Special Issue Copulae And Multivariate Probability Distributions In Finance
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Copulae And Multivariate Probability Distributions In Finance
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Author : Alexandra Dias
language : en
Publisher: Routledge
Release Date : 2013-08-21
Copulae And Multivariate Probability Distributions In Finance written by Alexandra Dias and has been published by Routledge this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-08-21 with Business & Economics categories.
Portfolio theory and much of asset pricing, as well as many empirical applications, depend on the use of multivariate probability distributions to describe asset returns. Traditionally, this has meant the multivariate normal (or Gaussian) distribution. More recently, theoretical and empirical work in financial economics has employed the multivariate Student (and other) distributions which are members of the elliptically symmetric class. There is also a growing body of work which is based on skew-elliptical distributions. These probability models all exhibit the property that the marginal distributions differ only by location and scale parameters or are restrictive in other respects. Very often, such models are not supported by the empirical evidence that the marginal distributions of asset returns can differ markedly. Copula theory is a branch of statistics which provides powerful methods to overcome these shortcomings. This book provides a synthesis of the latest research in the area of copulae as applied to finance and related subjects such as insurance. Multivariate non-Gaussian dependence is a fact of life for many problems in financial econometrics. This book describes the state of the art in tools required to deal with these observed features of financial data. This book was originally published as a special issue of the European Journal of Finance.
Special Issue Copulae And Multivariate Probability Distributions In Finance
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Author : Alexandra Dias
language : en
Publisher:
Release Date : 2009
Special Issue Copulae And Multivariate Probability Distributions In Finance written by Alexandra Dias and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with categories.
Copulae And Multivariate Probability Distributions In Finance
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Author : Alexandra Dias
language : en
Publisher: Routledge
Release Date : 2013-08-21
Copulae And Multivariate Probability Distributions In Finance written by Alexandra Dias and has been published by Routledge this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-08-21 with Business & Economics categories.
Portfolio theory and much of asset pricing, as well as many empirical applications, depend on the use of multivariate probability distributions to describe asset returns. Traditionally, this has meant the multivariate normal (or Gaussian) distribution. More recently, theoretical and empirical work in financial economics has employed the multivariate Student (and other) distributions which are members of the elliptically symmetric class. There is also a growing body of work which is based on skew-elliptical distributions. These probability models all exhibit the property that the marginal distributions differ only by location and scale parameters or are restrictive in other respects. Very often, such models are not supported by the empirical evidence that the marginal distributions of asset returns can differ markedly. Copula theory is a branch of statistics which provides powerful methods to overcome these shortcomings. This book provides a synthesis of the latest research in the area of copulae as applied to finance and related subjects such as insurance. Multivariate non-Gaussian dependence is a fact of life for many problems in financial econometrics. This book describes the state of the art in tools required to deal with these observed features of financial data. This book was originally published as a special issue of the European Journal of Finance.
Copula Methods In Finance
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Author : Umberto Cherubini
language : en
Publisher: John Wiley & Sons
Release Date : 2004-10-22
Copula Methods In Finance written by Umberto Cherubini 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 2004-10-22 with Business & Economics categories.
Copula Methods in Finance is the first book to address the mathematics of copula functions illustrated with finance applications. It explains copulas by means of applications to major topics in derivative pricing and credit risk analysis. Examples include pricing of the main exotic derivatives (barrier, basket, rainbow options) as well as risk management issues. Particular focus is given to the pricing of asset-backed securities and basket credit derivative products and the evaluation of counterparty risk in derivative transactions.
2014 International Conference On Economics And Management Icem2014
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Author :
language : en
Publisher: DEStech Publications, Inc
Release Date : 2014-02-04
2014 International Conference On Economics And Management Icem2014 written by and has been published by DEStech Publications, Inc this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-02-04 with Business & Economics categories.
