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New Developments In Financial Modelling

New Developments in Financial Modelling PDF
Author: João O. Soares
Publisher: Cambridge Scholars Publishing
ISBN: 1443811556
Size: 18.28 MB
Format: PDF, Kindle
Category : Business & Economics
Languages : en
Pages : 380
View: 7592

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This volume brings together a variety of issues, methods and market instruments that should prove useful for topics courses, finance and asset management practice, and also foster future research. This collection of contributions is a selected subset of those presented at the XLI Meeting of the EURO Working Group on Financial Modelling, Lisbon, November 2007, and has a rich manifold of applied, theoretical and methodological work: • Banking, empirical assessment of efficiency and relationship banking; • Corporate Governance; • Market Microstructure: liquidity; price limits; volatility; • Risk: sovereign debt rating; volatility-volume around takeover announcements; • Multicriteria approach and portfolio selection; • Modified Tempered Stable Distribution and GARCH modelling. In sum, this contributed volume, joining many authors from academia and practice on finance, offers a multiplicity of issues and methodology that broadens the knowledge and skills in finance matters and raises research questions for further development.

New Operational Approaches For Financial Modelling

New Operational Approaches for Financial Modelling PDF
Author: Constantin Zopounidis
Publisher: Springer Science & Business Media
ISBN: 3642592708
Size: 43.30 MB
Format: PDF, ePub, Docs
Category : Business & Economics
Languages : en
Pages : 454
View: 517

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th This book is devoted to the 19 Meeting of the EURO Working Group on Financial Modelling, held in Chania, Crete, Greece,November28-30, 1996. The EURO Working Group on Financial Modelling was founded in September 1986 in Lisbon. The primary field of interest for the Working Group can be described as "the development of financial models that help to solve problems facedby financial managers in the firm". From this point of view, the following objectivesof the Working Group are distinguished: • providing an international forum for exchange of information and experience on financial modelling; • encouraging research in financial modelling (i. e. new techniques, methodologies, software,empirical studies,etc. ); • stimulating and strengthening the interaction between financial economic theory and the practice of financial decision making; • cooperating and exchanging information with universities and financial institutions throughout Europe. According to the aboveobjectives,the basic aim of this book is to present some new operational approaches (i. e. neural nets, multicriteria analysis, new optimization algorithms, decision software, etc. ) for financial modelling, both in a theoretical and practical levels. Thus, the present volume is divided in nine chapters. The first chapter refers to the new trends in financial modelling and includes two invited papers by Gil-Aluja and Pardalos. The second chapter involves papers on the topic of high performance computing and finance which is a European union project in which participate some members of the EURO Working Group on Financial Modelling (Spronk, Zenios, Dempster, etc. ).

Encyclopedia Of Financial Models

Encyclopedia of Financial Models PDF
Author: Frank J. Fabozzi
Publisher: John Wiley & Sons
ISBN: 1118539907
Size: 23.20 MB
Format: PDF, ePub, Mobi
Category : Business & Economics
Languages : en
Pages : 736
View: 5601

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Volume 3 of the Encyclopedia of Financial Models The need for serious coverage of financial modeling has never been greater, especially with the size, diversity, and efficiency of modern capital markets. With this in mind, the Encyclopedia of Financial Models has been created to help a broad spectrum of individuals—ranging from finance professionals to academics and students—understand financial modeling and make use of the various models currently available. Incorporating timely research and in-depth analysis, Volume 3 of the Encyclopedia of Financial Models covers both established and cutting-edge models and discusses their real-world applications. Edited by Frank Fabozzi, this volume includes contributions from global financial experts as well as academics with extensive consulting experience in this field. Organized alphabetically by category, this reliable resource consists of forty-four informative entries and provides readers with a balanced understanding of today’s dynamic world of financial modeling. Volume 3 covers Mortgage-Backed Securities Analysis and Valuation, Operational Risk, Optimization Tools, Probability Theory, Risk Measures, Software for Financial Modeling, Stochastic Processes and Tools, Term Structure Modeling, Trading Cost Models, and Volatility Emphasizes both technical and implementation issues, providing researchers, educators, students, and practitioners with the necessary background to deal with issues related to financial modeling The 3-Volume Set contains coverage of the fundamentals and advances in financial modeling and provides the mathematical and statistical techniques needed to develop and test financial models Financial models have become increasingly commonplace, as well as complex. They are essential in a wide range of financial endeavors, and the Encyclopedia of Financial Models will help put them in perspective.

Recent Developments In Computational Finance

Recent Developments in Computational Finance PDF
Author: Thomas Gerstner
Publisher: World Scientific
ISBN: 9814436429
Size: 40.54 MB
Format: PDF, ePub, Docs
Category : Business & Economics
Languages : en
Pages : 472
View: 3807

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Computational finance is an interdisciplinary field which joins financial mathematics, stochastics, numerics and scientific computing. Its task is to estimate as accurately and efficiently as possible the risks that financial instruments generate. This volume consists of a series of cutting-edge surveys of recent developments in the field written by leading international experts. These make the subject accessible to a wide readership in academia and financial businesses. The book consists of 13 chapters divided into 3 parts: foundations, algorithms and applications. Besides surveys of existing results, the book contains many new previously unpublished results.

