Stochastic Drawdowns
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Stochastic Drawdowns
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Author : Zhang Hongzhong
language : en
Publisher: World Scientific
Release Date : 2018-05-04
Stochastic Drawdowns written by Zhang Hongzhong and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-05-04 with Business & Economics categories.
Stochastic Drawdowns consists of some recent advances on Dr Hongzhong Zhang's own quantitative research of the well-known risk measures, drawdowns and maximum drawdowns. In this book, the author provides an extensive probabilistic study of different aspects of drawdown risks, which include the drawdown risk in finite time-horizons, the speed of market crashes (drawdowns), the frequency of drawdowns, the occupation time (time in distress), and the duration of drawdowns. Leveraging the knowledge in stochastic calculus, Lévy processes and optimal stopping, these topics can be considered as problems in advanced applied stochastic processes, and insurance/financial mathematics. The book also offers a number of applications of drawdowns in financial risk management, insurance, and algorithmic trading, including schemes on hedging and synthesizing of maximum drawdown options, (cancellable) drawdown insurance contracts and their fair premium, as well as optimal trading under drawdown-type constraints such as trailing stops. It is the goal of this book to offer a comprehensive characterization of drawdown risks and a handful of applications of drawdown in practice. On the one hand, the book enables interested students and researchers to learn the state-of-art probabilistic research on drawdowns, and explore new mathematical problems that are of practical importance to the financial industry. On the other hand, the book provides financial practitioners with access to a variety of analytically tractable measurements of drawdown risks, and the insight into hedging, optimal trading and execution amid challenges of these risks. Contents: Introduction Drawdown Measures: Drawdowns Preceding Drawups in a Finite Time-Horizon Drawdowns and the Speed of Market Crashes Frequency of Drawdowns in a Brownian Motion Model Occupation Times Related to Drawdowns Duration of Drawdowns under Lévy Models Applications of Drawdown: Maximum Drawdown Insurance Using Options Fair Premiums of Drawdown Insurances Optimal Trading with a Trailing Stop Appendix: Briefly on One-Dimensional Linear Diffusions Readership: Senior undergraduate and graduate students equipped with the knowledge of stochastic processes and financial practitioners who are interested in optimal trading and execution. Keywords: Drawdown;Maximum Drawdown;Insurance;Optimal TradingReview: Key Features: The first book to touch on the advanced quantitative analysis of drawdowns in the current market A rigorous and extensive study of drawdowns from a probabilistic point of view Addressing of important practical problems related to drawdowns
Process Engineering For Pollution Control And Waste Minimization
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Author : Donald L. Wise
language : en
Publisher: CRC Press
Release Date : 1994-02-15
Process Engineering For Pollution Control And Waste Minimization written by Donald L. Wise and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 1994-02-15 with Science categories.
Offers up-to-date technical information on current and potential pollution control and waste minimization practices, providing industry-specific case studies, techniques and models.
Hedge Funds
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Author : Greg N. Gregoriou
language : en
Publisher: Beard Books
Release Date : 2003
Hedge Funds written by Greg N. Gregoriou and has been published by Beard Books this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003 with Business & Economics categories.
Twenty-one contributions from academics and practitioners discuss recent research on hedge funds. Aimed at investment professionals and high net worth individuals, the text deals with current methods of hedge fund tracking, evaluation, and selection. Sample topics include convertible arbitrage funds
Employee Stock Options Exercise Timing Hedging And Valuation
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Author : Tim Siu-tang Leung
language : en
Publisher: World Scientific
Release Date : 2021-07-29
Employee Stock Options Exercise Timing Hedging And Valuation written by Tim Siu-tang Leung and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-07-29 with Business & Economics categories.
