Pricing Portfolio Credit Derivatives By Means Of Evolutionary Algorithms
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Pricing Portfolio Credit Derivatives By Means Of Evolutionary Algorithms
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Author : Svenja Hager
language : en
Publisher: Springer Science & Business Media
Release Date : 2008-09-08
Pricing Portfolio Credit Derivatives By Means Of Evolutionary Algorithms written by Svenja Hager 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 2008-09-08 with Business & Economics categories.
Svenja Hager aims at pricing non-standard illiquid portfolio credit derivatives which are related to standard CDO tranches with the same underlying portfolio of obligors. Instead of assuming a homogeneous dependence structure between the default times of different obligors, as it is assumed in the standard market model, the author focuses on the use of heterogeneous correlation structures.
Algorithms For Solving Financial Portfolio Design Problems Emerging Research And Opportunities
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Author : Lebbah, Fatima Zohra
language : en
Publisher: IGI Global
Release Date : 2019-12-27
Algorithms For Solving Financial Portfolio Design Problems Emerging Research And Opportunities written by Lebbah, Fatima Zohra and has been published by IGI Global this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-12-27 with Business & Economics categories.
In the current scope of economics, the management of client portfolios has become a considerable problem within financial institutions due to the amount of risk that goes into assigning assets. Various algorithmic models exist for solving these portfolio challenges; however, considerable research is lacking that further explains these design problems and provides applicable solutions to these imperative issues. Algorithms for Solving Financial Portfolio Design Problems: Emerging Research and Opportunities is a pivotal reference source that provides vital research on the application of various programming models within the financial engineering field. While highlighting topics such as landscape analysis, breaking symmetries, and linear programming, this publication analyzes the quadratic constraints of current portfolios and provides algorithmic solutions to maximizing the full value of these financial sets. This book is ideally designed for financial strategists, engineers, programmers, mathematicians, banking professionals, researchers, academicians, and students seeking current research on recent mathematical advances within financial engineering.
Natural Computing In Computational Finance
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Author : Anthony Brabazon
language : en
Publisher: Springer
Release Date : 2010-07-11
Natural Computing In Computational Finance written by Anthony Brabazon and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-07-11 with Technology & Engineering categories.
The chapters in this book illustrate the application of a range of cutting-edge natural computing and agent-based methodologies in computational finance and economics. The eleven chapters were selected following a rigorous, peer-reviewed, selection process.
Credit Derivatives Pricing Models
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Author : Philipp J. Schönbucher
language : en
Publisher: John Wiley & Sons
Release Date : 2003-10-31
Credit Derivatives Pricing Models written by Philipp J. Schönbucher 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 2003-10-31 with Business & Economics categories.
The credit derivatives market is booming and, for the first time, expanding into the banking sector which previously has had very little exposure to quantitative modeling. This phenomenon has forced a large number of professionals to confront this issue for the first time. Credit Derivatives Pricing Models provides an extremely comprehensive overview of the most current areas in credit risk modeling as applied to the pricing of credit derivatives. As one of the first books to uniquely focus on pricing, this title is also an excellent complement to other books on the application of credit derivatives. Based on proven techniques that have been tested time and again, this comprehensive resource provides readers with the knowledge and guidance to effectively use credit derivatives pricing models. Filled with relevant examples that are applied to real-world pricing problems, Credit Derivatives Pricing Models paves a clear path for a better understanding of this complex issue. Dr. Philipp J. Schönbucher is a professor at the Swiss Federal Institute of Technology (ETH), Zurich, and has degrees in mathematics from Oxford University and a PhD in economics from Bonn University. He has taught various training courses organized by ICM and CIFT, and lectured at risk conferences for practitioners on credit derivatives pricing, credit risk modeling, and implementation.
Intensity Gamma
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Author :
language : en
Publisher:
Release Date : 2006
Intensity Gamma written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with categories.
Modelling Pricing And Hedging Counterparty Credit Exposure
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Author : Giovanni Cesari
language : en
Publisher: Springer Science & Business Media
Release Date : 2009-12-06
Modelling Pricing And Hedging Counterparty Credit Exposure written by Giovanni Cesari 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 2009-12-06 with Business & Economics categories.
