Advertisement
| applied mathematical finance impact factor: Applied Quantitative Finance Wolfgang Karl Härdle, Cathy Yi-Hsuan Chen, Ludger Overbeck, 2017-08-02 This volume provides practical solutions and introduces recent theoretical developments in risk management, pricing of credit derivatives, quantification of volatility and copula modeling. This third edition is devoted to modern risk analysis based on quantitative methods and textual analytics to meet the current challenges in banking and finance. It includes 14 new contributions and presents a comprehensive, state-of-the-art treatment of cutting-edge methods and topics, such as collateralized debt obligations, the high-frequency analysis of market liquidity, and realized volatility. The book is divided into three parts: Part 1 revisits important market risk issues, while Part 2 introduces novel concepts in credit risk and its management along with updated quantitative methods. The third part discusses the dynamics of risk management and includes risk analysis of energy markets and for cryptocurrencies. Digital assets, such as blockchain-based currencies, have become popular b ut are theoretically challenging when based on conventional methods. Among others, it introduces a modern text-mining method called dynamic topic modeling in detail and applies it to the message board of Bitcoins. The unique synthesis of theory and practice supported by computational tools is reflected not only in the selection of topics, but also in the fine balance of scientific contributions on practical implementation and theoretical concepts. This link between theory and practice offers theoreticians insights into considerations of applicability and, vice versa, provides practitioners convenient access to new techniques in quantitative finance. Hence the book will appeal both to researchers, including master and PhD students, and practitioners, such as financial engineers. The results presented in the book are fully reproducible and all quantlets needed for calculations are provided on an accompanying website. The Quantlet platform quantlet.de, quantlet.com, quantlet.org is an integrated QuantNet environment consisting of different types of statistics-related documents and program codes. Its goal is to promote reproducibility and offer a platform for sharing validated knowledge native to the social web. QuantNet and the corresponding Data-Driven Documents-based visualization allows readers to reproduce the tables, pictures and calculations inside this Springer book. |
| applied mathematical finance impact factor: Handbook of the Economics of Finance G. Constantinides, M. Harris, Rene M. Stulz, 2003-11-04 Arbitrage, State Prices and Portfolio Theory / Philip h. Dybvig and Stephen a. Ross / - Intertemporal Asset Pricing Theory / Darrell Duffle / - Tests of Multifactor Pricing Models, Volatility Bounds and Portfolio Performance / Wayne E. Ferson / - Consumption-Based Asset Pricing / John y Campbell / - The Equity Premium in Retrospect / Rainish Mehra and Edward c. Prescott / - Anomalies and Market Efficiency / William Schwert / - Are Financial Assets Priced Locally or Globally? / G. Andrew Karolyi and Rene M. Stuli / - Microstructure and Asset Pricing / David Easley and Maureen O'hara / - A Survey of Behavioral Finance / Nicholas Barberis and Richard Thaler / - Derivatives / Robert E. Whaley / - Fixed-Income Pricing / Qiang Dai and Kenneth J. Singleton. |
| applied mathematical finance impact factor: Mathematical Finance with Applications Wing-Keung Wong, Xu Guo, Sergio Ortobelli Lozza, 2020-12-07 Mathematical finance plays a vital role in many fields within finance and provides the theories and tools that have been widely used in all areas of finance. Knowledge of mathematics, probability, and statistics is essential to develop finance theories and test their validity through the analysis of empirical, real-world data. For example, mathematics, probability, and statistics could help to develop pricing models for financial assets such as equities, bonds, currencies, and derivative securities. |
| applied mathematical finance impact factor: Applied Conic Finance Dilip Madan, Wim Schoutens, 2016-10-13 A comprehensive introduction to the brand new theory of conic finance, offering a quantitative and practical approach. |
| applied mathematical finance impact factor: Credit Derivatives Pricing Models Philipp J. Schönbucher, 2003-10-31 The credit derivatives market is booming and, for the first time, expanding into the banking sector which previously has had very little exposure to quantitative modeling. This phenomenon has forced a large number of professionals to confront this issue for the first time. Credit Derivatives Pricing Models provides an extremely comprehensive overview of the most current areas in credit risk modeling as applied to the pricing of credit derivatives. As one of the first books to uniquely focus on pricing, this title is also an excellent complement to other books on the application of credit derivatives. Based on proven techniques that have been tested time and again, this comprehensive resource provides readers with the knowledge and guidance to effectively use credit derivatives pricing models. Filled with relevant examples that are applied to real-world pricing problems, Credit Derivatives Pricing Models paves a clear path for a better understanding of this complex issue. Dr. Philipp J. Schönbucher is a professor at the Swiss Federal Institute of Technology (ETH), Zurich, and has degrees in mathematics from Oxford University and a PhD in economics from Bonn University. He has taught various training courses organized by ICM and CIFT, and lectured at risk conferences for practitioners on credit derivatives pricing, credit risk modeling, and implementation. |