Employee stock options (ESOs) are an integral component of compensation in the US. In fact, almost all S&P 500 companies grant options to their top executives, and the total value accounts for almost half of the total pay for their CEOs. In view of the extensive use and significant cost of ESOs to firms, the Financial Accounting Standards Board (FASB) has mandated expensing ESOs since 2004. This gives rise to the need to create a reasonable valuation method for these options for most firms that grant ESOs to their employees. The valuation of ESOs involves a number of challenging issues, and is thus an important active research area in Accounting, Corporate Finance, and Financial Mathematics.In this exciting book, the author discusses the practical and challenging problems surrounding ESOs from a financial mathematician's perspective. This book provides a systematic overview of the contractual features of ESOs and thoughtful discussions of different valuation approaches, with emphasis on three major aspects: (i) hedging strategies; (ii) exercise timing; and (iii) valuation methodologies. In addition to addressing each of these categories, this book also highlights their connections and combined effects of the cost of ESOs to firms, as well as examines the implications to modeling and valuation approaches. The book features a unique approach that combines stochastic modeling and control techniques with option pricing theory, and provides formulas and numerical schemes for fast implementation and clear illustration.
Trend Following With Managed Futures
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Author : Alex Greyserman
language : en
Publisher: John Wiley & Sons
Release Date : 2014-08-26
Trend Following With Managed Futures written by Alex Greyserman 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 2014-08-26 with Business & Economics categories.
An all-inclusive guide to trend following As more and more savvy investors move into the space, trend following has become one of the most popular investment strategies. Written for investors and investment managers, Trend Following with Managed Futures offers an insightful overview of both the basics and theoretical foundations for trend following. The book also includes in-depth coverage of more advanced technical aspects of systematic trend following. The book examines relevant topics such as: Trend following as an alternative asset class Benchmarking and factor decomposition Applications for trend following in an investment portfolio And many more By focusing on the investor perspective, Trend Following with Managed Futures is a groundbreaking and invaluable resource for anyone interested in modern systematic trend following.
Derivatives Pricing And Modeling
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Author : Jonathan Batten
language : en
Publisher: Emerald Group Publishing
Release Date : 2012-07-02
Derivatives Pricing And Modeling written by Jonathan Batten and has been published by Emerald Group Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-07-02 with Business & Economics categories.
Highlights research in derivatives modelling and markets in a post-crisis world across a number of dimensions or themes. This book addresses the following main areas: derivatives models and pricing, model application and performance backtesting, and new products and market features.
Portfolio Theory And Management
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Author : H. Kent Baker
language : en
Publisher: Oxford University Press
Release Date : 2013-01-07
Portfolio Theory And Management written by H. Kent Baker and has been published by Oxford University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-01-07 with Business & Economics categories.
Portfolio management is an ongoing process of constructing portfolios that balances an investor's objectives with the portfolio manager's expectations about the future. This dynamic process provides the payoff for investors. Portfolio management evaluates individual assets or investments by their contribution to the risk and return of an investor's portfolio rather than in isolation. This is called the portfolio perspective. Thus, by constructing a diversified portfolio, a portfolio manager can reduce risk for a given level of expected return, compared to investing in an individual asset or security. According to modern portfolio theory (MPT), investors who do not follow a portfolio perspective bear risk that is not rewarded with greater expected return. Portfolio diversification works best when financial markets are operating normally compared to periods of market turmoil such as the 2007-2008 financial crisis. During periods of turmoil, correlations tend to increase thus reducing the benefits of diversification. Portfolio management today emerges as a dynamic process, which continues to evolve at a rapid pace. The purpose of Portfolio Theory and Management is to take readers from the foundations of portfolio management with the contributions of financial pioneers up to the latest trends emerging within the context of special topics. The book includes discussions of portfolio theory and management both before and after the 2007-2008 financial crisis. This volume provides a critical reflection of what worked and what did not work viewed from the perspective of the recent financial crisis. Further, the book is not restricted to the U.S. market but takes a more global focus by highlighting cross-country differences and practices. This 30-chapter book consists of seven sections. These chapters are: (1) portfolio theory and asset pricing, (2) the investment policy statement and fiduciary duties, (3) asset allocation and portfolio construction, (4) risk management, (V) portfolio execution, monitoring, and rebalancing, (6) evaluating and reporting portfolio performance, and (7) special topics.
