Mathematical Finance

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Publisher : John Wiley & Sons
ISBN 13 : 9780470179772
Total Pages : 512 pages
Book Rating : 4.1/5 (797 download)

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Book Synopsis Mathematical Finance by : Christian Fries

Download or read book Mathematical Finance written by Christian Fries and published by John Wiley & Sons. This book was released on 2007-10-19 with total page 512 pages. Available in PDF, EPUB and Kindle. Book excerpt: A balanced introduction to the theoretical foundations and real-world applications of mathematical finance The ever-growing use of derivative products makes it essential for financial industry practitioners to have a solid understanding of derivative pricing. To cope with the growing complexity, narrowing margins, and shortening life-cycle of the individual derivative product, an efficient, yet modular, implementation of the pricing algorithms is necessary. Mathematical Finance is the first book to harmonize the theory, modeling, and implementation of today's most prevalent pricing models under one convenient cover. Building a bridge from academia to practice, this self-contained text applies theoretical concepts to real-world examples and introduces state-of-the-art, object-oriented programming techniques that equip the reader with the conceptual and illustrative tools needed to understand and develop successful derivative pricing models. Utilizing almost twenty years of academic and industry experience, the author discusses the mathematical concepts that are the foundation of commonly used derivative pricing models, and insightful Motivation and Interpretation sections for each concept are presented to further illustrate the relationship between theory and practice. In-depth coverage of the common characteristics found amongst successful pricing models are provided in addition to key techniques and tips for the construction of these models. The opportunity to interactively explore the book's principal ideas and methodologies is made possible via a related Web site that features interactive Java experiments and exercises. While a high standard of mathematical precision is retained, Mathematical Finance emphasizes practical motivations, interpretations, and results and is an excellent textbook for students in mathematical finance, computational finance, and derivative pricing courses at the upper undergraduate or beginning graduate level. It also serves as a valuable reference for professionals in the banking, insurance, and asset management industries.

Practical Approach To Xva, A: The Evolution Of Derivatives Valuation After The Financial Crisis

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Publisher : World Scientific
ISBN 13 : 9813272759
Total Pages : 340 pages
Book Rating : 4.8/5 (132 download)

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Book Synopsis Practical Approach To Xva, A: The Evolution Of Derivatives Valuation After The Financial Crisis by : Osamu Tsuchiya

Download or read book Practical Approach To Xva, A: The Evolution Of Derivatives Valuation After The Financial Crisis written by Osamu Tsuchiya and published by World Scientific. This book was released on 2019-05-16 with total page 340 pages. Available in PDF, EPUB and Kindle. Book excerpt: The 2008 financial crisis shook the financial derivatives market to its core, revealing a failure to fully price the cost of doing business then. As a response to this, and to cope with regulatory demands for massively increased capital and other measures with funding cost, the pre-2008 concept of Credit Valuation Adjustment (CVA) has evolved into the far more complex hybrid Cross Valuation Adjustment (XVA).This book presents a clear and concise framework and provides key considerations for the computation of myriad adjustments to the price of financial derivatives, to fully reflect costs. XVA has been of great interest recently due to heavy funding costs (FVA), initial margin (MVA) and capital requirements (KVA) required to sustain a derivatives business since 2008, in addition to the traditional concepts of cost from counterparty default or credit deterioration (CVA), and its mirror image - the cost of one own's default (DVA).The book takes a practitioner's perspective on the above concepts, and then provides a framework to implement such adjustments in practice. Models are presented too, taking note of what is computationally feasible in light of portfolios typical of investment banks, and the different instruments associated with these portfolios.

Global Derivatives: Products, Theory And Practice

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Publisher : World Scientific Publishing Company
ISBN 13 : 9813106670
Total Pages : 411 pages
Book Rating : 4.8/5 (131 download)

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Book Synopsis Global Derivatives: Products, Theory And Practice by : Eric Benhamou

Download or read book Global Derivatives: Products, Theory And Practice written by Eric Benhamou and published by World Scientific Publishing Company. This book was released on 2007-04-27 with total page 411 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a broad description of the financial derivatives business from a practitioner's point of view, with a particular emphasis on fixed income derivatives, a specific development on fixed income derivatives and a practical approach to the field. With particular emphasis on the concrete usage of mathematical models, numerical methods and the pricing methodology, this book is an essential reading for anyone considering a career in derivatives either as a trader, a quant or a structurer.

