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: 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: 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: 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: Philippe Jorion
Publisher: McGraw Hill Professional
ISBN: 0071736921
Category : Business & Economics
Languages : en
Pages : 624

View

Book Description
Since its original publication, Value at Risk has become the industry standard in risk management. Now in its Third Edition, this international bestseller addresses the fundamental changes in the field that have occurred across the globe in recent years. Philippe Jorion provides the most current information needed to understand and implement VAR-as well as manage newer dimensions of financial risk. Featured updates include: An increased emphasis on operational risk Using VAR for integrated risk management and to measure economic capital Applications of VAR to risk budgeting in investment management Discussion of new risk-management techniques, including extreme value theory, principal components, and copulas Extensive coverage of the recently finalized Basel II capital adequacy rules for commercial banks, integrated throughout the book A major new feature of the Third Edition is the addition of short questions and exercises at the end of each chapter, making it even easier to check progress. Detailed answers are posted on the companion web site www.pjorion.com/var/. The web site contains other materials, including additional questions that course instructors can assign to their students. Jorion leaves no stone unturned, addressing the building blocks of VAR from computing and backtesting models to forecasting risk and correlations. He outlines the use of VAR to measure and control risk for trading, for investment management, and for enterprise-wide risk management. He also points out key pitfalls to watch out for in risk-management systems. The value-at-risk approach continues to improve worldwide standards for managing numerous types of risk. Now more than ever, professionals can depend on Value at Risk for comprehensive, authoritative counsel on VAR, its application, and its results-and to keep ahead of the curve.

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: 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: A. Alizadeh
Publisher: Springer
ISBN: 0230235808
Category : Business & Economics
Languages : en
Pages : 528

View

Book Description
A comprehensive book on shipping derivatives and risk management which covers the theoretical and practical aspects of financial risk in shipping. The book provides a thorough overview of the practice of risk management in shipping with the use of theoretical examples and real-life applications.