Advanced Stochastic Portfolio Theory In Mathematical Finance

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Advanced Stochastic Portfolio Theory In Mathematical Finance

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Author : Silke Prohl
language : en
Publisher:
Release Date : 2018

Advanced Stochastic Portfolio Theory In Mathematical Finance written by Silke Prohl and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with categories.

His lecture notes summarizes standard machinery of an advanced course on Stochastic Portfolio Theory, presents techniques for analysis of portfolio dynamics and equity market structure. This notes is based on material developed in a series of papers published in recent years by Prof. Ioannis Karatzas and his lectures regularly given at Columbia University in the city of New York.It gives introduction to a number of questions of market structure and arbitrage, used to construct portfolios controlled behaviour. The Stochastic Portfolio theory has been applied to analysis and optimization of portfolio performance and denotes a benchmark portfolio performance and successful investment strategies.

Mathematical Finance With Applications

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Author : Wing-Keung Wong
language : en
Publisher: MDPI
Release Date : 2020-12-07

Mathematical Finance With Applications written by Wing-Keung Wong and has been published by MDPI this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-12-07 with Business & Economics categories.

Mathematical finance plays a vital role in many fields within finance and provides the theories and tools that have been widely used in all areas of finance. Knowledge of mathematics, probability, and statistics is essential to develop finance theories and test their validity through the analysis of empirical, real-world data. For example, mathematics, probability, and statistics could help to develop pricing models for financial assets such as equities, bonds, currencies, and derivative securities.

A Probability Metrics Approach To Financial Risk Measures

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Author : Svetlozar T. Rachev
language : en
Publisher: John Wiley & Sons
Release Date : 2011-03-10

A Probability Metrics Approach To Financial Risk Measures written by Svetlozar T. Rachev and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-03-10 with Business & Economics categories.

A Probability Metrics Approach to Financial Risk Measures relates the field of probability metrics and risk measures to one another and applies them to finance for the first time. Helps to answer the question: which risk measure is best for a given problem? Finds new relations between existing classes of risk measures Describes applications in finance and extends them where possible Presents the theory of probability metrics in a more accessible form which would be appropriate for non-specialists in the field Applications include optimal portfolio choice, risk theory, and numerical methods in finance Topics requiring more mathematical rigor and detail are included in technical appendices to chapters

The Methods Of Distances In The Theory Of Probability And Statistics

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Author : Svetlozar T. Rachev
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-01-04

The Methods Of Distances In The Theory Of Probability And Statistics written by Svetlozar T. Rachev and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-01-04 with Mathematics categories.

This book covers the method of metric distances and its application in probability theory and other fields. The method is fundamental in the study of limit theorems and generally in assessing the quality of approximations to a given probabilistic model. The method of metric distances is developed to study stability problems and reduces to the selection of an ideal or the most appropriate metric for the problem under consideration and a comparison of probability metrics. After describing the basic structure of probability metrics and providing an analysis of the topologies in the space of probability measures generated by different types of probability metrics, the authors study stability problems by providing a characterization of the ideal metrics for a given problem and investigating the main relationships between different types of probability metrics. The presentation is provided in a general form, although specific cases are considered as they arise in the process of finding supplementary bounds or in applications to important special cases. Svetlozar T. Rachev is the Frey Family Foundation Chair of Quantitative Finance, Department of Applied Mathematics and Statistics, SUNY-Stony Brook and Chief Scientist of Finanlytica, USA. Lev B. Klebanov is a Professor in the Department of Probability and Mathematical Statistics, Charles University, Prague, Czech Republic. Stoyan V. Stoyanov is a Professor at EDHEC Business School and Head of Research, EDHEC-Risk Institute—Asia (Singapore). Frank J. Fabozzi is a Professor at EDHEC Business School. (USA)

Mathematical Finance

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Author : Ernst Eberlein
language : en
Publisher: Springer Nature
Release Date : 2019-12-03

Mathematical Finance written by Ernst Eberlein and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-12-03 with Mathematics categories.

Taking continuous-time stochastic processes allowing for jumps as its starting and focal point, this book provides an accessible introduction to the stochastic calculus and control of semimartingales and explains the basic concepts of Mathematical Finance such as arbitrage theory, hedging, valuation principles, portfolio choice, and term structure modelling. It bridges thegap between introductory texts and the advanced literature in the field. Most textbooks on the subject are limited to diffusion-type models which cannot easily account for sudden price movements. Such abrupt changes, however, can often be observed in real markets. At the same time, purely discontinuous processes lead to a much wider variety of flexible and tractable models. This explains why processes with jumps have become an established tool in the statistics and mathematics of finance. Graduate students, researchers as well as practitioners will benefit from this monograph.

Quantitative Financial Risk Management

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Author : Constantin Zopounidis
language : en
Publisher: John Wiley & Sons
Release Date : 2015-05-18

Quantitative Financial Risk Management written by Constantin Zopounidis and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-05-18 with Business & Economics categories.

A Comprehensive Guide to Quantitative Financial Risk Management Written by an international team of experts in the field, Quantitative Financial Risk Management: Theory and Practice provides an invaluable guide to the most recent and innovative research on the topics of financial risk management, portfolio management, credit risk modeling, and worldwide financial markets. This comprehensive text reviews the tools and concepts of financial management that draw on the practices of economics, accounting, statistics, econometrics, mathematics, stochastic processes, and computer science and technology. Using the information found in Quantitative Financial Risk Management can help professionals to better manage, monitor, and measure risk, especially in today's uncertain world of globalization, market volatility, and geo-political crisis. Quantitative Financial Risk Management delivers the information, tools, techniques, and most current research in the critical field of risk management. This text offers an essential guide for quantitative analysts, financial professionals, and academic scholars.

