rate dynamics, and basic principles of pricing interest rate derivatives. …

Risk measurement and credit risk management -- Optimal investment problems -- Case studies. …The textbook discusses risk management in capital markets and presents various techniques of portfolio optimization …. Special attention is given to risk measurement and credit risk management. Furthermore, the author discusses optimal …

) methodology for the valuation of financial derivatives. The ability to move beyond the class of convex risk measures considered in …The objective is to study the use of non-translation invariant risk measures within the equal risk pricing (ERP … several prior studies provides more flexibility within the pricing scheme. In particular, suitable choices for the risk …