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Integrated Market and Credit Portfolio Models : Risk Measurement and Computational Aspects
Grundke, Peter (contributor) - 2008
credit portfolio model by correlated interest rate and credit spread risk. The analysis shows that the economic capital …
Persistent link: https://www.econbiz.de/10013521007
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Stochastic Processes and Calculus : An Elementary Introduction with Applications
Hassler, Uwe - 2016 - 1st ed. 2016
This textbook gives a comprehensive introduction to stochastic processes and calculus in the fields of finance and economics, more specifically mathematical finance and time series econometrics. Over the past decades stochastic calculus and processes have gained great importance, because they...
Persistent link: https://www.econbiz.de/10012397196
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Sustainable Asset Accumulation and Dynamic Portfolio Decisions
Chiarella, Carl - 2016
This book examines sustainable wealth formation and dynamic decision-making. The global economy experienced a veritable meltdown of asset markets in the years 2007-9, where many funds were overexposed to risky returns and suffered considerable losses. On the other hand, the long-term upswing in...
Persistent link: https://www.econbiz.de/10012398151
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Aktives Investmentportfolio-Management : Optimierung von Portfolios aus derivatebasierten dynamischen Investmentstrategien
Ohlms, Christian (contributor) - 2006
entwirft der Autor eine schrittweise Anleitung zur Implementierung dieser Theorie in Mathematica. …
Persistent link: https://www.econbiz.de/10013516563
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Dynamic Asset Allocation with Forwards and Futures
Lioui, Abraham (contributor); Poncet, Patrice (contributor) - 2005
This is an advanced text on the theory of forward and futures markets which aims at providing readers with a comprehensive knowledge of how prices are established and evolve over time, what optimal strategies one can expect from the participants, what characterizes such markets and what major...
Persistent link: https://www.econbiz.de/10013520387
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Pensionomics : On the Role of PAYGO in Pension Portfolios
Jäkel, Matthias F. (contributor) - 2006
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...
Persistent link: https://www.econbiz.de/10013520560
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Stochastic Dominance : Investment Decision Making under Uncertainty
Levy, Haim - 2016 - 3rd ed. 2016
This updated 3rd edition is devoted to the analysis of various Stochastic Dominance (SD) decision rules. It discusses …
Persistent link: https://www.econbiz.de/10014017858
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Preise in Finanzmärkten : Replikation und verallgemeinerte Diskontierung
Kremer, Jürgen - 2017
, Futures und andere Derivate -- Teil II: Stochastische Analysis und verallgemeinerte Diskontierung: Diskrete stochastische … Analysis -- Diskrete stochastische Finanzmathematik -- Einführung in die stetige Finanzmathematik -- Anhang: Bemerkungen zu den … zweiten Teil wird das Bewertungsverfahren ein weiteres Mal, aber diesmal mit Methoden der diskreten stochastischen Analysis …
Persistent link: https://www.econbiz.de/10014019536
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Hidden Markov Models in Finance : Further Developments and Applications, Volume II
Mamon, Rogemar S. - 2014
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...
Persistent link: https://www.econbiz.de/10014020477
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Stochastic Dominance : Investment Decision Making under Uncertainty
Levy, Haim (contributor) - 2006 - Second Edition
This book is devoted to investment decision-making under uncertainty. The book covers three basic approaches to this process: the stochastic dominance approach; the mean-variance approach; and the non-expected utility approach, focusing on prospect theory and its modified version, cumulative...
Persistent link: https://www.econbiz.de/10013520424