| applied mathematical finance impact factor: Handbook Of Financial Econometrics, Mathematics, Statistics, And Machine Learning (In 4 Volumes) Cheng Few Lee, John C Lee, 2020-07-30 This four-volume handbook covers important concepts and tools used in the fields of financial econometrics, mathematics, statistics, and machine learning. Econometric methods have been applied in asset pricing, corporate finance, international finance, options and futures, risk management, and in stress testing for financial institutions. This handbook discusses a variety of econometric methods, including single equation multiple regression, simultaneous equation regression, and panel data analysis, among others. It also covers statistical distributions, such as the binomial and log normal distributions, in light of their applications to portfolio theory and asset management in addition to their use in research regarding options and futures contracts.In both theory and methodology, we need to rely upon mathematics, which includes linear algebra, geometry, differential equations, Stochastic differential equation (Ito calculus), optimization, constrained optimization, and others. These forms of mathematics have been used to derive capital market line, security market line (capital asset pricing model), option pricing model, portfolio analysis, and others.In recent times, an increased importance has been given to computer technology in financial research. Different computer languages and programming techniques are important tools for empirical research in finance. Hence, simulation, machine learning, big data, and financial payments are explored in this handbook.Led by Distinguished Professor Cheng Few Lee from Rutgers University, this multi-volume work integrates theoretical, methodological, and practical issues based on his years of academic and industry experience. |
| applied mathematical finance impact factor: Recent Advancements in Computational Finance and Business Analytics Rangan Gupta, Francesco Bartolucci, Vasilios N. Katsikis, Srikanta Patnaik, 2024-09-03 This book presents the latest breakthroughs and cutting-edge advancements within this rapidly evolving field. By providing computational finance and business analytics, organizations can secure a competitive advantage in today’s data-driven and cutting-edge business landscape. This book explores the most recent innovations and significant developments in both the domains of computational finance and business analytics, offering a thorough overview of the current landscape. It encompasses various dimensions including: Business Analytics Financial Analytics HR & Marketing Analytics By integrating the latest theoretical insights with practical applications, this book equips researchers, practitioners, and students with the knowledge and tools necessary to explore and progress in the ever-changing realm of computational finance and business analytics. As the present organizations confront the challenges and adapt the opportunities presented by the data revolution, this book serves as an essential guide, illuminating the transformative frontiers where computational finance and business analytics are redefining the realm of possibilities. |
| applied mathematical finance impact factor: Forecasting Expected Returns in the Financial Markets Stephen Satchell, 2011-04-08 Forecasting returns is as important as forecasting volatility in multiple areas of finance. This topic, essential to practitioners, is also studied by academics. In this new book, Dr Stephen Satchell brings together a collection of leading thinkers and practitioners from around the world who address this complex problem using the latest quantitative techniques.*Forecasting expected returns is an essential aspect of finance and highly technical *The first collection of papers to present new and developing techniques *International authors present both academic and practitioner perspectives |
| applied mathematical finance impact factor: Interest Rate Modelling in the Multi-Curve Framework M. Henrard, 2014-05-29 Following the financial crisis dramatic market changes, a new standard in interest rate modelling emerged, called the multi-curve framework. The author provides a detailed analysis of the framework, through its foundations, evolution and implementation. The book also covers recent extensions to collateral and stochastic spreads modelling. |