The Sharpe Ratio
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Author : Steven E. Pav
language : en
Publisher: CRC Press
Release Date : 2021-09-22
The Sharpe Ratio written by Steven E. Pav and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-09-22 with Business & Economics categories.
The Sharpe Ratio: Statistics and Applications is the most widely used metric for comparing the performance of financial assets. The Markowitz portfolio is the portfolio with the highest Sharpe ratio. The Sharpe Ratio: Statistics and Applications examines the statistical properties of the Sharpe ratio and Markowitz portfolio, both under the simplifying assumption of Gaussian returns, and asymptotically. Connections are drawn between the financial measures and classical statistics including Student's t, Hotelling's T^2 and the Hotelling-Lawley trace. The robustness of these statistics to heteroskedasticity, autocorrelation, fat tails and skew of returns are considered. The construction of portfolios to maximize the Sharpe is expanded from the usual static unconditional model to include subspace constraints, hedging out assets, and the use of conditioning information on both expected returns and risk. The Sharpe Ratio: Statistics and Applications is the most comprehensive treatment of the statistical properties of the Sharpe ratio and Markowitz portfolio ever published. Features: 1. Material on single asset problems, market timing, unconditional and conditional portfolio problems, hedged portfolios. 2. Inference via both Frequentist and Bayesian paradigms. 3. A comprehensive treatment of overoptimism and overfitting of trading strategies. 4. Advice on backtesting strategies. 5. Dozens of examples and hundreds of exercises for self study. The Sharpe Ratio: Statistics and Applications is an essential reference for the practicing quant strategist and the researcher alike, and an invaluable textbook for the student.
Inverse Stochastic Modelling Of Groundwater Flow And Mass Transport
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Author : Harrie-Jan Hendricks-Franssen
language : en
Publisher:
Release Date : 2000
Inverse Stochastic Modelling Of Groundwater Flow And Mass Transport written by Harrie-Jan Hendricks-Franssen and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000 with Groundwater flow categories.
Mathematical Economics
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Author : Fouad Sabry
language : en
Publisher: One Billion Knowledgeable
Release Date : 2023-12-18
Mathematical Economics written by Fouad Sabry and has been published by One Billion Knowledgeable this book supported file pdf, txt, epub, kindle and other format this book has been release on 2023-12-18 with Business & Economics categories.
What is Mathematical Economics Within the field of economics, mathematical economics refers to the utilization of mathematical techniques for the purpose of representing ideas and analyzing situations. It is common for these applied methods to go beyond simple geometry. Some examples of these approaches include differential and integral calculus, difference and differential equations, matrix algebra, mathematical programming, and other computer methods. The individuals who advocate for this method assert that it makes it possible to formulate theoretical linkages in a manner that is rigorous, general, and straightforward. How you will benefit (I) Insights, and validations about the following topics: Chapter 1: Mathematical economics Chapter 2: Navier-Stokes equations Chapter 3: Riemann curvature tensor Chapter 4: Fractional calculus Chapter 5: Step response Chapter 6: Drawdown (economics) Chapter 7: KMS state Chapter 8: Ramsey-Cass-Koopmans model Chapter 9: Lattice Boltzmann methods Chapter 10: Green's function (many-body theory) Chapter 11: Stokes's law of sound attenuation Chapter 12: Hasse-Davenport relation Chapter 13: Discrete Morse theory Chapter 14: Zonal spherical function Chapter 15: Commutation theorem for traces Chapter 16: Critical taper Chapter 17: Moving load Chapter 18: M/D/1 queue Chapter 19: Katugampola fractional operators Chapter 20: Functional differential equation Chapter 21: Recharge oscillator (II) Answering the public top questions about mathematical economics. (III) Real world examples for the usage of mathematical economics in many fields. (IV) Rich glossary featuring over 1200 terms to unlock a comprehensive understanding of mathematical economics. (eBook only). Who will benefit Professionals, undergraduate and graduate students, enthusiasts, hobbyists, and those who want to go beyond basic knowledge or information for any kind of mathematical economics.