libristo credit risk modeling valuation and hedging 1653672

- znaleziono 6 produktów w 1 sklepie

Credit Risk Management - 2862000420

440,43 zł

Credit Risk Management Springer International Publishing

Książki / Literatura obcojęzyczna

This book introduces to basic and advanced methods for credit risk management. It covers classical debt instruments and modern financial markets products. The author describes not only standard rating and scoring methods like Classification Trees or Logistic Regression, but also less known models that are subject of ongoing research, like e.g. Support Vector Machines, Neural Networks, or Fuzzy Inference Systems. The book also illustrates financial and commodity markets and analyzes the principles of advanced credit risk modeling techniques and credit derivatives pricing methods. Particular attention is given to the challenges of counterparty risk management, Credit Valuation Adjustment (CVA) and the related regulatory Basel III requirements. As a conclusion, the book provides the reader with all the essential aspects of classical and modern credit risk management and modeling.

Sklep: Libristo.pl

Handbook of Recent Advances in Commodity and Financial Modeling - 2865237983

788,53 zł

Handbook of Recent Advances in Commodity and Financial Modeling Springer International Publishing AG

Książki / Literatura obcojęzyczna

Recent liberalization processes in commodity and energy markets resulted in a fruitful and rich methodological spreading into a wider global market area of techniques and quantitative approaches previously proposed in financial markets. At the same time the increasing volatility of international prices in recent years and the introduction of regulatory frameworks on banking and insurance institutions have enhanced the research on risk theory and risk management inducing new, particularly relevant theoretical developments. This new book is planned to elaborate on such evidence and include 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. Energy markets will deserve an important role among commodity markets given their recent unprecedented growth. The proposed volume will be structured in three parts, emphasizing common methodological approaches arising in the areas of interest:- Part I: Risk Modeling - Part II: Pricing and Valuation - Part III: Optimization techniques. An extended introduction by the Editors will provide a comprehensive overview of the contributions and the rationale of the proposed Table of Contents. The book is conceived to present 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. It will present recent state-of-the-art and original works related to:- The adoption of multi-criteria and dynamic optimization approaches in financial and insurance markets;- 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 as well as agricultural and commodity derivatives. All the above represent key elements of recent developments in financial and commodity markets that have not been previously considered by the OR community in great detail, and we believe that the volume will provide a relevant collection of contributions, certainly needed by the scientific as well as industry communities.

Sklep: Libristo.pl

Interest Rate Modeling. Volume 3 - 2861923014

509,49 zł

Interest Rate Modeling. Volume 3 Atlantic Financial Press

Książki / Literatura obcojęzyczna

The three volumes of Interest Rate Modeling present a comprehensive and up-to-date treatment of techniques and models used in the pricing and risk management of fixed income securities. Written by two leading practitioners and seasoned industry veterans, this unique series combines finance theory, numerical methods, and approximation techniques to provide the reader with an integrated approach to the process of designing and implementing industrial-strength models for fixed income security valuation and hedging. Aiming to bridge the gap between advanced theoretical models and real-life trading applications, the pragmatic, yet rigorous, approach taken in this book will appeal to students, academics, and professionals working in quantitative finance. The first half of Volume III contains a detailed study of several classes of fixed income securities, ranging from simple vanilla options to highly exotic cancelable and path-dependent derivatives. The analysis is done in product-specific fashion covering, among other subjects, risk characterization, calibration strategies, and valuation methods. In its second half, Volume III studies the general topic of derivative portfolio risk management, with a particular emphasis on the challenging problem of computing smooth price sensitivities to market input perturbations.

Sklep: Libristo.pl

Interest Rate Modeling. Volume 1 - 2866868909

509,49 zł

Interest Rate Modeling. Volume 1 Atlantic Financial Press

Książki / Literatura obcojęzyczna

The three volumes of Interest Rate Modeling present a comprehensive and up-to-date treatment of techniques and models used in the pricing and risk management of fixed income securities. Written by two leading practitioners and seasoned industry veterans, this unique series combines finance theory, numerical methods, and approximation techniques to provide the reader with an integrated approach to the process of designing and implementing industrial-strength models for fixed income security valuation and hedging. Aiming to bridge the gap between advanced theoretical models and real-life trading applications, the pragmatic, yet rigorous, approach taken in this book will appeal to students, academics, and professionals working in quantitative finance. Volume I provides the theoretical and computational foundations for the series, emphasizing the construction of efficient grid- and simulation-based methods for contingent claims pricing. The second part of Volume I is dedicated to local-stochastic volatility modeling and to the construction of vanilla models for individual swap and Libor rates. Although the focus is eventually turned toward fixed income securities, much of the material in this volume applies to generic financial markets and will be of interest to anybody working in the general area of asset pricing.

Sklep: Libristo.pl

Andrew Green - Xva - 2854350011

399,85 zł

Andrew Green - Xva John Wiley & Sons

Książki / Literatura obcojęzyczna

Provides technical coverage of key issues in CVA, DVA, and FVA in an accessible manner for specialists and non-specialist alike

Sklep: Libristo.pl

Interest Rate Models - Theory and Practice - 2866660867

723,38 zł

Interest Rate Models - Theory and Practice Springer-Verlag Berlin and Heidelberg GmbH & Co....

Książki / Literatura obcojęzyczna

The 2nd edition of this successful book has several new features. The calibration discussion of the basic LIBOR market model has been enriched considerably, with an analysis of the impact of the swaptions interpolation technique and of the exogenous instantaneous correlation on the calibration outputs. A discussion of historical estimation of the instantaneous correlation matrix and of rank reduction has been added, and a LIBOR-model consistent swaption-volatility interpolation technique has been introduced.

Sklep: Libristo.pl

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