Handbook Of Recent Advances In Commodity And Financial Modeling

Handbook of Recent Advances in Commodity and Financial Modeling PDF
Author: Giorgio Consigli
Publisher: Springer
ISBN: 3319613200
Size: 18.88 MB
Format: PDF, Mobi
Category : Business & Economics
Languages : en
Pages : 320
View: 2795

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This handbook includes contributions related to optimization, pricing and valuation problems, risk modeling and decision making problems arising in global financial and commodity markets from the perspective of Operations Research and Management Science. The book is structured in three parts, emphasizing common methodological approaches arising in the areas of interest: - Part I: Optimization techniques - Part II: Pricing and Valuation - Part III: Risk Modeling The book presents to a wide community of Academics and Practitioners a selection of theoretical and applied contributions on topics that have recently attracted increasing interest in commodity and financial markets. Within a structure based on the three parts, it presents recent state-of-the-art and original works related to: - The adoption of multi-criteria and dynamic optimization approaches in financial and insurance markets in presence of market stress and growing systemic risk; - Decision paradigms, based on behavioral finance or factor-based, or more classical stochastic optimization techniques, applied to portfolio selection problems including new asset classes such as alternative investments; - Risk measurement methodologies, including model risk assessment, recently applied to energy spot and future markets and new risk measures recently proposed to evaluate risk-reward trade-offs in global financial and commodity markets; and derivatives portfolio hedging and pricing methods recently put forward in the financial community in the aftermath of the global financial crisis.

Recent Developments In Computational Finance Foundations Algorithms And Applications

Recent Developments In Computational Finance  Foundations  Algorithms And Applications PDF
Author: Peter Kloeden
Publisher: World Scientific
ISBN: 9814436445
Size: 60.83 MB
Format: PDF, ePub, Docs
Category : Business & Economics
Languages : en
Pages : 480
View: 3468

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Computational finance is an interdisciplinary field which joins financial mathematics, stochastics, numerics and scientific computing. Its task is to estimate as accurately and efficiently as possible the risks that financial instruments generate. This volume consists of a series of cutting-edge surveys of recent developments in the field written by leading international experts. These make the subject accessible to a wide readership in academia and financial businesses.The book consists of 13 chapters divided into 3 parts: foundations, algorithms and applications. Besides surveys of existing results, the book contains many new previously unpublished results.

Financial Models With Levy Processes And Volatility Clustering

Financial Models with Levy Processes and Volatility Clustering PDF
Author: Svetlozar T. Rachev
Publisher: John Wiley & Sons
ISBN: 9780470937266
Size: 42.77 MB
Format: PDF, ePub, Docs
Category : Business & Economics
Languages : en
Pages : 394
View: 2605

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An in-depth guide to understanding probability distributions and financial modeling for the purposes of investment management In Financial Models with Lévy Processes and Volatility Clustering, the expert author team provides a framework to model the behavior of stock returns in both a univariate and a multivariate setting, providing you with practical applications to option pricing and portfolio management. They also explain the reasons for working with non-normal distribution in financial modeling and the best methodologies for employing it. The book's framework includes the basics of probability distributions and explains the alpha-stable distribution and the tempered stable distribution. The authors also explore discrete time option pricing models, beginning with the classical normal model with volatility clustering to more recent models that consider both volatility clustering and heavy tails. Reviews the basics of probability distributions Analyzes a continuous time option pricing model (the so-called exponential Lévy model) Defines a discrete time model with volatility clustering and how to price options using Monte Carlo methods Studies two multivariate settings that are suitable to explain joint extreme events Financial Models with Lévy Processes and Volatility Clustering is a thorough guide to classical probability distribution methods and brand new methodologies for financial modeling.

Recent Developments In Mathematical Finance

Recent Developments in Mathematical Finance PDF
Author: Jiongmin Yong
Publisher: World Scientific
ISBN: 9810247974
Size: 49.61 MB
Format: PDF, ePub, Mobi
Category : Mathematics
Languages : en
Pages : 276
View: 2543

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The book deals with topics such as the pricing of various contingent claims within different frameworks, risk-sensitive problems, optimal investment, defaultable term structure, etc. It also reflects on some recent developments in certain important aspects of mathematical finance.

Multiple Criteria Decision Making In Finance Insurance And Investment

Multiple Criteria Decision Making in Finance  Insurance and Investment PDF
Author: Minwir Al-Shammari
Publisher: Springer
ISBN: 3319211587
Size: 40.25 MB
Format: PDF, ePub, Docs
Category : Business & Economics
Languages : en
Pages : 272
View: 6742

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This book is devoted to recent developments and applications of multiple criteria decision aid tools in the field of finance, insurance and investment. It illustrates recent methods and procedures designed to solve problems related to finance, insurance and portfolio selection formulated through a mathematical programming framework and for which a large number of conflicting and incommensurable objectives (criteria, attributes) is simultaneously optimized. The book introduces researchers and practitioners to recent theoretical and methodological developments in multi-attributes portfolio selection, multiple criteria analysis in finance, insurance and investment. It is based on selected and invited papers presented and discussed at the 2013 International Conference on Multidimensional Finance, Insurance and Investment (ICMFII’13), held at the College of Business Administration at the University of Bahrain from 25th to 27th November 2013 with the co-sponsorship of the International Society on Multiple Criteria Decision Making and the Institute for Operations Research and the Management Sciences - MCDM section.