Perturbation Methods In Credit Derivatives
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Perturbation Methods In Credit Derivatives
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Author : Colin Turfus
language : en
Publisher: John Wiley & Sons
Release Date : 2021-03-15
Perturbation Methods In Credit Derivatives written by Colin Turfus 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 2021-03-15 with Business & Economics categories.
Stress-test financial models and price credit instruments with confidence and efficiency using the perturbation approach taught in this expert volume Perturbation Methods in Credit Derivatives: Strategies for Efficient Risk Management offers an incisive examination of a new approach to pricing credit-contingent financial instruments. Author and experienced financial engineer Dr. Colin Turfus has created an approach that allows model validators to perform rapid benchmarking of risk and pricing models while making the most efficient use possible of computing resources. The book provides innumerable benefits to a wide range of quantitative financial experts attempting to comply with increasingly burdensome regulatory stress-testing requirements, including: Replacing time-consuming Monte Carlo simulations with faster, simpler pricing algorithms for front-office quants Allowing CVA quants to quantify the impact of counterparty risk, including wrong-way correlation risk, more efficiently Developing more efficient algorithms for generating stress scenarios for market risk quants Obtaining more intuitive analytic pricing formulae which offer a clearer intuition of the important relationships among market parameters, modelling assumptions and trade/portfolio characteristics for traders The methods comprehensively taught in Perturbation Methods in Credit Derivatives also apply to CVA/DVA calculations and contingent credit default swap pricing.
Multiscale Stochastic Volatility For Equity Interest Rate And Credit Derivatives
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Author : Jean-Pierre Fouque
language : en
Publisher: Cambridge University Press
Release Date : 2011-09-29
Multiscale Stochastic Volatility For Equity Interest Rate And Credit Derivatives written by Jean-Pierre Fouque and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-09-29 with Mathematics categories.
Building upon the ideas introduced in their previous book, Derivatives in Financial Markets with Stochastic Volatility, the authors study the pricing and hedging of financial derivatives under stochastic volatility in equity, interest-rate, and credit markets. They present and analyze multiscale stochastic volatility models and asymptotic approximations. These can be used in equity markets, for instance, to link the prices of path-dependent exotic instruments to market implied volatilities. The methods are also used for interest rate and credit derivatives. Other applications considered include variance-reduction techniques, portfolio optimization, forward-looking estimation of CAPM 'beta', and the Heston model and generalizations of it. 'Off-the-shelf' formulas and calibration tools are provided to ease the transition for practitioners who adopt this new method. The attention to detail and explicit presentation make this also an excellent text for a graduate course in financial and applied mathematics.
The Oxford Handbook Of Credit Derivatives
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Author : Alexander Lipton
language : en
Publisher: OUP Oxford
Release Date : 2013-01-17
The Oxford Handbook Of Credit Derivatives written by Alexander Lipton and has been published by OUP Oxford this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-01-17 with Business & Economics categories.
From the late 1990s, the spectacular growth of a secondary market for credit through derivatives has been matched by the emergence of mathematical modelling analysing the credit risk embedded in these contracts. This book aims to provide a broad and deep overview of this modelling, covering statistical analysis and techniques, modelling of default of both single and multiple entities, counterparty risk, Gaussian and non-Gaussian modelling, and securitisation. Both reduced-form and firm-value models for the default of single entities are considered in detail, with extensive discussion of both their theoretical underpinnings and practical usage in pricing and risk. For multiple entity modelling, the now notorious Gaussian copula is discussed with analysis of its shortcomings, as well as a wide range of alternative approaches including multivariate extensions to both firm-value and reduced form models, and continuous-time Markov chains. One important case of multiple entities modelling - counterparty risk in credit derivatives - is further explored in two dedicated chapters. Alternative non-Gaussian approaches to modelling are also discussed, including extreme-value theory and saddle-point approximations to deal with tail risk. Finally, the recent growth in securitisation is covered, including house price modelling and pricing models for asset-backed CDOs. The current credit crisis has brought modelling of the previously arcane credit markets into the public arena. Lipton and Rennie with their excellent team of contributors, provide a timely discussion of the mathematical modelling that underpins both credit derivatives and securitisation. Though technical in nature, the pros and cons of various approaches attempt to provide a balanced view of the role that mathematical modelling plays in the modern credit markets. This book will appeal to students and researchers in statistics, economics, and finance, as well as practitioners, credit traders, and quantitative analysts
Saddlepoint Approximation Methods In Financial Engineering
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Author : Yue Kuen Kwok
language : en
Publisher: Springer
Release Date : 2018-02-16
Saddlepoint Approximation Methods In Financial Engineering written by Yue Kuen Kwok and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-02-16 with Mathematics categories.