Demystifying Exotic Products

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Publisher : John Wiley & Sons
ISBN 13 : 0470687886
Total Pages : 277 pages
Book Rating : 4.4/5 (76 download)

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Book Synopsis Demystifying Exotic Products by : Chia Tan

Download or read book Demystifying Exotic Products written by Chia Tan and published by John Wiley & Sons. This book was released on 2010-01-05 with total page 277 pages. Available in PDF, EPUB and Kindle. Book excerpt: In recent times, derivatives have been inaccurately labelled the financial weapons of mass destruction responsible for the worst financial crisis in recent history. Inherently complex and perilous for the ill-informed investment professional they can however also be gainfully harnessed. This book is a practical guide to the complexities of exotic products written in simple terms based on the premise that derivatives are not homogenous, and not necessarily dangerous. By exploring common themes behind the construction of various structured products in interest rates, equities and foreign exchange, and investigating the economic environment that promoted the explosive growth of these products, this book will help readers make sense of their relevance in this period of economic uncertainty. Subsequently, by explaining exotic products with simple mathematics, it will aid readers in understanding their potential use in certain investment strategies whilst having a firm control over risk. Exotic products need not be inaccessible. By understanding the products available investors can make informed decisions ensuring features are consistent with their investment objectives and risk preferences. Author Chia Chiang Tan takes readers through the risks and rewards of each product, illustrating when products can damage investment strategies and how to avoid them, leading to suitable, profitable investments. Ultimately, this book will provide practitioners with an understanding of derivatives, enabling them to determine for themselves which products will fit their investment strategy, and how to use them based on the economic environment and inherent risks.

Pricing Models for Bermudan-style Interest Rate Derivatives

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Publisher :
ISBN 13 : 9789058920997
Total Pages : 209 pages
Book Rating : 4.9/5 (29 download)

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Book Synopsis Pricing Models for Bermudan-style Interest Rate Derivatives by : Raoul Pietersz

Download or read book Pricing Models for Bermudan-style Interest Rate Derivatives written by Raoul Pietersz and published by . This book was released on 2005 with total page 209 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Manufacturing and Managing Customer-Driven Derivatives

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Publisher : John Wiley & Sons
ISBN 13 : 1118632621
Total Pages : 568 pages
Book Rating : 4.1/5 (186 download)

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Book Synopsis Manufacturing and Managing Customer-Driven Derivatives by : Dong Qu

Download or read book Manufacturing and Managing Customer-Driven Derivatives written by Dong Qu and published by John Wiley & Sons. This book was released on 2016-03-21 with total page 568 pages. Available in PDF, EPUB and Kindle. Book excerpt: Manufacturing and Managing Customer-Driven Derivatives Manufacturing and Managing Customer-Driven Derivatives sheds light on customer-driven derivative products and their manufacturing process, which can prove a complicated topic for even experienced financial practitioners. This authoritative text offers up-to-date knowledge and practices across a broad range of topics that address the entire manufacturing, pricing and risk management process, including practical knowledge and industrial best practices. This resource blends quantitative and business perspectives to provide an in-depth understanding of the derivative risk management skills that are necessary to adopt in the competitive financial industry. Manufacturing and managing customer-driven derivative products have become more complex due to macro factors such as the multi-curve environments triggered by the recent financial crises, stricter regulatory requirements of consistent modelling and managing frameworks, and the need for risk/reward optimisation. Explore the fundamental components of the derivatives business, including equity derivatives, interest rates derivatives, real estate derivatives, and real life derivatives, etc. Examine the life cycle of manufacturing derivative products and practical pricing models Deep dive into a wide range of customer-driven structured derivative products, their investment or hedging payoff features and associated risk exposures Examine the implications of changing regulatory standards, which can increase costs in the banking sector Discover practical yet sophisticated product analysis, quantitative modeling, infrastructure integration, risk analysis, and hedging analysis Gain insight on how banks should handle complex derivatives products Manufacturing and Managing Customer-Driven Derivatives is an essential guide for quants, structurers, derivatives traders, risk managers, business executives, insurance industry professionals, hedge fund managers, academic lecturers, and financial math students who are interested in looking at the bigger picture of the manufacturing, pricing and risk management process of customer-driven derivative transactions.