| applied mathematical finance impact factor: Handbook of Price Impact Modeling Kevin T Webster, 2023-05-05 Handbook of Price Impact Modeling provides practitioners and students with a mathematical framework grounded in academic references to apply price impact models to quantitative trading and portfolio management. Automated trading is now the dominant form of trading across all frequencies. Furthermore, trading algorithm rise introduces new questions professionals must answer, for instance: How do stock prices react to a trading strategy? How to scale a portfolio considering its trading costs and liquidity risk? How to measure and improve trading algorithms while avoiding biases? Price impact models answer these novel questions at the forefront of quantitative finance. Hence, practitioners and students can use this Handbook as a comprehensive, modern view of systematic trading. For financial institutions, the Handbook’s framework aims to minimize the firm’s price impact, measure market liquidity risk, and provide a unified, succinct view of the firm’s trading activity to the C-suite via analytics and tactical research. The Handbook’s focus on applications and everyday skillsets makes it an ideal textbook for a master’s in finance class and students joining quantitative trading desks. Using price impact models, the reader learns how to: Build a market simulator to back test trading algorithms Implement closed-form strategies that optimize trading signals Measure liquidity risk and stress test portfolios for fire sales Analyze algorithm performance controlling for common trading biases Estimate price impact models using public trading tape Finally, the reader finds a primer on the database kdb+ and its programming language q, which are standard tools for analyzing high-frequency trading data at banks and hedge funds. Authored by a finance professional, this book is a valuable resource for quantitative researchers and traders. |
| applied mathematical finance impact factor: A First Course in Quantitative Finance Thomas Mazzoni, 2018-03-29 Using stereoscopic images and other novel pedagogical features, this book offers a comprehensive introduction to quantitative finance. |
| applied mathematical finance impact factor: Progress in Industrial Mathematics at ECMI 2021 Matthias Ehrhardt, Michael Günther, 2022-11-25 This book gathers peer-reviewed contributions submitted to the 21st European Conference on Mathematics for Industry, ECMI 2021, which was virtually held online, hosted by the University of Wuppertal, Germany, from April 13th to April 15th, 2021. The works explore mathematics in a wide variety of applications, ranging from problems in electronics, energy and the environment, to mechanics and mechatronics. Topics covered include: Applied Physics, Biology and Medicine, Cybersecurity, Data Science, Economics, Finance and Insurance, Energy, Production Systems, Social Challenges, and Vehicles and Transportation. The goal of the European Consortium for Mathematics in Industry (ECMI) conference series is to promote interaction between academia and industry, leading to innovations in both fields. These events have attracted leading experts from business, science and academia, and have promoted the application of novel mathematical technologies to industry. They have also encouraged industrial sectors to share challenging problems where mathematicians can provide fresh insights and perspectives. Lastly, the ECMI conferences are one of the main forums in which significant advances in industrial mathematics are presented, bringing together prominent figures from business, science and academia to promote the use of innovative mathematics in industry. |
| applied mathematical finance impact factor: Introduction of a New Conceptual Framework for Government Debt Management Anja Hubig, 2013-01-18 Against the background of the financial-cum-sovereign debt crisis, government debt managers are currently faced by a challenging environment. One key element in that respect is the analysis and forecast of interest rates, which is important for achieving the strategic objective of low borrowing costs. Anja Hubig develops a new mathematical method to estimate the term structure of interest rates, that is adopted to describe the term structure dynamics within a stochastic setting. The introduced model is capable to capture the complex behavior of the entire yield curve with a reduced set of parameters. It essentially ensures a comprehensive analysis of the costs and risks associated with individual funding strategies, and thus effectively supports the selection of a long-term optimal debt portfolio composition. |
| applied mathematical finance impact factor: Equity Hybrid Derivatives Marcus Overhaus, Ana Bermudez, Hans Buehler, Andrew Ferraris, Christopher Jordinson, Aziz Lamnouar, 2007-02-02 Take an in-depth look at equity hybrid derivatives. Written by the quantitative research team of Deutsche Bank, the world leader in innovative equity derivative transactions, this book presents leading-edge thinking in modeling, valuing, and hedging for this market, which is increasingly used for investment by hedge funds. You'll gain a balanced, integrated presentation of theory and practice, with an emphasis on understanding new techniques for analyzing volatility and credit derivative transactions linked to equity. In every instance, theory is illustrated along with practical application. Marcus Overhaus, PhD, is Managing Director and Global Head of Quantitative Research and Equity Structuring. Ana Bermudez, PhD, is an Associate in Global Quantitative Research. Hans Buehler, PhD, is a Vice President in Global Quantitative Research. Andrew Ferraris, DPhil, is a Managing Director in Global Quantitative Research. Christopher Jordinson, PhD, is a Vice President in Global Quantitative Research. Aziz Lamnouar, DEA, is a Vice President in Global Quantitative Research. All are associated with Deutsche Bank AG, London. |
| applied mathematical finance impact factor: Quantitative Analysis in Financial Markets Marco Avellaneda, 1999 Contains lectures presented at the Courant Institute's Mathematical Finance Seminar. |
