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Mathematical Models of Financial Derivatives
Mathematical Models of Financial Derivatives is a textbook on the theory behind modeling derivatives using the financial engineering approach, focussing on the martingale pricing principles that are common to most derivative securities. A wide range of financial derivatives commonly traded in the equity and fixed income markets are analyzed, emphasizing on the aspects of pricing, hedging and their risk management. Starting from the renowned Black-Scholes-Merton formulation of option pricing model, readers are guided through the text on the new advances on the state-of-the-art derivative pricing models and interest rate models. Both analytic techniques and numerical methods for solving various types of derivative pricing models are emphasized.
Islamic banking and finance
Explores the nature and role of money in modern economies and elaborates on the process of credit deposit creation, trade cycles and instruments for the creation of value in financial markets through the perspectives of Islamic finance. The author explains its characteristics, especially the rationale for the lack of interest-based financial activities. He examines the intrinsic ethical and humanistic frameworks that govern financial theories and practices and the models for the creation of value, risk-sharing and socially responsible investing, as well as the governance and regulation that these systems follow. The author also does a comparative assessment of conventional financial systems with Islamic finance with relevant examples, assesses the performance of Islamic systems and examines existing and expanding markets for Islamic finance.
Interior design for small dwellings
Addresses the onrush of interest in smaller homes and the possibility that small dwellings might be the answer to housing needs and sustainability. The book explores key principles essential to residing and designing small interiors with emphasis on client involvement and implementation of participatory, inclusive design as advocated by the Council for Interior Design Accreditation.
Interest Rate Models - Theory and Practice : With Smile, Inflation and Credit
The fast-growing interest for hybrid products has led to new chapters. A special focus here is devoted to the pricing of inflation-linked derivatives. The three final new chapters are devoted to credit. Since Credit Derivatives are increasingly fundamental, and since in the reduced-form modeling framework much of the technique involved is analogous to interest-rate modeling, Credit Derivatives -- mostly Credit Default Swaps (CDS), CDS Options and Constant Maturity CDS - are discussed, building on the basic short rate-models and market models introduced earlier for the default-free market. Counterparty risk in interest rate payoff valuation is also considered, motivated by the recent Basel II framework developments.
Integrated Market and Credit Portfolio Models : Risk Measurement and Computational Aspects
Due to their business activities, banks are exposed to many different risk types. Aggregating various risk exposures to a comprehensive risk position is an important but up-to-date not satisfactorily solved task. This shortfall goes back to conceptual problems of constructing an appropriate risk model and to the computational burden of determining a loss distribution that comprises all relevant risk types. Peter Grundke deals with both problems. On the one hand, he extends a standard credit portfolio model by correlated interest rate and credit spread risk. The analysis shows that the economic capital needed as a buffer to absorb unexpected losses in a portfolio can be severely underestimated when relevant market risk factors are neglected. On the other hand, computational aspects are addressed.
Innovations in Quantitative Risk Management ; TU München, September 2013
The KPMG Center of Excellence in Risk Management conference Risk Management Reloaded and this proceedings volume contribute to bridging the gap between academia –providing methodological advances– and practice –having a firm understanding of the economic conditions in which a given model is used. Discussed fields of application range from asset management, credit risk, and energy to risk management issues in insurance. Methodologically, dependence modeling, multiple-curve interest rate-models, and model risk are addressed. Finally, regulatory developments and possible limits of mathematical modeling are discussed.
Innovations in Derivatives Markets : Fixed Income Modeling, Valuation Adjustments, Risk Management, and Regulation
This book presents 20 peer-reviewed chapters on current aspects of derivatives markets and derivative pricing. The contributions, written by leading researchers in the field as well as experienced authors from the financial industry, present the state of the art in: • Modeling counterparty credit risk: credit valuation adjustment, debit valuation adjustment, funding valuation adjustment, and wrong way risk. • Pricing and hedging in fixed-income markets and multi-curve interest-rate modeling. • Recent developments concerning contingent convertible bonds, the measuring of basis spreads, and the modeling of implied correlations.