This book summarizes recent advances in applying saddlepoint approximation methods to financial engineering. It addresses pricing exotic financial derivatives and calculating risk contributions to Value-at-Risk and Expected Shortfall in credit portfolios under various default correlation models. These standard problems involve the computation of tail probabilities and tail expectations of the corresponding underlying state variables. The text offers in a single source most of the saddlepoint approximation results in financial engineering, with different sets of ready-to-use approximation formulas. Much of this material may otherwise only be found in original research publications. The exposition and style are made rigorous by providing formal proofs of most of the results. Starting with a presentation of the derivation of a variety of saddlepoint approximation formulas in different contexts, this book will help new researchers to learn the fine technicalities of the topic. It will also be valuable to quantitative analysts in financial institutions who strive for effective valuation of prices of exotic financial derivatives and risk positions of portfolios of risky instruments.
Credit Correlation
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Author : Youssef Elouerkhaoui
language : en
Publisher: Springer
Release Date : 2017-11-15
Credit Correlation written by Youssef Elouerkhaoui and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-11-15 with Business & Economics categories.
This book provides an advanced guide to correlation modelling for credit portfolios, providing both theoretical underpinnings and practical implementation guidance. The book picks up where pre-crisis credit books left off, offering guidance for quants on the latest tools and techniques for credit portfolio modelling in the presence of CVA (Credit Value Adjustments). Written at an advanced level, it assumes that readers are familiar with the fundamentals of credit modelling covered, for example, in the market leading books by Schonbucher (2003) and O’Kane (2008). Coverage will include the latest default correlation approaches; correlation modelling in the ‘Marshall-Olkin’ contagion framework, in the context of CVA; numerical implementation; and pricing, calibration and risk challenges. The explosive growth of credit derivatives markets in the early-to-mid 000’s was bought to a close by the 2007 financial crisis, where these instruments were held largely to blame for the economic downturn. However, in the wake of increased regulation across all financial instruments and the challenge of buying and selling bonds in large amounts, credit derivatives have once again been found to be the answer and the market has grown significantly. Written by a practitioner for practitioners, this book will also interest researchers in mathematical finance who want to understand how things happen and work ‘on the floor’. Building the reader’s knowledge from the ground up, and with numerous real life examples used throughout, this book will prove a popular reference for anyone with a mathematical mind interested credit markets.
Monte Carlo And Quasi Monte Carlo Methods 2010
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Author : Leszek Plaskota
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-08-23
Monte Carlo And Quasi Monte Carlo Methods 2010 written by Leszek Plaskota 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 2012-08-23 with Mathematics categories.
This book represents the refereed proceedings of the Ninth International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing that was held at the University of Warsaw (Poland) in August 2010. These biennial conferences are major events for Monte Carlo and the premiere event for quasi-Monte Carlo research. The proceedings include articles based on invited lectures as well as carefully selected contributed papers on all theoretical aspects and applications of Monte Carlo and quasi-Monte Carlo methods. The reader will be provided with information on latest developments in these very active areas. The book is an excellent reference for theoreticians and practitioners interested in solving high-dimensional computational problems arising, in particular, in finance and statistics.