| applied mathematical finance impact factor: Mathematical Finance Christian Fries, 2007-10-19 A balanced introduction to the theoretical foundations and real-world applications of mathematical finance The ever-growing use of derivative products makes it essential for financial industry practitioners to have a solid understanding of derivative pricing. To cope with the growing complexity, narrowing margins, and shortening life-cycle of the individual derivative product, an efficient, yet modular, implementation of the pricing algorithms is necessary. Mathematical Finance is the first book to harmonize the theory, modeling, and implementation of today's most prevalent pricing models under one convenient cover. Building a bridge from academia to practice, this self-contained text applies theoretical concepts to real-world examples and introduces state-of-the-art, object-oriented programming techniques that equip the reader with the conceptual and illustrative tools needed to understand and develop successful derivative pricing models. Utilizing almost twenty years of academic and industry experience, the author discusses the mathematical concepts that are the foundation of commonly used derivative pricing models, and insightful Motivation and Interpretation sections for each concept are presented to further illustrate the relationship between theory and practice. In-depth coverage of the common characteristics found amongst successful pricing models are provided in addition to key techniques and tips for the construction of these models. The opportunity to interactively explore the book's principal ideas and methodologies is made possible via a related Web site that features interactive Java experiments and exercises. While a high standard of mathematical precision is retained, Mathematical Finance emphasizes practical motivations, interpretations, and results and is an excellent textbook for students in mathematical finance, computational finance, and derivative pricing courses at the upper undergraduate or beginning graduate level. It also serves as a valuable reference for professionals in the banking, insurance, and asset management industries. |
| applied mathematical finance impact factor: Recent Advances in Applied Probability Ricardo Baeza-Yates, Joseph Glaz, Henryk Gzyl, Jürg Hüsler, José Luis Palacios, 2006-02-28 Applied probability is a broad research area that is of interest to scientists in diverse disciplines in science and technology, including: anthropology, biology, communication theory, economics, epidemiology, finance, geography, linguistics, medicine, meteorology, operations research, psychology, quality control, sociology, and statistics. Recent Advances in Applied Probability is a collection of survey articles that bring together the work of leading researchers in applied probability to present current research advances in this important area. This volume will be of interest to graduate students and researchers whose research is closely connected to probability modelling and their applications. It is suitable for one semester graduate level research seminar in applied probability. |
| applied mathematical finance impact factor: Financial Derivatives Jamil Baz, George Chacko, 2004-01-12 This book offers a complete, succinct account of the principles of financial derivatives pricing. The first chapter provides readers with an intuitive exposition of basic random calculus. Concepts such as volatility and time, random walks, geometric Brownian motion, and Ito's lemma are discussed heuristically. The second chapter develops generic pricing techniques for assets and derivatives, determining the notion of a stochastic discount factor or pricing kernel, and then uses this concept to price conventional and exotic derivatives. The third chapter applies the pricing concepts to the special case of interest rate markets, namely, bonds and swaps, and discusses factor models and term structure consistent models. The fourth chapter deals with a variety of mathematical topics that underlie derivatives pricing and portfolio allocation decisions such as mean-reverting processes and jump processes and discusses related tools of stochastic calculus such as Kolmogorov equations, martingale techniques, stochastic control, and partial differential equations. |
| applied mathematical finance impact factor: Artificial Intelligence in Insurance and Finance Glenn Fung, Sou Cheng Choi, Luisa Fernanda Polania Cabrera, Victor Wu, Lawrence Kwan Ho Ma, 2022-01-04 Luisa Fernanda Polania Cabrera is an Experienced Professional at Target Corporation (United States). Victor Wu is a Product Manager at GitLab Inc, San Francisco, United States. Sou-Cheng Choi is a Consulting Principle Data Scientist at Allstate Corporation. Lawrence Kwan Ho Ma is the Founder, Director and Chief Scientist of Valigo Limited and Founder, CEO and Chief Scientist of EMALI.IO Limited. Glenn M. Fung is the Chief Research Scientist at American Family Insurance. |
| applied mathematical finance impact factor: The Oxford Handbook of the Macroeconomics of Global Warming Lucas Bernard, Willi Semmler, 2015 The Oxford Handbook of the Macroeconomics of Global Warming analyzes the macroeconomics of global warming, especially the economics of possible preventative measures, various policy changes, and potential effects of climate change on developing and developed nations. |