ICEM2014 is to offer scholars, professionals, academics and graduate students to present, share, and discuss their studies from various perspectives in the aspects of social science. The ICEM2014 is hosted by Advance Information Science Research Center and is sponsored by DEStech Publication, Inc., South China University of Technology, Guangdong University of Foreign Studies. This proceedings tends to collect the up-to-date, comprehensive and worldwide state-of-art knowledge on economics and management. All of accepted papers were subjected to strict peer- reviewing by 2–4 expert referees. The papers have been selected for this proceedings based on originality, significance, and clarity for the purpose of the conference. The selected papers and additional late-breaking contributions to be presented will make an exciting technical program on conference. The conference program is extremely rich, featuring high-impact presentation. We hope this conference will not only provide the participants a broad overview of the latest research results on economics and management, but also provide the participants a significant platform to build academic connections. ICEM2014 would like to express our sincere appreciations to all authors for their contributions to this conference. We would like to extend our thanks to all the referees for their constructive comments on all papers; especially, we would like to thank to organizing committee for their hard working.
Extreme Events In Finance
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Author : Francois Longin
language : en
Publisher: John Wiley & Sons
Release Date : 2016-10-17
Extreme Events In Finance written by Francois Longin 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 2016-10-17 with Business & Economics categories.
A guide to the growing importance of extreme value risk theory, methods, and applications in the financial sector Presenting a uniquely accessible guide, Extreme Events in Finance: A Handbook of Extreme Value Theory and Its Applications features a combination of the theory, methods, and applications of extreme value theory (EVT) in finance and a practical understanding of market behavior including both ordinary and extraordinary conditions. Beginning with a fascinating history of EVTs and financial modeling, the handbook introduces the historical implications that resulted in the applications and then clearly examines the fundamental results of EVT in finance. After dealing with these theoretical results, the handbook focuses on the EVT methods critical for data analysis. Finally, the handbook features the practical applications and techniques and how these can be implemented in financial markets. Extreme Events in Finance: A Handbook of Extreme Value Theory and Its Applications includes: Over 40 contributions from international experts in the areas of finance, statistics, economics, business, insurance, and risk management Topical discussions on univariate and multivariate case extremes as well as regulation in financial markets Extensive references in order to provide readers with resources for further study Discussions on using R packages to compute the value of risk and related quantities The book is a valuable reference for practitioners in financial markets such as financial institutions, investment funds, and corporate treasuries, financial engineers, quantitative analysts, regulators, risk managers, large-scale consultancy groups, and insurers. Extreme Events in Finance: A Handbook of Extreme Value Theory and Its Applications is also a useful textbook for postgraduate courses on the methodology of EVTs in finance.
Handbook Of Economic Forecasting
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Author : Graham Elliott
language : en
Publisher: Elsevier
Release Date : 2013-10-24
Handbook Of Economic Forecasting written by Graham Elliott and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-10-24 with Business & Economics categories.
The highly prized ability to make financial plans with some certainty about the future comes from the core fields of economics. In recent years the availability of more data, analytical tools of greater precision, and ex post studies of business decisions have increased demand for information about economic forecasting. Volumes 2A and 2B, which follows Nobel laureate Clive Granger's Volume 1 (2006), concentrate on two major subjects. Volume 2A covers innovations in methodologies, specifically macroforecasting and forecasting financial variables. Volume 2B investigates commercial applications, with sections on forecasters' objectives and methodologies. Experts provide surveys of a large range of literature scattered across applied and theoretical statistics journals as well as econometrics and empirical economics journals. The Handbook of Economic Forecasting Volumes 2A and 2B provide a unique compilation of chapters giving a coherent overview of forecasting theory and applications in one place and with up-to-date accounts of all major conceptual issues. - Focuses on innovation in economic forecasting via industry applications - Presents coherent summaries of subjects in economic forecasting that stretch from methodologies to applications - Makes details about economic forecasting accessible to scholars in fields outside economics
Dependence Modeling
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Author : Harry Joe
language : en
Publisher: World Scientific
Release Date : 2011
Dependence Modeling written by Harry Joe and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with Business & Economics categories.
