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Deskription und Bewertung strukturierter Produkte unter besonderer Berücksichtigung verschiedener Marktszenarien

Löhr, Andreas; Cremers, Heinz - 2007

Due to a fast market development in volume and innovation on the structured products (certificates) side, critics are finding fault regarding a lack in transparency and comparability. However, certificates can provide characteristics for every market scenario as its explicit strength. The aim of...

Persistent link: https://www.econbiz.de/10010298925

Die Bewertung von Aktienanleihen mit Barriere: Eine Fallstudie für die Easy-Aktienanleihe der Deutschen Bank

Hofmann, Maurice; Rottmann, Horst - 2016

Dieser Aufsatz beschäftigt sich mit der fairen Bewertung einer von der Deutschen Bank AG emittierten Aktienanleihe mit … Barriere, die als 'Easy-Aktienanleihe' (ISIN: DE000XM6XYZ2) am Markt angeboten wird. Da Aktienanleihen mit Barriere … und sich der Aufschlagsfaktor auf den Nennwert der Easy-Aktienanleihe zwischen -0,2 % und 2,3 % bewegt. Dieses Ergebnis …

Persistent link: https://www.econbiz.de/10011431345

Piecewise continuous cumulative prospect theory and behavioral financial engineering

Gürtler, Marc; Stolpe, Julia - 2011

We extend the continuous Cumulative Prospect Theory (CPT) by considering piecewise con-tinuous distributions with a finite number of jump discontinuities. Such distributions are rele-vant in practice, for example, within the framework of financial engineering since cash flow distributions of...

Persistent link: https://www.econbiz.de/10010307959

Staatsverschuldung und Financial Engineering

Erber, Georg - In: DIW Wochenbericht 78 (2011) 36, pp. 11-19

Das Vertrauen in die Stabilität der Staatsfinanzen vieler europäischer Länder und der USA wurde durch die weltweite Wirtschafts- und Finanzkrise nachhaltig erschüttert. Expansive Fiskalprogramme zur Konjunkturstützung und Bailouts zur Rettung des Bankensystems haben die Staatsverschuldung...

Persistent link: https://www.econbiz.de/10011602405

The effect of management team characteristics on performance and style extremity of mutual fund portfolios

Qiong, Liu; Yang, Kuan; Zhou, Yinggao - In: Journal of Industrial Engineering and Management (JIEM) 7 (2014) 1, pp. 294-310

Purpose: Along with mutual funds' scale and quantity expanding for our country, it is common for fund management companies hiring new managers or the original fund managers mobilizing from one to another. The high liquidity of fund managers makes different managers regroup to manage the funds...

Persistent link: https://www.econbiz.de/10011939119

Simulating multi-asset classes prices using Wasserstein Generative Adversarial Network: A study of stocks, futures and cryptocurrency

Han, Feng; Ma, Xiaojuan; Zhang, Jiheng - In: Journal of Risk and Financial Management 15 (2022) 1, pp. 1-21

Financial data are expensive and highly sensitive with limited access. We aim to generate abundant datasets given the original prices while preserving the original statistical features. We introduce the Wasserstein Generative Adversarial Network with Gradient Penalty (WGAN-GP) into the field of...

Persistent link: https://www.econbiz.de/10013201330

Portfolio selection: A fuzzy-ANP approach

Rafiei, Farimah Mokhatab; Ghezelbash, Maryam - In: Financial Innovation 6 (2020) 1, pp. 1-34

This study developed specific criteria and a fuzzy analytic network process (FANP) to assess and select portfolios on the Tehran Stock Exchange (TSE). Although the portfolio selection problem has been widely investigated, most studies have focused on income and risk as the main decision-making...

Persistent link: https://www.econbiz.de/10012602853

Financial statistics and data analytics

Liu, Shuangzhe (contributor); Sathye, Milind (contributor) - 2021

Modern financial management is largely about risk management, which is increasingly data-driven. The problem is how to extract information from the data overload. It is here that advanced statistical and machine learning techniques can help. Accordingly, finance, statistics, and data analytics...

Persistent link: https://www.econbiz.de/10012606038

The Merger Mystery: Why Spend Ever More on Mergers When So Many Fail?

Meeks, Geoff; Meeks, J. Gay - 2022

Statistical studies over the last forty-five years show that, although there are success stories, very many mergers and acquisitions do not result in the increased operating profits that economics textbooks would lead one to expect. As consultancy McKinsey have put it, 'Anyone who has researched...

Persistent link: https://www.econbiz.de/10014458162

Knightian uncertainty and credit cycles

Gerba, Eddie; Żochowski, Dawid - 2017

The Great Recession has been characterised by the two stylized facts: the buildup of leverage in the household sector in the period preceding the recession and a protracted economic recovery that followed. We attempt to explain these two facts as an information friction, whereby agents are...

Persistent link: https://www.econbiz.de/10011804383