| applied mathematical finance impact factor: Statistics for Finance Erik Lindström, Henrik Madsen, Jan Nygaard Nielsen, 2016-04-21 Statistics for Finance develops students’ professional skills in statistics with applications in finance. Developed from the authors’ courses at the Technical University of Denmark and Lund University, the text bridges the gap between classical, rigorous treatments of financial mathematics that rarely connect concepts to data and books on econometrics and time series analysis that do not cover specific problems related to option valuation. The book discusses applications of financial derivatives pertaining to risk assessment and elimination. The authors cover various statistical and mathematical techniques, including linear and nonlinear time series analysis, stochastic calculus models, stochastic differential equations, Itō’s formula, the Black–Scholes model, the generalized method-of-moments, and the Kalman filter. They explain how these tools are used to price financial derivatives, identify interest rate models, value bonds, estimate parameters, and much more. This textbook will help students understand and manage empirical research in financial engineering. It includes examples of how the statistical tools can be used to improve value-at-risk calculations and other issues. In addition, end-of-chapter exercises develop students’ financial reasoning skills. |
| applied mathematical finance impact factor: Engineering Investment Process Florian Ielpo, Chafic Merhy, Guillaume Simon, 2017-03-22 Engineering Investment Process: Making Value Creation Repeatable explores the quantitative steps of a financial investment process. The authors study how these steps are articulated in order to make any value creation, whatever the asset class, consistent and robust. The discussion includes factors, portfolio allocation, statistical and economic backtesting, but also the influence of negative rates, dynamical trading, state-space models, stylized facts, liquidity issues, or data biases. Besides the quantitative concepts detailed here, the reader will find useful references to other works to develop an in-depth understanding of an investment process. - Blends academic research with practical experience from quants, fund managers, and economists - Puts financial mathematics and econometrics in their rightful place - Presents useful information that will increase the reader's understanding of markets - Clearly provides both the global framework, the investment process, and the useful econometric and financial tools that help in its construction - Includes efficient tools taken from up-to-date econometric and financial techniques |
| applied mathematical finance impact factor: Market Microstructure Frédéric Abergel, Jean-Philippe Bouchaud, Thierry Foucault, Charles-Albert Lehalle, Mathieu Rosenbaum, 2012-04-03 The latest cutting-edge research on market microstructure Based on the December 2010 conference on market microstructure, organized with the help of the Institut Louis Bachelier, this guide brings together the leading thinkers to discuss this important field of modern finance. It provides readers with vital insight on the origin of the well-known anomalous stylized facts in financial prices series, namely heavy tails, volatility, and clustering, and illustrates their impact on the organization of markets, execution costs, price impact, organization liquidity in electronic markets, and other issues raised by high-frequency trading. World-class contributors cover topics including analysis of high-frequency data, statistics of high-frequency data, market impact, and optimal trading. This is a must-have guide for practitioners and academics in quantitative finance. |
| applied mathematical finance impact factor: Risk Management and Regulation in Banking Dan Galai, David Ruthenberg, Marshall Sarnat, Ben Z. Schreiber, 2012-12-06 Over the last fifty years, increasingly sophisticated risk measurement and management techniques have revolutionized the field of finance. More recently, the globalization of financial markets and policy changes in the regulation of financial institutions have impacted upon how commercial banks manage risk. The widespread implications of these fundamental changes prompted an international conference held in May, 1997, devoted to the topic of risk management and regulation in banking. This book contains the formal papers and the panel discussions that comprise the conference proceedings, and thus collects some of the latest research on managing financial market risk by top scholars, policymakers, and high-ranking banking officials from around the world. |
| applied mathematical finance impact factor: Mathematical Models in Finance S.D. Howison, F.P. Kelly, P. Wilmott, 1995-05-15 Mathematical Models in Finance compiles papers presented at the Royal Society of London discussion meeting. Topics range from the foundations of classical theory to sophisticated, up-to-date mathematical modeling and analysis. In the wake of the increased level of mathematical awareness in the financial research community, attention has focused on fundamental issues of market modelling that are not adequately allowed for in the standard analyses. Examples include market anomalies and nonlinear coupling effects, and demand new synthesis of mathematical and numerical techniques. This line of inquiry is further stimulated by ever tightening profits due to increased competition. Several papers in this volume offer pointers to future developments in this area. |