Financial Models With Levy Processes And Volatility Clustering

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Author : Svetlozar T. Rachev
language : en
Publisher: John Wiley & Sons
Release Date : 2011-02-08

Financial Models With Levy Processes And Volatility Clustering written by Svetlozar T. Rachev and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-02-08 with Business & Economics categories.

An in-depth guide to understanding probability distributions and financial modeling for the purposes of investment management In Financial Models with Lévy Processes and Volatility Clustering, the expert author team provides a framework to model the behavior of stock returns in both a univariate and a multivariate setting, providing you with practical applications to option pricing and portfolio management. They also explain the reasons for working with non-normal distribution in financial modeling and the best methodologies for employing it. The book's framework includes the basics of probability distributions and explains the alpha-stable distribution and the tempered stable distribution. The authors also explore discrete time option pricing models, beginning with the classical normal model with volatility clustering to more recent models that consider both volatility clustering and heavy tails. Reviews the basics of probability distributions Analyzes a continuous time option pricing model (the so-called exponential Lévy model) Defines a discrete time model with volatility clustering and how to price options using Monte Carlo methods Studies two multivariate settings that are suitable to explain joint extreme events Financial Models with Lévy Processes and Volatility Clustering is a thorough guide to classical probability distribution methods and brand new methodologies for financial modeling.

Encyclopedia Of Financial Models Volume I

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Author : Frank J. Fabozzi
language : en
Publisher: John Wiley & Sons
Release Date : 2012-09-26

Encyclopedia Of Financial Models Volume I written by Frank J. Fabozzi and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-09-26 with Business & Economics categories.

Volume 1 of the Encyclopedia of Financial Models The need for serious coverage of financial modeling has never been greater, especially with the size, diversity, and efficiency of modern capital markets. With this in mind, the Encyclopedia of Financial Models has been created to help a broad spectrum of individuals ranging from finance professionals to academics and students understand financial modeling and make use of the various models currently available. Incorporating timely research and in-depth analysis, Volume 1 of the Encyclopedia of Financial Models covers both established and cutting-edge models and discusses their real-world applications. Edited by Frank Fabozzi, this volume includes contributions from global financial experts as well as academics with extensive consulting experience in this field. Organized alphabetically by category, this reliable resource consists of thirty-nine informative entries and provides readers with a balanced understanding of today's dynamic world of financial modeling. Volume 1 addresses Asset Pricing Models, Bayesian Analysis and Financial Modeling Applications, Bond Valuation Modeling, Credit Risk Modeling, and Derivatives Valuation Emphasizes both technical and implementation issues, providing researchers, educators, students, and practitioners with the necessary background to deal with issues related to financial modeling The 3-Volume Set contains coverage of the fundamentals and advances in financial modeling and provides the mathematical and statistical techniques needed to develop and test financial models Financial models have become increasingly commonplace, as well as complex. They are essential in a wide range of financial endeavors, and the Encyclopedia of Financial Models will help put them in perspective.

Euro Bonds

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Author : Marida Bertocchi
language : en
Publisher: World Scientific
Release Date : 2014

Euro Bonds written by Marida Bertocchi and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with Business & Economics categories.

This presents the most recent developments in the Euro bond market. It discusses the problems of the Euro countries, the proposed solutions advocated by European as well as international institutions and investors. Particular emphasis is given to systemic risk and contagion as well as to specific innovative instruments such as structured financial products which protect various classes of investors.

Encyclopedia Of Financial Models Volume Ii

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Author : Frank J. Fabozzi
language : en
Publisher: John Wiley & Sons
Release Date : 2012-09-12

Encyclopedia Of Financial Models Volume Ii written by Frank J. Fabozzi and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-09-12 with Business & Economics categories.

Volume 2 of the Encyclopedia of Financial Models The need for serious coverage of financial modeling has never been greater, especially with the size, diversity, and efficiency of modern capital markets. With this in mind, the Encyclopedia of Financial Models has been created to help a broad spectrum of individuals—ranging from finance professionals to academics and students—understand financial modeling and make use of the various models currently available. Incorporating timely research and in-depth analysis, Volume 2 of the Encyclopedia of Financial Models covers both established and cutting-edge models and discusses their real-world applications. Edited by Frank Fabozzi, this volume includes contributions from global financial experts as well as academics with extensive consulting experience in this field. Organized alphabetically by category, this reliable resource consists of forty-four informative entries and provides readers with a balanced understanding of today's dynamic world of financial modeling. Volume 2 explores Equity Models and Valuation, Factor Models for Portfolio Construction, Financial Econometrics, Financial Modeling Principles, Financial Statements Analysis, Finite Mathematics for Financial Modeling, and Model Risk and Selection Emphasizes both technical and implementation issues, providing researchers, educators, students, and practitioners with the necessary background to deal with issues related to financial modeling The 3-Volume Set contains coverage of the fundamentals and advances in financial modeling and provides the mathematical and statistical techniques needed to develop and test financial models Financial models have become increasingly commonplace, as well as complex. They are essential in a wide range of financial endeavors, and the Encyclopedia of Financial Models will help put them in perspective.