XVA

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Publisher : John Wiley & Sons
ISBN 13 : 1118556755
Total Pages : 536 pages
Book Rating : 4.1/5 (185 download)

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Book Synopsis XVA by : Andrew Green

Download or read book XVA written by Andrew Green and published by John Wiley & Sons. This book was released on 2015-10-23 with total page 536 pages. Available in PDF, EPUB and Kindle. Book excerpt: Thorough, accessible coverage of the key issues inXVA XVA – Credit, Funding and Capital ValuationAdjustments provides specialists and non-specialists alikewith an up-to-date and comprehensive treatment of Credit, Debit,Funding, Capital and Margin Valuation Adjustment (CVA, DVA, FVA,KVA and MVA), including modelling frameworks as well as broader ITengineering challenges. Written by an industry expert, this booknavigates you through the complexities of XVA, discussing in detailthe very latest developments in valuation adjustments including theimpact of regulatory capital and margin requirements arising fromCCPs and bilateral initial margin. The book presents a unified approach to modelling valuationadjustments including credit risk, funding and regulatory effects.The practical implementation of XVA models using Monte Carlotechniques is also central to the book. You'll also find thoroughcoverage of how XVA sensitivities can be accurately measured, thetechnological challenges presented by XVA, the use of gridcomputing on CPU and GPU platforms, the management of data, and howthe regulatory framework introduced under Basel III presentsmassive implications for the finance industry. Explores how XVA models have developed in the aftermath of thecredit crisis The only text to focus on the XVA adjustments rather than thebroader topic of counterparty risk. Covers regulatory change since the credit crisis includingBasel III and the impact regulation has had on the pricing ofderivatives. Covers the very latest valuation adjustments, KVA and MVA. The author is a regular speaker and trainer at industry events,including WBS training, Marcus Evans, ICBI, Infoline and RISK If you're a quantitative analyst, trader, banking manager, riskmanager, finance and audit professional, academic or studentlooking to expand your knowledge of XVA, this book has youcovered.

Survival and Event History Analysis

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Publisher : Springer Science & Business Media
ISBN 13 : 038768560X
Total Pages : 550 pages
Book Rating : 4.3/5 (876 download)

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Book Synopsis Survival and Event History Analysis by : Odd Aalen

Download or read book Survival and Event History Analysis written by Odd Aalen and published by Springer Science & Business Media. This book was released on 2008-09-16 with total page 550 pages. Available in PDF, EPUB and Kindle. Book excerpt: The aim of this book is to bridge the gap between standard textbook models and a range of models where the dynamic structure of the data manifests itself fully. The common denominator of such models is stochastic processes. The authors show how counting processes, martingales, and stochastic integrals fit very nicely with censored data. Beginning with standard analyses such as Kaplan-Meier plots and Cox regression, the presentation progresses to the additive hazard model and recurrent event data. Stochastic processes are also used as natural models for individual frailty; they allow sensible interpretations of a number of surprising artifacts seen in population data. The stochastic process framework is naturally connected to causality. The authors show how dynamic path analyses can incorporate many modern causality ideas in a framework that takes the time aspect seriously. To make the material accessible to the reader, a large number of practical examples, mainly from medicine, are developed in detail. Stochastic processes are introduced in an intuitive and non-technical manner. The book is aimed at investigators who use event history methods and want a better understanding of the statistical concepts. It is suitable as a textbook for graduate courses in statistics and biostatistics.

Data Mining and Applications in Genomics

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Publisher : Springer Science & Business Media
ISBN 13 : 1402089759
Total Pages : 159 pages
Book Rating : 4.4/5 (2 download)

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Book Synopsis Data Mining and Applications in Genomics by : Sio-Iong Ao

Download or read book Data Mining and Applications in Genomics written by Sio-Iong Ao and published by Springer Science & Business Media. This book was released on 2008-09-25 with total page 159 pages. Available in PDF, EPUB and Kindle. Book excerpt: Data Mining and Applications in Genomics contains the data mining algorithms and their applications in genomics, with frontier case studies based on the recent and current works at the University of Hong Kong and the Oxford University Computing Laboratory, University of Oxford. It provides a systematic introduction to the use of data mining algorithms as an investigative tool for applications in genomics. Data Mining and Applications in Genomics offers state of the art of tremendous advances in data mining algorithms and applications in genomics and also serves as an excellent reference work for researchers and graduate students working on data mining algorithms and applications in genomics.

