This book provides a modular pricing framework which allows the valuation of interest-rate derivatives in a general jump-diffusion setup. Starting with a comparison of three Fourier-style pricing methodologies, the book covers the derivation of Fourier-transform based solutions for different...

Preface -- Credibility Theory -- Credibilistic Programming -- Mathematical Programming -- Expected Value Model -- Chance-Constrained Programming -- Entropy Maximization Model -- Cross-Entropy Minimization Model -- Regret Minimization Model

1. Einführung -- 2. Zinsrechnung -- 3. Äquivalenzprinzip der Finanzmathematik -- 4. Rentenrechnung -- 5. Tilgungsrechnung -- 6. Investitionsrechnung -- 7. Abschreibungen -- 8. Anhang -- Sachverzeichnis.

Valuing equity -- The accuracy of equity valuation methods -- Multiples: Controlling for differences between firms -- Linear information models: The effects of conservative accounting -- Summary and conclusions.

Investigates the dynamic welfare effects of exposure to trade in a new trade model. This book uses a new trade model to explore which country-specific conditions give rise to horizontal or vertical multinational activity. It analyzes the role of goods trade and horizontal multinational firms in...

Pensionomics puts forward a portfolio perspective on the combination of funded and unfunded pension arrangements. In a second-best type argument it is formally shown that a Pay-As-You-Go pension system can substitute the tradability of human capital. While this ideal form of diversification can...

This book criticizes the fact that profitability measures derived from capital market models such as the Sharpe ratio and the reward-to-VaR ratio are proposed for loan portfolios, although it is not proven whether their risk-return trade-offs are optimal for banks. The authors demonstrate that...

The book analyzes how modern portfolio theory and dynamic term structure models can be applied to government bond portfolio optimization problems. The author studies the necessary adjustments, examines the models with regard to the plausibility of their results and compares the outcomes to...