Gerade vor dem Hintergrund der Finanzmarktkrise in 2008 sind die klassische Portfoliotheorie und die Wirkungsweise von Korrelationen erneut in die Kritik geraten. Svend Reuse analysiert das Verhalten von Korrelationen in Extremsituationen unter Berücksichtigung des irrationalen Marktverhaltens....

Robustification of an on-line EM algorithm for modelling asset prices within an HMM -- Stochastic volatility or stochastic central tendency: evidence from a hidden Markov model of the short-term interest rate -- An econometric model of the term structure of interest rates under regime-switching...

A number of methodologies have been employed to provide decision making solutions globalized markets. Hidden Markov Models in Finance offers the first systematic application of these methods to specialized financial problems: option pricing, credit risk modeling, volatility estimation and more....

This book is a guide to asset and risk management from a practical point of view. It is centered around two questions triggered by the global events on the stock markets since the middle of the last decade: - Why do crashes happen when in theory they should not? - How do investors deal with such...

Risk budgeting models set risk diversification as objective in portfolio allocation and are mainly promoted from the asset management industry. Albina Unger examines the portfolios based on different risk measures in several aspects from the academic perspective (Utility, Performance, Risk,...

Review of Studies on the Relationship between Trading Volume and Stock Returns -- Data and Methodology -- Results: Trading Volume and the Cross-Sectional Variation of Stock Returns -- Results: Time-Stability of Portfolio Returns -- Results: Economic Significance of Volume-Return Relations --...

This book introduces readers to a new approach to identifying stock market bubbles by using the illiquidity premium, a parameter derived by employing conic finance theory. Further, it shows how to develop the closed form formulas of the bid and ask prices of European options by using...

1. Introduction to Emissions Trading -- 2. CO2 Price Fundamentals -- 3. Link With The Macroeconomy -- 4. The Clean Development Mechanism -- 5. Risk-Hedging Strategies And Portfolio Management -- 6. Advanced Topics: Time-To-Maturity and Modeling the Volatility of Carbon Prices -- Solutions -- Index

Asset management Standards discussion's main focus on governance issues matches the established structural components of the Asset Management Standard's systematic classification. Numerous innovations called for a nearly complete revision. This new edition offers again a reliable source of...