hall/CRC FINANCIAL MATHEHATICS SERIES The Financial Mathematics of Market Liquidity From Optimal Execution to Market Making Olivier Gueant röc) CRC Press J Taylor & Francis Croup BocaRaton London
More informationUnderstanding Investments
Understanding Investments Theories and Strategies Nikiforos T. Laopodis j Routledge Taylor & Francis Croup NEW YORK AND LONDON CONTENTS List of Illustrations Preface xxni xxix Parti Chapter 1 INVESTMENT
More informationECONOMIC GROWT: OF SINGAPORE IN THE TWENTIETH CENTURY
>; ' ECONOMIC GROWT: OF SINGAPORE IN THE TWENTIETH CENTURY Historical GDP Estimates and Empirical Investigations Ichiro Sugimoto Soka University, Japan I World Scientific NEW JERSEY LONDON SINGAPORE BEIJING
More informationIntroduction to Stochastic Calculus With Applications
Introduction to Stochastic Calculus With Applications Fima C Klebaner University of Melbourne \ Imperial College Press Contents Preliminaries From Calculus 1 1.1 Continuous and Differentiable Functions.
More informationMEASURING PORTFOLIO RISKS USING CONDITIONAL COPULA-AR-GARCH MODEL
MEASURING PORTFOLIO RISKS USING CONDITIONAL COPULA-AR-GARCH MODEL Isariya Suttakulpiboon MSc in Risk Management and Insurance Georgia State University, 30303 Atlanta, Georgia Email: suttakul.i@gmail.com,
More informationAlgorithms, Analytics, Data, Models, Optimization. Xin Guo University of California, Berkeley, USA. Tze Leung Lai Stanford University, California, USA
QUANTITATIVE TRADING Algorithms, Analytics, Data, Models, Optimization Xin Guo University of California, Berkeley, USA Tze Leung Lai Stanford University, California, USA Howard Shek Tower Research Capital,
More informationby Kian Guan Lim Professor of Finance Head, Quantitative Finance Unit Singapore Management University
by Kian Guan Lim Professor of Finance Head, Quantitative Finance Unit Singapore Management University Presentation at Hitotsubashi University, August 8, 2009 There are 14 compulsory semester courses out
More informationAdvanced. of Time. of Measure. Aarhus University, Denmark. Albert Shiryaev. Stek/ov Mathematical Institute and Moscow State University, Russia
SHANGHAI TAIPEI Advanced Series on Statistical Science & Applied Probability Vol. I 3 Change and Change of Time of Measure Ole E. Barndorff-Nielsen Aarhus University, Denmark Albert Shiryaev Stek/ov Mathematical
More informationAdvanced Quantitative Methods for Asset Pricing and Structuring
MSc. Finance/CLEFIN 2017/2018 Edition Advanced Quantitative Methods for Asset Pricing and Structuring May 2017 Exam for Non Attending Students Time Allowed: 95 minutes Family Name (Surname) First Name
More informationRISKMETRICS. Dr Philip Symes
1 RISKMETRICS Dr Philip Symes 1. Introduction 2 RiskMetrics is JP Morgan's risk management methodology. It was released in 1994 This was to standardise risk analysis in the industry. Scenarios are generated
More informationCurriculum. Written by Administrator Sunday, 03 February :33 - Last Updated Friday, 28 June :10 1 / 10
1 / 10 Ph.D. in Applied Mathematics with Specialization in the Mathematical Finance and Actuarial Mathematics Professor Dr. Pairote Sattayatham School of Mathematics, Institute of Science, email: pairote@sut.ac.th
More informationSubject CS2A Risk Modelling and Survival Analysis Core Principles
` Subject CS2A Risk Modelling and Survival Analysis Core Principles Syllabus for the 2019 exams 1 June 2018 Copyright in this Core Reading is the property of the Institute and Faculty of Actuaries who
More informationChanges to Exams FM/2, M and C/4 for the May 2007 Administration