| applied mathematical finance impact factor: Algorithmic and High-Frequency Trading Álvaro Cartea, Sebastian Jaimungal, José Penalva, 2015-08-06 A straightforward guide to the mathematics of algorithmic trading that reflects cutting-edge research. |
| applied mathematical finance impact factor: Encyclopedia of Actuarial Science Jef L. Teugels, Bjørn Sundt, 2004 The Encyclopedia of Actuarial Science presents a timely and comprehensive body of knowledge designed to serve as an essential reference for the actuarial profession and all related business and financial activities, as well as researchers and students in actuarial science and related areas. Drawing on the experience of leading international editors and authors from industry and academic research the encyclopedia provides an authoritative exposition of both quantitative methods and practical aspects of actuarial science and insurance. The cross-disciplinary nature of the work is reflected not only in its coverage of key concepts from business, economics, risk, probability theory and statistics but also by the inclusion of supporting topics such as demography, genetics, operations research and informatics. Visit the encyclopedia's website where you can gain access to further resources and freely available sample articles: www.wileyeurope.com/eoas. -- Publisher. |
| applied mathematical finance impact factor: World Scientific Reference On Contingent Claims Analysis In Corporate Finance (In 4 Volumes) Michel Crouhy, Dan Galai, Zvi Wiener, 2019-01-21 Black and Scholes (1973) and Merton (1973, 1974) (hereafter referred to as BSM) introduced the contingent claim approach (CCA) to the valuation of corporate debt and equity. The BSM modeling framework is also named the 'structural' approach to risky debt valuation. The CCA considers all stakeholders of the corporation as holding contingent claims on the assets of the corporation. Each claim holder has different priorities, maturities and conditions for payouts. It is based on the principle that all the assets belong to all the liability holders.The BSM modeling framework gives the basic fundamental version of the structural model where default is assumed to occur when the net asset value of the firm at the maturity of the pure-discount debt becomes negative, i.e., market value of the assets of the firm falls below the face value of the firm's liabilities. In a regime of limited liability, the shareholders of the firm have the option to default on the firm's debt. Equity can be viewed as a European call option on the firm's assets with a strike price equal to the face value of the firm's debt. Actually, CCA can be used to value all the components of the firm's liabilities, equity, warrants, debt, contingent convertible debt, guarantees, etc.In the four volumes we present the major academic research on CCA in corporate finance starting from 1973, with seminal papers of Black and Scholes (1973) and Merton (1973, 1974). Volume I covers the foundation of CCA and contributions on equity valuation. Volume II focuses on corporate debt valuation and the capital structure of the firm. Volume III presents empirical evidence on the valuation of debt instruments as well as applications of the CCA to various financial arrangements. The papers in Volume IV show how to apply the CCA to analyze sovereign credit risk, contingent convertible bonds (CoCos), deposit insurance and loan guarantees. Volume 1: Foundations of CCA and Equity ValuationVolume 1 presents the seminal papers of Black and Scholes (1973) and Merton (1973, 1974). This volume also includes papers that specifically price equity as a call option on the corporation. It introduces warrants, convertible bonds and taxation as contingent claims on the corporation. It highlights the strong relationship between the CCA and the Modigliani-Miller (M&M) Theorems, and the relation to the Capital Assets Pricing Model (CAPM). Volume 2: Corporate Debt Valuation with CCAVolume 2 concentrates on corporate bond valuation by introducing various types of bonds with different covenants as well as introducing various conditions that trigger default. While empirical evidence indicates that the simple Merton's model underestimates the credit spreads, additional risk factors like jumps can be used to resolve it. Volume 3: Empirical Testing and Applications of CCAVolume 3 includes papers that look at issues in corporate finance that can be explained with the CCA approach. These issues include the effect of dividend policy on the valuation of debt and equity, the pricing of employee stock options and many other issues of corporate governance. Volume 4: Contingent Claims Approach for Banks and Sovereign DebtVolume 4 focuses on the application of the contingent claim approach to banks and other financial intermediaries. Regulation of the banking industry led to the creation of new financial securities (e.g., CoCos) and new types of stakeholders (e.g., deposit insurers). |
| applied mathematical finance impact factor: Mathematical Finance with Applications Wing-Keung Wong, Xu Guo, Sergio Ortobelli Lozza, 2020 Mathematical finance plays a vital role in many fields within finance and provides the theories and tools that have been widely used in all areas of finance. Knowledge of mathematics, probability, and statistics is essential to develop finance theories and test their validity through the analysis of empirical, real-world data. For example, mathematics, probability, and statistics could help to develop pricing models for financial assets such as equities, bonds, currencies, and derivative securities. |
