Credit Default Swap Spreads and Variance Risk Premia (VRP) PDF Download

Author: Hao Wang
Publisher: DIANE Publishing
ISBN: 1437980163
Category : Reference
Languages : en
Pages : 43

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Book Description

Author: David Lando
Publisher: Princeton University Press
ISBN: 1400829194
Category : Business & Economics
Languages : en
Pages : 328

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Book Description
Credit risk is today one of the most intensely studied topics in quantitative finance. This book provides an introduction and overview for readers who seek an up-to-date reference to the central problems of the field and to the tools currently used to analyze them. The book is aimed at researchers and students in finance, at quantitative analysts in banks and other financial institutions, and at regulators interested in the modeling aspects of credit risk. David Lando considers the two broad approaches to credit risk analysis: that based on classical option pricing models on the one hand, and on a direct modeling of the default probability of issuers on the other. He offers insights that can be drawn from each approach and demonstrates that the distinction between the two approaches is not at all clear-cut. The book strikes a fruitful balance between quickly presenting the basic ideas of the models and offering enough detail so readers can derive and implement the models themselves. The discussion of the models and their limitations and five technical appendixes help readers expand and generalize the models themselves or to understand existing generalizations. The book emphasizes models for pricing as well as statistical techniques for estimating their parameters. Applications include rating-based modeling, modeling of dependent defaults, swap- and corporate-yield curve dynamics, credit default swaps, and collateralized debt obligations.

Author: Robert A. Jarrow
Publisher:
ISBN:
Category : Derivative securities
Languages : en
Pages : 472

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Book Description
Written by a number of authors, this text is aimed at market practitioners and applies the latest stochastic volatility research findings to the analysis of stock prices. It includes commentary and analysis based on real-life situations.

Author: Paul Moon Sub Choi
Publisher: Springer Nature
ISBN: 9813361379
Category : Technology & Engineering
Languages : en
Pages : 306

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Book Description
This book introduces readers to recent advancements in financial technologies. The contents cover some of the state-of-the-art fields in financial technology, practice, and research associated with artificial intelligence, big data, and blockchain—all of which are transforming the nature of how products and services are designed and delivered, making less adaptable institutions fast become obsolete. The book provides the fundamental framework, research insights, and empirical evidence in the efficacy of these new technologies, employing practical and academic approaches to help professionals and academics reach innovative solutions and grow competitive strengths.

Author: Mark Watson
Publisher: Oxford University Press
ISBN: 0199549494
Category : Business & Economics
Languages : en
Pages : 432

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Book Description
A volume that celebrates and develops the work of Nobel Laureate Robert Engle, it includes original contributions from some of the world's leading econometricians that further Engle's work in time series economics

Author: Alan McKinnon
Publisher: Kogan Page Publishers
ISBN: 0749471867
Category : Business & Economics
Languages : en
Pages : 448

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Book Description
Leading the way in current thinking on environmental logistics, Green Logistics provides a unique insight on the environmental impacts of logistics and the actions that companies and governments can take to deal with them. It is written by leading researchers in the field and provides a comprehensive view of the subject for students, managers and policy-makers. Fully updated, the 3rd edition of Green Logistics has a more global perspective than previous editions. It introduces new contributors and international case studies that illustrate the impact of green logistics in practice. There is a new chapter on the links between green logistics and corporate social responsibility and a series of postscripts examining the effects of new developments, such as 3D printing, distribution by drone, the physical internet and the concept of peak freight. Other key topics examined include: carbon auditing of supply chains; transferring freight to greener transport modes; reducing the environmental impact of warehousing; improving the energy efficiency of freight transport; making city logistics more environmentally sustainable; reverse logistics for the management of waste; role of government in promoting sustainable logistics. The 3rd edition of Green Logistics includes indispensable online supporting materials, including graphics, tables, chapter summaries, and guidelines for lecturers.

Author: Rinaldo Rinaldi
Publisher: Springer
ISBN: 3319485113
Category : Technology & Engineering
Languages : en
Pages : 300

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Book Description
This book presents high-quality original contributions on the fashion supply chain. A wide spectrum of application domains are covered, processing of big data coming from digital and social media channels, fashion new product development, fashion design, fashion marketing and communication strategy, business models and entrepreneurship, e-commerce and omni-channel management, corporate social responsibility, new materials for fashion product, wearable technologies. The contents are based on presentations delivered at IT4Fashion 2016, the 6th International Conference in Business Models and ICT Technologies for the Fashion Supply Chain, which was held in Florence, Italy, in April 2016. This conference series represents a targeted response to the growing need for research that reports and debates supply chain business models and technologies applied to the fashion industry, with the aim of increasing knowledge in the area of product lifecycle management and supply chain management in that industry.

Author: Vijendra Singh
Publisher: Springer Nature
ISBN: 9811568766
Category : Technology & Engineering
Languages : en
Pages : 625

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Book Description
This book gathers selected high-quality research papers from the International Conference on Computational Methods and Data Engineering (ICMDE 2020), held at SRM University, Sonipat, Delhi-NCR, India. Focusing on cutting-edge technologies and the most dynamic areas of computational intelligence and data engineering, the respective contributions address topics including collective intelligence, intelligent transportation systems, fuzzy systems, data privacy and security, data mining, data warehousing, big data analytics, cloud computing, natural language processing, swarm intelligence, and speech processing.

Author: Jim Gatheral
Publisher:
ISBN: 9781119202073
Category : Options (Finance)
Languages : en
Pages : 179

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Book Description

Author: Robertas Damaševičius
Publisher: Springer
ISBN: 3319999729
Category : Computers
Languages : en
Pages : 607

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Book Description
This book constitutes the refereed proceedings of the 24th International Conference on Information and Software Technologies, ICIST 2018, held in Vilnius, Lithuania, in October 2018. The 48 papers presented were carefully reviewed and selected from 124 submissions. The papers are organized in topical sections on information systems; business intelligence for information and software systems; software engineering; and information technology applications.