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Dynamic and Stochastic Multi-Project Planning
Melchiors, Philipp - 2015
This book deals with dynamic and stochastic methods for multi-project planning. Based on the idea of using queueing networks for the analysis of dynamic-stochastic multi-project environments this book addresses two problems: detailed scheduling of project activities, and integrated order...
Persistent link: https://www.econbiz.de/10012402101
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Pricing and Liquidity of Complex and Structured Derivatives : Deviation of a Risk Benchmark Based on Credit and Option Market Data
Schmidt, Mathias - 2016
This book introduces the “strike of default” (SOD) benchmark concept. The author determines the SOD through cross-sectional pricing between the credit market and the option market, considering the same underlying. The idea of the SOD is to combine the implied probability of default from both...
Persistent link: https://www.econbiz.de/10012397112
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Brazilian Derivatives and Securities : Pricing and Risk Management of FX and Interest-Rate Portfolios for Local and Global Markets
Carreira, Marcos C. S. - 2016
The Brazilian financial markets operate in a very different way to their G7 counterparts. Key differences include onshore and offshore markets, exponential rates, business days day-counts and price formation from the futures markets (instead of the cash markets). Quants, traders, structurers and...
Persistent link: https://www.econbiz.de/10012398022
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Weather Derivatives : Modeling and Pricing Weather-Related Risk
Alexandridis K., Antonis - 2013
claims, a weather derivative has an underlying measure, such as: rainfall, wind, snow or temperature. Nearly $1 trillion of …
Persistent link: https://www.econbiz.de/10014016319
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Asset Pricing : Finanzderivate und ihre Systemrisiken
Chesney, Marc; Krakow, Jonathan; Maranghino-Singer, Brigitte - 2018
. Derivative Produkte sind allein schon aufgrund des enormen Volumens essentiell im heutigen Wirtschaftssystem. Dieses Buch …
Persistent link: https://www.econbiz.de/10014018662
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Derivative Security Pricing : Techniques, Methods and Applications
Chiarella, Carl - 2015
Part I The Fundamentals of Derivative Security Pricing -- 1 The Stock Option Problem -- 2 Stochastic Processes for … Geometric Brownian Motion -- 10 Pricing Derivative Securities - A General Approach -- 11 Applying the General Pricing Framework …The book presents applications of stochastic calculus to derivative security pricing and interest rate modelling. By …
Persistent link: https://www.econbiz.de/10014019196
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Zeitstetige Modellierung von Preisprozessen auf Finanzmärkten : Zur Interpretation und Notwendigkeit der Usual Conditions
Klößner, Stefan - 2005
Die Bedeutung von Derivaten für Anleger auf Finanzmärkten nimmt zu. Gleichzeitig wird es immer wichtiger, bei der Entscheidung über Kauf und Verkauf derartiger Titel die Unsicherheit der zukünftigen Preisentwicklung zu berücksichtigen. Die Annahmen, die den bei der Analyse derartiger...
Persistent link: https://www.econbiz.de/10013517354
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Derivative Finanzmarktinstrumente : Eine anwendungsbezogene Einführung in Märkte, Strategien und Bewertung
Rudolph, Bernd - 2010
-- Märkte für Derivate -- Management von Aktienkursrisiken mit Optionen und Futures -- Derivative Finanzmarktinstrumente im … Management von Zinsänderungsrisiken -- Derivative Finanzmarktinstrumente im Management von Währungsrisiken -- Kreditderivate und … -- Vertiefungen und Spezialmodelle der Optionspreistheorie -- Exotische Optionen -- Optionsscheine und Anlagezertifikate -- Nutzen und …
Persistent link: https://www.econbiz.de/10014424916
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Financial Derivatives Modeling
Ekstrand, Christian - 2011
This book gives a comprehensive introduction to the modeling of financial derivatives, covering all major asset classes (equities, commodities, interest rates and foreign exchange) and stretching from Black and Scholes' lognormal modeling to current-day research on skew and smile models. The...
Persistent link: https://www.econbiz.de/10013522925
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Pricing of Derivatives on Mean-Reverting Assets
Lutz, Björn - 2010
Mean Reversion in Commodity Prices -- Fundamentals of Derivative Pricing -- Stochastic Volatility Models -- Integration …
Persistent link: https://www.econbiz.de/10013522771