| applied mathematical finance impact factor: Rough Volatility Christian Bayer, Peter K. Friz, Masaaki Fukasawa, Jim Gatheral, Antoine Jacquier, Mathieu Rosenbaum, 2023-12-18 Volatility underpins financial markets by encapsulating uncertainty about prices, individual behaviors, and decisions and has traditionally been modeled as a semimartingale, with consequent scaling properties. The mathematical description of the volatility process has been an active topic of research for decades; however, driven by empirical estimates of the scaling behavior of volatility, a new paradigm has emerged, whereby paths of volatility are rougher than those of semimartingales. According to this perspective, volatility behaves essentially as a fractional Brownian motion with a small Hurst parameter. The first book to offer a comprehensive exploration of the subject, Rough Volatility contributes to the understanding and application of rough volatility models by equipping readers with the tools and insights needed to delve into the topic, exploring the motivation for rough volatility modeling, providing a toolbox for computation and practical implementation, and organizing the material to reflect the subject’s development and progression. This book is designed for researchers and graduate students in quantitative finance as well as quantitative analysts and finance professionals. |
| applied mathematical finance impact factor: Comparative Analysis of Trade and Finance in Emerging Economies William A. Barnett, Bruno S. Sergi, 2023-04-10 This volume of the International Symposia in Economic Theory and Econometrics explores the latest economic and financial developments in Africa and Asia. |
| applied mathematical finance impact factor: Finite Difference Methods for Ordinary and Partial Differential Equations Randall J. LeVeque, 2007-01-01 This book introduces finite difference methods for both ordinary differential equations (ODEs) and partial differential equations (PDEs) and discusses the similarities and differences between algorithm design and stability analysis for different types of equations. A unified view of stability theory for ODEs and PDEs is presented, and the interplay between ODE and PDE analysis is stressed. The text emphasizes standard classical methods, but several newer approaches also are introduced and are described in the context of simple motivating examples. |
| applied mathematical finance impact factor: Risk , 2006 |
| applied mathematical finance impact factor: Financial Calculus Martin Baxter, Andrew Rennie, 1996-09-19 A rigorous introduction to the mathematics of pricing, construction and hedging of derivative securities. |
| applied mathematical finance impact factor: An Introduction to Financial Option Valuation Desmond J. Higham, 2004-04-15 A textbook providing an introduction to financial option valuation for undergraduates. Solutions available from solutions@cambridge.org. |
| applied mathematical finance impact factor: Elementary Calculus of Financial Mathematics A. J. Roberts, 2009-03-12 Financial mathematics and its calculus introduced in an accessible manner for undergraduate students. |
| applied mathematical finance impact factor: Advances in Electric Power and Energy Systems Mohamed E. El-Hawary, 2017-07-12 A comprehensive review of state-of-the-art approaches to power systems forecasting from the most respected names in the field, internationally Advances in Electric Power and Energy Systems is the first book devoted exclusively to a subject of increasing urgency to power systems planning and operations. Written for practicing engineers, researchers, and post-grads concerned with power systems planning and forecasting, this book brings together contributions from many of the world’s foremost names in the field who address a range of critical issues, from forecasting power system load to power system pricing to post-storm service restoration times, river flow forecasting, and more. In a time of ever-increasing energy demands, mounting concerns over the environmental impacts of power generation, and the emergence of new, smart-grid technologies, electricity price forecasting has assumed a prominent role within both the academic and industrial arenas. Short-run forecasting of electricity prices has become necessary for power generation unit schedule, since it is the basis of every maximization strategy. This book fills a gap in the literature on this increasingly important topic. Following an introductory chapter offering background information necessary for a full understanding of the forecasting issues covered, this book: Introduces advanced methods of time series forecasting, as well as neural networks Provides in-depth coverage of state-of-the-art power system load forecasting and electricity price forecasting Addresses river flow forecasting based on autonomous neural network models Deals with price forecasting in a competitive market Includes estimation of post-storm restoration times for electric power distribution systems Features contributions from world-renowned experts sharing their insights and expertise in a series of self-contained chapters Advances in Electric Power and Energy Systems is a valuable resource for practicing engineers, regulators, planners, and consultants working in or concerned with the electric power industry. It is also a must read for senior undergraduates, graduate students, and researchers involved in power system planning and operation. |