Improving Psychiatric Care for Older People : Barbara Robb’s Campaign 1965-1975
This book tells the story of Barbara Robb and her pressure group, Aid for the Elderly in Government Institutions (AEGIS). In 1965, Barbara visited 73-year-old Amy Gibbs in a dilapidated and overcrowded National Health Service psychiatric hospital back-ward. She was so appalled by the low standards that she set out to make improvements. Barbara’s book Sans Everything: A case to answer was publicly discredited by a complacent and self-righteous Ministry of Health. However, inspired by her work, staff in other hospitals ‘whistle-blew’ about events they witnessed, which corroborated her allegations. Barbara influenced government policy, to improve psychiatric care and health service complaints procedures, and to establish a hospitals' inspectorate and ombudsman.
Implementing Models in Quantitative Finance : Methods and Cases
This book puts numerical methods into action for the purpose of solving concrete problems arising in quantitative finance. Part one develops a comprehensive toolkit including Monte Carlo simulation, numerical schemes for partial differential equations, stochastic optimization in discrete time, copula functions, transform-based methods and quadrature techniques. The content originates from class notes written for courses on numerical methods for finance and exotic derivative pricing held by the authors at Bocconi University since the year 2000. Part two proposes eighteen self-contained cases covering model simulation, derivative valuation, dynamic hedging, portfolio selection, risk management, statistical estimation and model calibration. It encompasses a wide variety of problems arising in markets for equity, interest rates, credit risk, energy and exotic derivatives.
Hot Property : The Housing Market in Major Cities
This book discusses booming housing markets in cities around the globe, and the resulting challenges for policymakers and central banks. Cities are booming everywhere, leading to a growing demand for urban housing. In many cities this demand is out-pacing supply, which causes house prices to soar and increases the pressure on rental markets. These developments are posing major challenges for policymakers, central banks and other authorities responsible for ensuring financial stability, and economic well-being in general. This volume collects views from high-level policymakers and researchers, providing essential insights into these challenges, their impact on society, the economy and financial stability, and possible policy responses. The respective chapters address issues such as the popularity of cities, the question of a credit-fueled housing bubble, the role of housing supply frictions and potential policy solutions. Given its scope, the book offers a revealing read and valuable guide for everyone involved in practical policymaking for housing markets, mortgage credit and financial stability.
Higher Education and Graduate Employment in Europe : Results from Graduates Surveys from Twelve Countries
The book indicates a noteworthy variety among economically advanced countries in the competences fostered by Higher Education and the emphasis placed either on laying a broad basis of knowledge or direct preparation for professional tasks. While universities in some countries are strongly involved in ensuring a rapid transition from study to employment, in other countries a long period after graduation is widespread for the search of a suitable career. Graduates from some countries appreciate their study experiences though they criticize a weak preparation for their subsequent assignments, while others less satisfied with higher education in their retrospective view note a satisfying preparation for the world of work. Study often turns out useful to lead to challenging tasks even though remuneration and status remain below expectations.
High Availability and Disaster Recovery : Concepts, Design, Implementation
Companies and other organizations depend more than ever on the availability of their Information Technology, and most mission critical business processes are IT-based processes. Business continuity is the ability to do business under any circumstances and is an essential requirement modern companies are facing. High availability and disaster recovery are contributions of the IT to fulfill this requirement. And companies will be confronted with such demands to an even greater extent in the future, since their credit ratings will be lower without such precautions. Both, high availability and disaster recovery, are realized by redundant systems. Redundancy can and should be implemented on different abstraction levels: from the hardware, the operating system and middleware components up to the backup computing center in case of a disaster. This book presents requirements, concepts, and realizations of redundant systems on all abstraction levels, and all given examples refer to UNIX and Linux systems.
Hidden Markov Models in Finance
A number of methodologies have been employed to provide decision making solutions to a whole assortment of financial problems in today's globalized markets. Hidden Markov Models in Finance by Mamon and Elliott will be the first systematic application of these methods to some special kinds of financial problems; namely, pricing options and variance swaps, valuation of life insurance policies, interest rate theory, credit risk modeling, risk management, analysis of future demand and inventory level, testing foreign exchange rate hypothesis, and early warning systems for currency crises.
Global perspectives on recognising non-formal and Informal Learning : Why recognition matters
This book deals with the relevance of recognition and validation of non-formal and informal learning in education and training, the workplace and society. In an increasing number of countries, it is at the top of the policy and research agenda ranking among the possible ways to redress the glaring lack of relevant academic and vocational qualifications and to promote the development of competences and certification procedures which recognise different types of learning, including formal, non-formal and informal learning. The aim of the book is therefore to present and share experience, expertise and lessons in such a way that enables its effective and immediate use across the full spectrum of country contexts, whether in the developing or developed world. It examines the importance of meeting institutional and political requirements that give genuine value to the recognition of non-formal and informal learning; it shows why recognition is important and clarifies its usefulness and the role it serves in education, working life and voluntary work; it emphasises the importance of the coordination, interests, motivations, trust and acceptance by all stakeholders.