Changes to Exams FM/2, M and C/4 for the May 2007 Administration Listed below is a summary of the changes, transition rules, and the complete exam listings as they will appear in the Spring 2007 Basic
More informationReserving Risk and Solvency II
Reserving Risk and Solvency II Peter England, PhD Partner, EMB Consultancy LLP Applied Probability & Financial Mathematics Seminar King s College London November 21 21 EMB. All rights reserved. Slide 1
More informationRunning Money. McGraw-Hill Irwin. Professional Portfolio Management. Scott D. Stewart, PhD, CFA. Christopher D. Piros, PhD, CFA
Running Money Professional Portfolio Management Scott D. Stewart, PhD, CFA Boston University Christopher D. Piros, PhD, CFA Boston University and Reykjavik University Jeffrey C. Heisler, PhD, CFA Venus
More informationRisk Management and Financial Institutions
Risk Management and Financial Institutions Founded in 1807, John Wiley & Sons is the oldest independent publishing company in the United States. With offices in North America, Europe, Australia and Asia,
More informationMSc Financial Mathematics
MSc Financial Mathematics Programme Structure Week Zero Induction Week MA9010 Fundamental Tools TERM 1 Weeks 1-1 0 ST9080 MA9070 IB9110 ST9570 Probability & Numerical Asset Pricing Financial Stoch. Processes
More informationINDIAN INSTITUTE OF QUANTITATIVE FINANCE
2018 FRM EXAM TRAINING SYLLABUS PART I Introduction to Financial Mathematics 1. Introduction to Financial Calculus a. Variables Discrete and Continuous b. Univariate and Multivariate Functions Dependent
More informationA Behavioral Approach to Asset Pricing
A Behavioral Approach to Asset Pricing Second Edition Hersh Shefrin Mario L. Belotti Professor of Finance Leavey School of Business Santa Clara University AMSTERDAM BOSTON HEIDELBERG LONDON NEW YORK OXFORD
More informationMath 416/516: Stochastic Simulation
Math 416/516: Stochastic Simulation Haijun Li lih@math.wsu.edu Department of Mathematics Washington State University Week 13 Haijun Li Math 416/516: Stochastic Simulation Week 13 1 / 28 Outline 1 Simulation
More informationEstimation of dynamic term structure models
Estimation of dynamic term structure models Greg Duffee Haas School of Business, UC-Berkeley Joint with Richard Stanton, Haas School Presentation at IMA Workshop, May 2004 (full paper at http://faculty.haas.berkeley.edu/duffee)
More informationDependence Modeling and Credit Risk
Dependence Modeling and Credit Risk Paola Mosconi Banca IMI Bocconi University, 20/04/2015 Paola Mosconi Lecture 6 1 / 53 Disclaimer The opinion expressed here are solely those of the author and do not
More informationA Markov Chain Monte Carlo Approach to Estimate the Risks of Extremely Large Insurance Claims
International Journal of Business and Economics, 007, Vol. 6, No. 3, 5-36 A Markov Chain Monte Carlo Approach to Estimate the Risks of Extremely Large Insurance Claims Wan-Kai Pang * Department of Applied
More informationEuropean option pricing under parameter uncertainty
European option pricing under parameter uncertainty Martin Jönsson (joint work with Samuel Cohen) University of Oxford Workshop on BSDEs, SPDEs and their Applications July 4, 2017 Introduction 2/29 Introduction
More informationFinancial Analysis, Planning & Forecasting. Theory and Application. Alice C Lee. State Street Corp., USA. John C Lee. Center for PBBEF Research, USA
Financial Analysis, Planning & Forecasting Theory and Application Alice C Lee State Street Corp., USA John C Lee Center for PBBEF Research, USA Cheng F Lee Rutgers University, USA World Scientific NEW
More informationFinancial Risk Management
Financial Risk Management Professor: Thierry Roncalli Evry University Assistant: Enareta Kurtbegu Evry University Tutorial exercices #3 1 Maximum likelihood of the exponential distribution 1. We assume