Pricing Portfolio Credit Derivatives
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Author : Alexander Herbertsson
language : en
Publisher: Goteborg University
Release Date : 2007
Pricing Portfolio Credit Derivatives written by Alexander Herbertsson and has been published by Goteborg University this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with Credit derivatives categories.
Fitting Local Volatility Analytic And Numerical Approaches In Black Scholes And Local Variance Gamma Models
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Author : Andrey Itkin
language : en
Publisher: World Scientific
Release Date : 2020-01-22
Fitting Local Volatility Analytic And Numerical Approaches In Black Scholes And Local Variance Gamma Models written by Andrey Itkin and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-01-22 with Business & Economics categories.
The concept of local volatility as well as the local volatility model are one of the classical topics of mathematical finance. Although the existing literature is wide, there still exist various problems that have not drawn sufficient attention so far, for example: a) construction of analytical solutions of the Dupire equation for an arbitrary shape of the local volatility function; b) construction of parametric or non-parametric regression of the local volatility surface suitable for fast calibration; c) no-arbitrage interpolation and extrapolation of the local and implied volatility surfaces; d) extension of the local volatility concept beyond the Black-Scholes model, etc. Also, recent progresses in deep learning and artificial neural networks as applied to financial engineering have made it reasonable to look again at various classical problems of mathematical finance including that of building a no-arbitrage local/implied volatility surface and calibrating it to the option market data.This book was written with the purpose of presenting new results previously developed in a series of papers and explaining them consistently, starting from the general concept of Dupire, Derman and Kani and then concentrating on various extensions proposed by the author and his co-authors. This volume collects all the results in one place, and provides some typical examples of the problems that can be efficiently solved using the proposed methods. This also results in a faster calibration of the local and implied volatility surfaces as compared to standard approaches.The methods and solutions presented in this volume are new and recently published, and are accompanied by various additional comments and considerations. Since from the mathematical point of view, the level of details is closer to the applied rather than to the abstract or pure theoretical mathematics, the book could also be recommended to graduate students with majors in computational or quantitative finance, financial engineering or even applied mathematics. In particular, the author used to teach some topics of this book as a part of his special course on computational finance at the Tandon School of Engineering, New York University.
Risk Measures With Applications In Finance And Economics
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Author : Michael McAleer
language : en
Publisher: MDPI
Release Date : 2019-07-23
Risk Measures With Applications In Finance And Economics written by Michael McAleer and has been published by MDPI this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-07-23 with Business & Economics categories.
Risk measures play a vital role in many subfields of economics and finance. It has been proposed that risk measures could be analysed in relation to the performance of variables extracted from empirical real-world data. For example, risk measures may help inform effective monetary and fiscal policies and, therefore, the further development of pricing models for financial assets such as equities, bonds, currencies, and derivative securities.
The First Outstanding 50 Years Of Universit Politecnica Delle Marche
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Author : Sauro Longhi
language : en
Publisher: Springer Nature
Release Date : 2020-01-03
The First Outstanding 50 Years Of Universit Politecnica Delle Marche written by Sauro Longhi and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-01-03 with Science categories.
The book describes significant multidisciplinary research findings at the Università Politecnica delle Marche and the expected future advances. It addresses some of the most dramatic challenges posed by today’s fast-growing, global society and the changes it has caused, while also discussing solutions to improve the wellbeing of human beings. The book covers the main research achievements made in the social sciences and humanities, and includes chapters that focus on understanding mechanisms that are relevant to all aspects of economic and social interactions among individuals. In line with Giorgio Fuà’s contribution, the interdisciplinary research being pursued at the Faculty of Economics of Università Politecnica delle Marche is aimed at interpreting the process of economic development in all of its facets, both at the national and local level, with a particular focus on profit and non-profit organizations. Various disciplines are covered, from economics to sociology, history, statistics, mathematics, law, accounting, finance and management.