CVaR and VaR for a Portfolio of Derivatives PDF Download

Author: Siddharth Rajan Alexander
Publisher:
ISBN:
Category :
Languages : en
Pages : 314

View

Book Description

Author: Patrick Boyle
Publisher: Walter de Gruyter GmbH & Co KG
ISBN: 1547401214
Category : Business & Economics
Languages : en
Pages : 273

View

Book Description
Trading and Pricing Financial Derivatives is an introduction to the world of futures, options, and swaps. Investors who are interested in deepening their knowledge of derivatives of all kinds will find this book to be an invaluable resource. The book is also useful in a very applied course on derivative trading. The authors delve into the history of options pricing; simple strategies of options trading; binomial tree valuation; Black-Scholes option valuation; option sensitivities; risk management and interest rate swaps in this immensely informative yet easy to comprehend work. Using their vast working experience in the financial markets at international investment banks and hedge funds since the late 1990s and teaching derivatives and investment courses at the Master's level, Patrick Boyle and Jesse McDougall put forth their knowledge and expertise in clearly explained concepts. This book does not presuppose advanced mathematical knowledge, though it is presented for completeness for those that may benefit from it, and is designed for a general audience, suitable for beginners through to those with intermediate knowledge of the subject.

Author: Stanislav Uryasev
Publisher: Springer Science & Business Media
ISBN: 1475765940
Category : Technology & Engineering
Languages : en
Pages : 438

View

Book Description
Stochastic programming is the study of procedures for decision making under the presence of uncertainties and risks. Stochastic programming approaches have been successfully used in a number of areas such as energy and production planning, telecommunications, and transportation. Recently, the practical experience gained in stochastic programming has been expanded to a much larger spectrum of applications including financial modeling, risk management, and probabilistic risk analysis. Major topics in this volume include: (1) advances in theory and implementation of stochastic programming algorithms; (2) sensitivity analysis of stochastic systems; (3) stochastic programming applications and other related topics. Audience: Researchers and academies working in optimization, computer modeling, operations research and financial engineering. The book is appropriate as supplementary reading in courses on optimization and financial engineering.

Author: Mondher Bellalah
Publisher: World Scientific
ISBN: 9812797475
Category : Business & Economics
Languages : en
Pages : 617

View

Book Description
This book discusses in detail the workings of financial markets and over-the-counter (OTC) markets, focusing specifically on standard and complex derivatives. The subjects covered range from the fundamental products in OTC markets, standard and exotic options, the concepts of value at risk, credit derivatives and risk management, to the applications of option pricing theory to real assets.To further elucidate these complex concepts and formulas, this book also explains in each chapter how theory and practice go hand-in-hand. This volume, a culmination of the author's 12 years of professional experience in the field of finance, derivative analysis and risk management, is a valuable guide for postgraduate students, academics and practitioners in the field of finance.

Author: Bo Chen
Publisher: Springer Science & Business Media
ISBN: 3540744495
Category : Computers
Languages : en
Pages : 540

View

Book Description
The First International Symposium on Combinatorics, Algorithms, Probabilistic and Experimental Methodologies was held in Hangzhou, China, in April 2007. The symposium provided an interdisciplinary forum for researchers to share their discoveries and approaches; search for ideas, methodologies, and tool boxes; find better, faster, and more accurate solutions; and develop a research agenda of common interest. This volume constitutes the refereed post-proceedings of the symposium. Inside you'll find 46 full papers. They represent some of the most important thinking and advancements in the field. The papers address large data processing problems using different methodologies from major disciplines such as computer science, combinatorics, and statistics.

Author: Jon Danielsson
Publisher: John Wiley & Sons
ISBN: 1119977118
Category : Business & Economics
Languages : en
Pages : 307