| applied mathematical finance impact factor: Modelling in Life Insurance – A Management Perspective Jean-Paul Laurent, Ragnar Norberg, Frédéric Planchet, 2016-05-02 Focusing on life insurance and pensions, this book addresses various aspects of modelling in modern insurance: insurance liabilities; asset-liability management; securitization, hedging, and investment strategies. With contributions from internationally renowned academics in actuarial science, finance, and management science and key people in major life insurance and reinsurance companies, there is expert coverage of a wide range of topics, for example: models in life insurance and their roles in decision making; an account of the contemporary history of insurance and life insurance mathematics; choice, calibration, and evaluation of models; documentation and quality checks of data; new insurance regulations and accounting rules; cash flow projection models; economic scenario generators; model uncertainty and model risk; model-based decision-making at line management level; models and behaviour of stakeholders. With author profiles ranging from highly specialized model builders to decision makers at chief executive level, this book should prove a useful resource to students and academics of actuarial science as well as practitioners. |
| applied mathematical finance impact factor: Limit Order Books Frédéric Abergel, Marouane Anane, Anirban Chakraborti, Aymen Jedidi, Ioane Muni Toke, 2016-05-09 This text presents different models of limit order books and introduces a flexible open-source library, useful to those studying trading strategies. |
| applied mathematical finance impact factor: Sustainability of the Theories Developed by Mathematical Finance and Mathematical Economics with Applications Wing-Keung Wong, 2020-12-15 The topics studied in this Special Issue include a wide range of areas in finance, economics, tourism, management, marketing, and education. The topics in finance include stock market, volatility and excess returns, REIT, warrant and options, herding behavior and trading strategy, supply finance, and corporate finance. The topics in economics including economic growth, income poverty, and political economics. |
Applied | Homepage
At Applied ®, we are proud of our rich heritage built on a strong foundation of quality brands, comprehensive solutions, dedicated customer service, sound ethics and a commitment to our …
APPLIED Definition & Meaning - Merriam-Webster
The meaning of APPLIED is put to practical use; especially : applying general principles to solve definite problems. How to use applied in a sentence.
Applied - definition of applied by The Free Dictionary
Define applied. applied synonyms, applied pronunciation, applied translation, English dictionary definition of applied. adj. Put into practice or to a particular use ...
APPLIED Definition & Meaning | Dictionary.com
Applied definition: having a practical purpose or use; derived from or involved with actual phenomena (theoretical,pure ).. See examples of APPLIED used in a sentence.
Applied Optics Inc in Hillsborough, NC 27278 - 919-245...
About Applied Optics Inc Applied Optics Inc is located at 505 Meadowlands Dr STE 107 in Hillsborough, North Carolina 27278. Applied Optics Inc can be contacted via phone at 919-245 …
Applied or Applyed – Which is Correct? - Two Minute English
Feb 18, 2025 · Which is the Correct Form Between "Applied" or "Applyed"? Think about when you’ve cooked something. If you used a recipe, you followed specific steps. We can think of …
APPLIED definition and meaning | Collins English Dictionary
Related to or put to practical use → Compare pure (sense 5).... Click for English pronunciations, examples sentences, video.
applied adjective - Definition, pictures, pronunciation and usage …
Definition of applied adjective in Oxford Advanced Learner's Dictionary. Meaning, pronunciation, picture, example sentences, grammar, usage notes, synonyms and more.
applied - WordReference.com Dictionary of English
ap•plied (ə plīd′), adj. having a practical purpose or use; derived from or involved with actual phenomena (distinguished from theoretical, opposed to pure): applied mathematics; applied …
applied - Wiktionary, the free dictionary
Feb 11, 2025 · applied (not comparable) Put into practical use. Of a branch of science, serving another branch of science or engineering. Antonym: pure
Applied | Homepage
At Applied ®, we are proud of our rich heritage built on a strong foundation of quality brands, comprehensive solutions, dedicated …
APPLIED Definition & Meaning - Merriam-Webster
The meaning of APPLIED is put to practical use; especially : applying general principles to solve definite problems. How to use applied …
Applied - definition of applied by The Free Dictionary
Define applied. applied synonyms, applied pronunciation, applied translation, English dictionary definition of applied. adj. Put into …
APPLIED Definition & Meaning | Dictionary.com
Applied definition: having a practical purpose or use; derived from or involved with actual phenomena (theoretical,pure ).. See …
Applied Optics Inc in Hillsborough, NC 27278 - 919-245...
About Applied Optics Inc Applied Optics Inc is located at 505 Meadowlands Dr STE 107 in Hillsborough, North Carolina 27278. Applied …