1. Introduction : Dependence modeling / D. Kurowicka -- 2. Multivariate copulae / M. Fischer -- 3. Vines arise / R.M. Cooke, H. Joe and K. Aas -- 4. Sampling count variables with specified Pearson correlation : A comparison between a naive and a C-vine sampling approach / V. Erhardt and C. Czado -- 5. Micro correlations and tail dependence / R.M. Cooke, C. Kousky and H. Joe -- 6. The Copula information criterion and Its implications for the maximum pseudo-likelihood estimator / S. Gronneberg -- 7. Dependence comparisons of vine copulae with four or more variables / H. Joe -- 8. Tail dependence in vine copulae / H. Joe -- 9. Counting vines / O. Morales-Napoles -- 10. Regular vines : Generation algorithm and number of equivalence classes / H. Joe, R.M. Cooke and D. Kurowicka -- 11. Optimal truncation of vines / D. Kurowicka -- 12. Bayesian inference for D-vines : Estimation and model selection / C. Czado and A. Min -- 13. Analysis of Australian electricity loads using joint Bayesian inference of D-vines with autoregressive margins / C. Czado, F. Gartner and A. Min -- 14. Non-parametric Bayesian belief nets versus vines / A. Hanea -- 15. Modeling dependence between financial returns using pair-copula constructions / K. Aas and D. Berg -- 16. Dynamic D-vine model / A. Heinen and A. Valdesogo -- 17. Summary and future directions / D. Kurowicka
Asymmetric Dependence In Finance
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Author : Jamie Alcock
language : en
Publisher: John Wiley & Sons
Release Date : 2018-02-13
Asymmetric Dependence In Finance written by Jamie Alcock 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 2018-02-13 with Business & Economics categories.
Avoid downturn vulnerability by managing correlation dependency Asymmetric Dependence in Finance examines the risks and benefits of asset correlation, and provides effective strategies for more profitable portfolio management. Beginning with a thorough explanation of the extent and nature of asymmetric dependence in the financial markets, this book delves into the practical measures fund managers and investors can implement to boost fund performance. From managing asymmetric dependence using Copulas, to mitigating asymmetric dependence risk in real estate, credit and CTA markets, the discussion presents a coherent survey of the state-of-the-art tools available for measuring and managing this difficult but critical issue. Many funds suffered significant losses during recent downturns, despite having a seemingly well-diversified portfolio. Empirical evidence shows that the relation between assets is much richer than previously thought, and correlation between returns is dependent on the state of the market; this book explains this asymmetric dependence and provides authoritative guidance on mitigating the risks. Examine an options-based approach to limiting your portfolio's downside risk Manage asymmetric dependence in larger portfolios and alternate asset classes Get up to speed on alternative portfolio performance management methods Improve fund performance by applying appropriate models and quantitative techniques Correlations between assets increase markedly during market downturns, leading to diversification failure at the very moment it is needed most. The 2008 Global Financial Crisis and the 2006 hedge-fund crisis provide vivid examples, and many investors still bear the scars of heavy losses from their well-managed, well-diversified portfolios. Asymmetric Dependence in Finance shows you what went wrong, and how it can be corrected and managed before the next big threat using the latest methods and models from leading research in quantitative finance.
Mathematics Of The Financial Markets
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Author : Alain Ruttiens
language : en
Publisher: John Wiley & Sons
Release Date : 2013-08-05
Mathematics Of The Financial Markets written by Alain Ruttiens 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 2013-08-05 with Business & Economics categories.
Mathematics of the Financial Markets Financial Instruments and Derivatives Modeling, Valuation and Risk Issues "Alain Ruttiens has the ability to turn extremely complex concepts and theories into very easy to understand notions. I wish I had read his book when I started my career!" Marco Dion, Global Head of Equity Quant Strategy, J.P. Morgan "The financial industry is built on a vast collection of financial securities that can be valued and risk profiled using a set of miscellaneous mathematical models. The comprehension of these models is fundamental to the modern portfolio and risk manager in order to achieve a deep understanding of the capabilities and limitations of these methods in the approximation of the market. In his book, Alain Ruttiens exposes these models for a wide range of financial instruments by using a detailed and user friendly approach backed up with real-life data examples. The result is an excellent entry-level and reference book that will help any student and current practitioner up their mathematical modeling skills in the increasingly demanding domain of asset and risk management." Virgile Rostand, Consultant, Toronto ON "Alain Ruttiens not only presents the reader with a synthesis between mathematics and practical market dealing, but, more importantly a synthesis of his thinking and of his life." René Chopard, CEO, Centro di Studi Bancari Lugano, Vezia / Professor, Università dell'Insubria, Varese "Alain Ruttiens has written a book on quantitative finance that covers a wide range of financial instruments, examples and models. Starting from first principles, the book should be accessible to anyone who is comfortable with trading strategies, numbers and formulas." Dr Yuh-Dauh Lyuu, Professor of Finance & Professor of Computer Science & Information Engineering, National Taiwan University