View

Book Description
Financial Risk Forecasting is a complete introduction to practical quantitative risk management, with a focus on market risk. Derived from the authors teaching notes and years spent training practitioners in risk management techniques, it brings together the three key disciplines of finance, statistics and modeling (programming), to provide a thorough grounding in risk management techniques. Written by renowned risk expert Jon Danielsson, the book begins with an introduction to financial markets and market prices, volatility clusters, fat tails and nonlinear dependence. It then goes on to present volatility forecasting with both univatiate and multivatiate methods, discussing the various methods used by industry, with a special focus on the GARCH family of models. The evaluation of the quality of forecasts is discussed in detail. Next, the main concepts in risk and models to forecast risk are discussed, especially volatility, value-at-risk and expected shortfall. The focus is both on risk in basic assets such as stocks and foreign exchange, but also calculations of risk in bonds and options, with analytical methods such as delta-normal VaR and duration-normal VaR and Monte Carlo simulation. The book then moves on to the evaluation of risk models with methods like backtesting, followed by a discussion on stress testing. The book concludes by focussing on the forecasting of risk in very large and uncommon events with extreme value theory and considering the underlying assumptions behind almost every risk model in practical use – that risk is exogenous – and what happens when those assumptions are violated. Every method presented brings together theoretical discussion and derivation of key equations and a discussion of issues in practical implementation. Each method is implemented in both MATLAB and R, two of the most commonly used mathematical programming languages for risk forecasting with which the reader can implement the models illustrated in the book. The book includes four appendices. The first introduces basic concepts in statistics and financial time series referred to throughout the book. The second and third introduce R and MATLAB, providing a discussion of the basic implementation of the software packages. And the final looks at the concept of maximum likelihood, especially issues in implementation and testing. The book is accompanied by a website - www.financialriskforecasting.com – which features downloadable code as used in the book.

Author: Stanislav Uryasev
Publisher: Springer Science & Business Media
ISBN: 1475731507
Category : Mathematics
Languages : en
Pages : 319

View

Book Description
Probabilistic and percentile/quantile functions play an important role in several applications, such as finance (Value-at-Risk), nuclear safety, and the environment. Recently, significant advances have been made in sensitivity analysis and optimization of probabilistic functions, which is the basis for construction of new efficient approaches. This book presents the state of the art in the theory of optimization of probabilistic functions and several engineering and finance applications, including material flow systems, production planning, Value-at-Risk, asset and liability management, and optimal trading strategies for financial derivatives (options). Audience: The book is a valuable source of information for faculty, students, researchers, and practitioners in financial engineering, operation research, optimization, computer science, and related areas.

Author: Gunter Meissner
Publisher: John Wiley & Sons
ISBN: 1118796896
Category : Business & Economics
Languages : en
Pages : 268

View

Book Description
A thorough guide to correlation risk and its growing importance in global financial markets Ideal for anyone studying for CFA, PRMIA, CAIA, or other certifications, Correlation Risk Modeling and Management is the first rigorous guide to the topic of correlation risk. A relatively overlooked type of risk until it caused major unexpected losses during the financial crisis of 2007 through 2009, correlation risk has become a major focus of the risk management departments in major financial institutions, particularly since Basel III specifically addressed correlation risk with new regulations. This offers a rigorous explanation of the topic, revealing new and updated approaches to modelling and risk managing correlation risk. Offers comprehensive coverage of a topic of increasing importance in the financial world Includes the Basel III correlation framework Features interactive models in Excel/VBA, an accompanying website with further materials, and problems and questions at the end of each chapter

Author: De-Shuang Huang
Publisher: Springer
ISBN: 3030269698
Category : Computers
Languages : en
Pages : 810

View

Book Description
This two-volume set of LNCS 11643 and LNCS 11644 constitutes - in conjunction with the volume LNAI 11645 - the refereed proceedings of the 15th International Conference on Intelligent Computing, ICIC 2019, held in Nanchang, China, in August 2019. The 217 full papers of the three proceedings volumes were carefully reviewed and selected from 609 submissions. The ICIC theme unifies the picture of contemporary intelligent computing techniques as an integral concept that highlights the trends in advanced computational intelligence and bridges theoretical research with applications. The theme for this conference is “Advanced Intelligent Computing Methodologies and Applications.” Papers related to this theme are especially solicited, including theories, methodologies, and applications in science and technology.

Author: M. A. H. Dempster
Publisher: Cambridge University Press
ISBN: 1139437496
Category : Mathematics
Languages : en
Pages : 290

View

Book Description
The use of derivative products in risk management has spread from commodities, stocks and fixed income items, to such virtual commodities as energy, weather and bandwidth. All this can give rise to so-called volatility and there has been a consequent development in formal risk management techniques to cover all types of risk: market, credit, liquidity, etc. One of these techniques, Value at Risk, was developed specifically to help manage market risk over short periods. Its success led, somewhat controversially, to its take up and extension to credit risk over longer time-scales. This extension, ultimately not successful, led to the collapse of a number of institutions. The present book, which was originally published in 2002, by some of the leading figures in risk management, examines the complex issues that concern the stability of the global financial system by presenting a mix of theory and practice.