More informationFinancial Statistics and Mathematical Finance Methods, Models and Applications. Ansgar Steland
Financial Statistics and Mathematical Finance Methods, Models and Applications Ansgar Steland Financial Statistics and Mathematical Finance Financial Statistics and Mathematical Finance Methods, Models
More informationHigh-Frequency Trading Models
High-Frequency Trading Models GEWEI YE, Ph.D. WILEY John Wiley & Sons, Inc. Contents Preface Acknowledgments vi xiv PART I Revenue Models of High-Frequency Trading. 1 CHAPTER 1 High-Frequency Trading and
More informationContent Added to the Updated IAA Education Syllabus
IAA EDUCATION COMMITTEE Content Added to the Updated IAA Education Syllabus Prepared by the Syllabus Review Taskforce Paul King 8 July 2015 This proposed updated Education Syllabus has been drafted by
More informationRisk-Neutral Valuation
N.H. Bingham and Rüdiger Kiesel Risk-Neutral Valuation Pricing and Hedging of Financial Derivatives W) Springer Contents 1. Derivative Background 1 1.1 Financial Markets and Instruments 2 1.1.1 Derivative
More informationFE501 Stochastic Calculus for Finance 1.5:0:1.5
Descriptions of Courses FE501 Stochastic Calculus for Finance 1.5:0:1.5 This course introduces martingales or Markov properties of stochastic processes. The most popular example of stochastic process is
More informationPG DIPLOMA: Risk Management and Financial Engineering School of Education Technology Jadavpur University. Curriculum. Contact Hours Per Week
Curriculum Semester I Theory Subject Contact Hours Per Week Marks (Theory) Marks (Sessional) Credit (1cr = 16 to 20 hrs) T S 1. Advanced Mathematics 3 100 3 2. Statistics and Probability 3 100 3 3. Principles
More informationThe University of Chicago, Booth School of Business Business 41202, Spring Quarter 2009, Mr. Ruey S. Tsay. Solutions to Final Exam
The University of Chicago, Booth School of Business Business 41202, Spring Quarter 2009, Mr. Ruey S. Tsay Solutions to Final Exam Problem A: (42 pts) Answer briefly the following questions. 1. Questions
More informationMFE/3F Questions Answer Key
MFE/3F Questions Download free full solutions from www.actuarialbrew.com, or purchase a hard copy from www.actexmadriver.com, or www.actuarialbookstore.com. Chapter 1 Put-Call Parity and Replication 1.01
More informationMULTISCALE STOCHASTIC VOLATILITY FOR EQUITY, INTEREST RATE, AND CREDIT DERIVATIVES
MULTISCALE STOCHASTIC VOLATILITY FOR EQUITY, INTEREST RATE, AND CREDIT DERIVATIVES Building upon the ideas introduced in their previous book, Derivatives in Financial Markets with Stochastic Volatility,
More informationEquity correlations implied by index options: estimation and model uncertainty analysis
1/18 : estimation and model analysis, EDHEC Business School (joint work with Rama COT) Modeling and managing financial risks Paris, 10 13 January 2011 2/18 Outline 1 2 of multi-asset models Solution to
More informationEconomic Scenario Generator: Applications in Enterprise Risk Management. Ping Sun Executive Director, Financial Engineering Numerix LLC
Economic Scenario Generator: Applications in Enterprise Risk Management Ping Sun Executive Director, Financial Engineering Numerix LLC Numerix makes no representation or warranties in relation to information
More informationModelling the Term Structure of Hong Kong Inter-Bank Offered Rates (HIBOR)
Economics World, Jan.-Feb. 2016, Vol. 4, No. 1, 7-16 doi: 10.17265/2328-7144/2016.01.002 D DAVID PUBLISHING Modelling the Term Structure of Hong Kong Inter-Bank Offered Rates (HIBOR) Sandy Chau, Andy Tai,
More information