Financial Derivative Investments: An Introduction To Structured Products

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Publisher : World Scientific Publishing Company
ISBN 13 : 1911299565
Total Pages : 375 pages
Book Rating : 4.9/5 (112 download)

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Book Synopsis Financial Derivative Investments: An Introduction To Structured Products by : Richard Bateson

Download or read book Financial Derivative Investments: An Introduction To Structured Products written by Richard Bateson and published by World Scientific Publishing Company. This book was released on 2011-06-07 with total page 375 pages. Available in PDF, EPUB and Kindle. Book excerpt: Structured products are sold to a wide range of retail, high net worth and institutional investors, with over £15bn of structured investments sold in the UK in 2009. Based on a non-specialist graduate lecture course given at University College London (UCL), this book provides an invaluable introduction to the fast growing world of derivative investments and the technology used in their design, pricing and structuring. The book gives a comprehensive overview of structuring and trading products based on the author's extensive international experience in structuring investment products across a range of underlying asset classes, including equities, interest rates, credit and hybrids. The product coverage ranges from equity investments such as reverse convertibles and basket correlation products, to credit products such as first-to-default notes and the notorious “CDO2”.Written in a simple and accessible manner, this book will be of interest to students, bankers, investors and other finance professionals./a

Discrete Choice Methods with Simulation

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Publisher : Cambridge University Press
ISBN 13 : 0521766559
Total Pages : 399 pages
Book Rating : 4.5/5 (217 download)

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Book Synopsis Discrete Choice Methods with Simulation by : Kenneth Train

Download or read book Discrete Choice Methods with Simulation written by Kenneth Train and published by Cambridge University Press. This book was released on 2009-07-06 with total page 399 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book describes the new generation of discrete choice methods, focusing on the many advances that are made possible by simulation. Researchers use these statistical methods to examine the choices that consumers, households, firms, and other agents make. Each of the major models is covered: logit, generalized extreme value, or GEV (including nested and cross-nested logits), probit, and mixed logit, plus a variety of specifications that build on these basics. Simulation-assisted estimation procedures are investigated and compared, including maximum stimulated likelihood, method of simulated moments, and method of simulated scores. Procedures for drawing from densities are described, including variance reduction techniques such as anithetics and Halton draws. Recent advances in Bayesian procedures are explored, including the use of the Metropolis-Hastings algorithm and its variant Gibbs sampling. The second edition adds chapters on endogeneity and expectation-maximization (EM) algorithms. No other book incorporates all these fields, which have arisen in the past 25 years. The procedures are applicable in many fields, including energy, transportation, environmental studies, health, labor, and marketing.

Mixed Effects Models for Complex Data

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Publisher : CRC Press
ISBN 13 : 9781420074086
Total Pages : 431 pages
Book Rating : 4.0/5 (74 download)

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Book Synopsis Mixed Effects Models for Complex Data by : Lang Wu

Download or read book Mixed Effects Models for Complex Data written by Lang Wu and published by CRC Press. This book was released on 2009-11-11 with total page 431 pages. Available in PDF, EPUB and Kindle. Book excerpt: Although standard mixed effects models are useful in a range of studies, other approaches must often be used in correlation with them when studying complex or incomplete data. Mixed Effects Models for Complex Data discusses commonly used mixed effects models and presents appropriate approaches to address dropouts, missing data, measurement errors, censoring, and outliers. For each class of mixed effects model, the author reviews the corresponding class of regression model for cross-sectional data. An overview of general models and methods, along with motivating examples After presenting real data examples and outlining general approaches to the analysis of longitudinal/clustered data and incomplete data, the book introduces linear mixed effects (LME) models, generalized linear mixed models (GLMMs), nonlinear mixed effects (NLME) models, and semiparametric and nonparametric mixed effects models. It also includes general approaches for the analysis of complex data with missing values, measurement errors, censoring, and outliers. Self-contained coverage of specific topics Subsequent chapters delve more deeply into missing data problems, covariate measurement errors, and censored responses in mixed effects models. Focusing on incomplete data, the book also covers survival and frailty models, joint models of survival and longitudinal data, robust methods for mixed effects models, marginal generalized estimating equation (GEE) models for longitudinal or clustered data, and Bayesian methods for mixed effects models. Background material In the appendix, the author provides background information, such as likelihood theory, the Gibbs sampler, rejection and importance sampling methods, numerical integration methods, optimization methods, bootstrap, and matrix algebra. Failure to properly address missing data, measurement errors, and other issues in statistical analyses can lead to severely biased or misleading results. This book explores the biases that arise when naïve methods are used and shows which approaches should be used to achieve accurate results in longitudinal data analysis.