Global E-Security ; 4th International Conference, ICGeS 2008, London, UK, June 23-25, 2008. Proceedings
This book constitutes the refereed proceedings of the 4th International Conference on Global E-Security, ICGeS 2008, held in London, UK, in June 2008.The 36 revised full papers presented were carefully reviewed and selected from numerous submissions. The papers are organized in topical sections on cybercrime and digital forensics investigation, voice and video over internet protocols security, computer security, security architecture and authorisations, and IT governance.
Fundamentals of analytical toxicology : Clinical and forensic ; 2nd ed.
An integrated introduction to the analysis of drugs, poisons, and other foreign compounds in biological and related specimens. Assuming only basic knowledge of analytical chemistry, this invaluable guide helps trainee analytical toxicologists understand the principles and practical skills involved in detecting, identifying, and measuring a broad range of compounds in various biological samples. Clear, easy-to-read chapters provide detailed information on topics including sample collection and preparation, spectrophotometric and luminescence techniques, liquid and gas-liquid chromatography, and mass spectrometry including hyphenated techniques. Focuses on analytical, statistical, and pharmacokinetic principles / Describes basic methodology, including colour tests and immunoassay and enzyme-based assays / Outlines laboratory operations, such as method validation, quality assessment, staff training, and laboratory accreditation / Follows IUPAC nomenclature for chemical names and recommended International Non-proprietary Name (rINN) for drugs and pesticides / Includes discussion of 'designer drugs' (novel pharmaceutical substances NPS)
Financial Privacy : An International Comparison of Credit Reporting Systems
This book provides the first in-depth analysis of the economics and regulation of financial privacy. It is an international comparison of credit reporting systems in the United States and in European countries. On the theoretical level the book explains competition in information markets, especially in markets for goods made of highly personal and sensitive information. It reviews the microeconomics of information and privacy and discusses the economic incentives to disclose or to conceal information. The book also focuses on the institutions of credit reporting, the history of credit reporting agencies and the regulation of privacy and credit reporting on both sides of the Atlantic as well as internationally. Finally, on the empirical level, it reviews the microeconomic and potential macroeconomic effects of credit reporting in the credit markets of countries around the world.
Financial market imperfections and corporate decisions : Lessons from the transition process in Hungary
The book presents the results of an empirical investigation of the behaviour of Hungarian firms during the transition process focusing in particular on the role of financial market imperfections for corporate capital structure and investment decisions. The results suggest that financial market reforms have succeeded, albeit partially, in hardening firms's budget constraints and improving the efficiency of the credit allocation process. In particular, following the introduction of the banking sector reform and of the new bankruptcy law, budget constraints became more binding for small private firms, while informational costs became less relevant for foreign-owned firms.
Financial economics and econometrics
Covers financial data and univariate models; asset returns; interest rates, yields and spreads; volatility and correlation; and corporate finance and policy. Each chapter begins with a theory in financial economics, followed by econometric methodologies which have been used to explore the theory. Next, the chapter presents empirical evidence and discusses seminal papers on the topic. Boxes offer insights on how an idea can be applied to other disciplines such as management, marketing and medicine, showing the relevance of the material beyond finance. Readers are supported with plenty of worked examples and intuitive explanations throughout the book, while key takeaways, ‘test your knowledge’ and ‘test your intuition’ features at the end of each chapter also aid student learning.
Financial cryptography and data security ; 12th International Conference, FC 2008, Cozumel, Mexico, January 28-31, 2008. Revised Selected Papers
This book constitutes the thoroughly refereed post-conference proceedings of the 12th International Conference on Financial Cryptography and Data Security, FC 2008, held in Cozumel, Mexico, in January 2008.The 16 revised full papers and 9 revised short papers presented together with 5 poster papers, 2 panel reports, and 1 invited lecture were carefully reviewed and selected from 86 submissions. The papers are organized in topical sections on attacks and counter measures, protocols, theory, hardware, chips and tags, signatures and encryption, as well as anonymity and e-cash.