It was the end of 2005 when our employer, a major European Investment Bank, gave our team the mandate to compute in an accurate way the counterparty credit exposure arising from exotic derivatives traded by the ?rm. As often happens, - posure of products such as, for example, exotic interest-rate, or credit derivatives were modelled under conservative assumptions and credit of?cers were struggling to assess the real risk. We started with a few models written on spreadsheets, t- lored to very speci?c instruments, and soon it became clear that a more systematic approach was needed. So we wrote some tools that could be used for some classes of relatively simple products. A couple of years later we are now in the process of building a system that will be used to trade and hedge counterparty credit ex- sure in an accurate way, for all types of derivative products in all asset classes. We had to overcome problems ranging from modelling in a consistent manner different products booked in different systems and building the appropriate architecture that would allow the computation and pricing of credit exposure for all types of pr- ucts, to ?nding the appropriate management structure across Business, Risk, and IT divisions of the ?rm. In this book we describe some of our experience in modelling counterparty credit exposure, computing credit valuation adjustments, determining appropriate hedges, and building a reliable system.
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.
Metaheuristic Approaches To Portfolio Optimization
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Author : Ray, Jhuma
language : en
Publisher: IGI Global
Release Date : 2019-06-22
Metaheuristic Approaches To Portfolio Optimization written by Ray, Jhuma and has been published by IGI Global this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-06-22 with Business & Economics categories.
Control of an impartial balance between risks and returns has become important for investors, and having a combination of financial instruments within a portfolio is an advantage. Portfolio management has thus become very important for reaching a resolution in high-risk investment opportunities and addressing the risk-reward tradeoff by maximizing returns and minimizing risks within a given investment period for a variety of assets. Metaheuristic Approaches to Portfolio Optimization is an essential reference source that examines the proper selection of financial instruments in a financial portfolio management scenario in terms of metaheuristic approaches. It also explores common measures used for the evaluation of risks/returns of portfolios in real-life situations. Featuring research on topics such as closed-end funds, asset allocation, and risk-return paradigm, this book is ideally designed for investors, financial professionals, money managers, accountants, students, professionals, and researchers.
The Art Of Credit Derivatives
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Author : Joao Garcia
language : en
Publisher: John Wiley & Sons
Release Date : 2010-02-16
The Art Of Credit Derivatives written by Joao Garcia 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 2010-02-16 with Business & Economics categories.
Credit derivatives have been instrumental in the recent increase in securitization activity. The complex nature and the size of the market have given rise to very complex counterparty credit risks. The Lehman failure has shown that these issues can paralyse the financial markets, and the need for detailed understanding has never been greater. The Art of Credit Derivatives shows practitioners how to put a framework in place which will support the securitization activity. By showing the models that support this activity and linking them with very practical examples, the authors show why a mind-shift within the quant community is needed - a move from simple modeling to a more hands on mindset where the modeler understands the trading implicitly. The book has been written in five parts, covering the modeling framework; single name corporate credit derivatives; multi name corporate credit derivatives; asset backed securities and dynamic credit portfolio management. Coverage includes: groundbreaking solutions to the inherent risks associated with investing in securitization instruments how to use the standardized credit indices as the most appropriate instruments in price discovery processes and why these indices are the essential tools for short term credit portfolio management why the dynamics of systemic correlation and the standardised credit indices are linked with leverage, and consequently the implications for liquidity and solvability of financial institutions how Lévy processes and long term memory processes are related to the understanding of economic activity why regulatory capital should be portfolio dependant and how to use stress tests and scenario analysis to model this how to put structured products in a mark-to market-environment, increasing transparency for accounting and compliance. This book will be invaluable reading for Credit Analysts, Quantitative Analysts, Credit Portfolio Managers, Academics and anyone interested in these complex yet important markets.
Computational Science Iccs 2006
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Author :
language : en
Publisher: Springer Science & Business Media
Release Date : 2006
Computational Science Iccs 2006 written by 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 2006 with Computational complexity categories.