Medical Imaging and Augmented Reality

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Publisher : Springer Science & Business Media
ISBN 13 : 3540372202
Total Pages : 411 pages
Book Rating : 4.5/5 (43 download)

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Book Synopsis Medical Imaging and Augmented Reality by : Guang-Zhong Yang

Download or read book Medical Imaging and Augmented Reality written by Guang-Zhong Yang and published by Springer Science & Business Media. This book was released on 2006-08-03 with total page 411 pages. Available in PDF, EPUB and Kindle. Book excerpt: Here are the refereed proceedings of the Third International Workshop on Medical Imaging and Augmented Reality, MIAR 2006, held in Shanghai, China, August 2006. The book presents 45 revised full papers together with 4 invited papers. The papers are organized in topical sections on shape modeling and morphometry, patient specific modeling and quantification, surgical simulation and skills assessment, surgical guidance and navigation, image registration, PET image reconstruction, and image segmentation.

Parameter Redundancy and Identifiability

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Publisher : CRC Press
ISBN 13 : 1498720900
Total Pages : 273 pages
Book Rating : 4.4/5 (987 download)

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Book Synopsis Parameter Redundancy and Identifiability by : Diana Cole

Download or read book Parameter Redundancy and Identifiability written by Diana Cole and published by CRC Press. This book was released on 2020-05-10 with total page 273 pages. Available in PDF, EPUB and Kindle. Book excerpt: Statistical and mathematical models are defined by parameters that describe different characteristics of those models. Ideally it would be possible to find parameter estimates for every parameter in that model, but, in some cases, this is not possible. For example, two parameters that only ever appear in the model as a product could not be estimated individually; only the product can be estimated. Such a model is said to be parameter redundant, or the parameters are described as non-identifiable. This book explains why parameter redundancy and non-identifiability is a problem and the different methods that can be used for detection, including in a Bayesian context. Key features of this book: Detailed discussion of the problems caused by parameter redundancy and non-identifiability Explanation of the different general methods for detecting parameter redundancy and non-identifiability, including symbolic algebra and numerical methods Chapter on Bayesian identifiability Throughout illustrative examples are used to clearly demonstrate each problem and method. Maple and R code are available for these examples More in-depth focus on the areas of discrete and continuous state-space models and ecological statistics, including methods that have been specifically developed for each of these areas This book is designed to make parameter redundancy and non-identifiability accessible and understandable to a wide audience from masters and PhD students to researchers, from mathematicians and statisticians to practitioners using mathematical or statistical models.

Text, Speech, and Dialogue

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Publisher : Springer
ISBN 13 : 3030007944
Total Pages : 538 pages
Book Rating : 4.0/5 (3 download)

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Book Synopsis Text, Speech, and Dialogue by : Petr Sojka

Download or read book Text, Speech, and Dialogue written by Petr Sojka and published by Springer. This book was released on 2018-09-07 with total page 538 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book constitutes the refereed proceedings of the 21st International Conference on Text, Speech, and Dialogue, TSD 2018, held in Brno, Czech Republic, in September 2018. The 56 regular papers were carefully reviewed and selected from numerous submissions. They focus on topics such as corpora and language resources, speech recognition, tagging, classification and parsing of text and speech, speech and spoken language generation, semantic processing of text and search, integrating applications of text and speech processing, machine translation, automatic dialogue systems, multimodal techniques and modeling.

Multifunctional Lightweight Structures

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Publisher : Springer Nature
ISBN 13 : 3662622173
Total Pages : 673 pages
Book Rating : 4.6/5 (626 download)

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Book Synopsis Multifunctional Lightweight Structures by : Lothar Kroll

Download or read book Multifunctional Lightweight Structures written by Lothar Kroll and published by Springer Nature. This book was released on 2023-03-28 with total page 673 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents key research findings on the combination of different technologies that promise to be particularly sustainable and broadly impactful in their application. The findings were compiled during the course of the first funding period for the MERGE Cluster of Excellence. New methods, potential solutions, and exemplary pilot applications take center stage as the text explores the next generation of functional integration via lightweight structures. The underlying manufacturing processes are based on textile, polymer, and metal processing techniques, all of which are suitable for large batch production, flexibility, and reproducibility.

INFORMS Conference Program

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Publisher :
ISBN 13 :
Total Pages : 132 pages
Book Rating : 4.E/5 ( download)

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Book Synopsis INFORMS Conference Program by : Institute for Operations Research and the Management Sciences. National Meeting

Download or read book INFORMS Conference Program written by Institute for Operations Research and the Management Sciences. National Meeting and published by . This book was released on 2000 with total page 132 pages. Available in PDF, EPUB and Kindle. Book excerpt: