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Gesamtkatalog

Catalogue complet

Modeling, Analysis and Optimization for
Mathematical Finance, Economics and Risk

Modeling, Analysis and Optimization for Mathematical Finance, Economics and Risks

SpringerBriefs in Finance

The Pfandbrief, a mostly triple-A rated German bank debenture, has become the blueprint of many covered bond models in Europe and beyond. The Pfandbrief is collateralized by long-term assets such as property mortgages or public sector loans as stipulated in the Pfandbrief Act.
With a history that goes back to the 18th century and a high market share in today¿s covered bond markets, the German Pfandbrief is the most established covered bond. Until today, no single Pfandbrief has ever defaulted.
Even though Pfandbriefe have survived the financial crisis comparably unharmed, investors have become more sensitive regarding the creditworthiness of the corresponding issuer and sovereign, the strength of the legal (or contractual) framework and the quality of the cover pool serving as collateral.
This monograph provides a structured in-depth analysis of the legal framework and the risks inherent in a Pfandbrief, taking into consideration recent market developments. Starting from the legal framework, the German Pfandbrief is introduced without requiring prior knowledge. Covered bond related risks are explained in detail and their relevance to the Pfandbrief is thoroughly discussed with focus on the two most common Pfandbrief types, mortgage and public Pfandbriefe. In addition to that, the monograph comes with an extensive collection of Pfandbrief-related literature and a glossary explaining the main technical terms.

Overview and Risk Analysis of Pfandbriefe

German Covered Bonds

By the eve of the Great Depression, there existed in America the equivalent of a policy for every man, woman and child, and in Britain it grew from its narrow aristocratic base to cover all social classes. This primary resource collection is the first comparative history of British and American life insurance industries.

Anglo-American Life Insurance, 1800–1914 Volume 1

Professional and Applied Computing (R0)

&lt;p&gt;Take a holistic view of enterprise risk-adjusted return management in banking. This book recommends that a bank transform its siloed operating model into an agile enterprise model. It offers an event-driven, process-based, data-centric approach to help banks plan and implement an enterprise risk-adjusted return model (ERRM), keeping the focus on business events, processes, and a loosely coupled enterprise service architecture.&lt;/p&gt;Most banks suffer from a lack of good quality data for risk-adjusted return management. This book provides an enterprise data management methodology that improves data quality by defining and using data ontology and taxonomy. It extends the data narrative with an explanation of the characteristics of risk data, the usage of machine learning, and provides an enterprise knowledge management methodology for risk-return optimization. The book provides numerous examples for process automation, data analytics, event management, knowledge management, and improvements to risk quantification.&lt;br&gt;&lt;p&gt;&lt;/p&gt;&lt;p&gt;The book provides guidance on the underlying knowledge areas of banking, enterprise risk management, enterprise architecture, technology, event management, processes, and data science. The first part of the book explains the current state of banking architecture and its limitations. After defining a target model, it explains an approach to determine the "gap" and the second part of the book guides banks on how to implement the enterprise risk-adjusted return model.&lt;/p&gt;&lt;p&gt;&lt;b&gt;What You Will Learn&lt;/b&gt;&lt;/p&gt;&lt;p&gt;&lt;/p&gt;&lt;ul&gt;&lt;li&gt;Know what causes siloed architecture, and its impact&lt;/li&gt;&lt;li&gt;Implement an enterprise risk-adjusted return model (ERRM)&lt;/li&gt;&lt;li&gt;Choose enterprise architecture and technology&lt;/li&gt;&lt;li&gt;Define a reference enterprise architecture&lt;/li&gt;&lt;li&gt;Understand enterprise data management methodology&lt;/li&gt;&lt;li&gt;Define and use an enterprise data ontology and taxonomy&lt;/li&gt;&lt;li&gt;Create a multi-dimensional enterprise risk data model&lt;/li&gt;&lt;li&gt;Understand the relevance of event-driven architecture from business generation and risk management perspectives&lt;/li&gt;&lt;li&gt;Implement advanced analytics and knowledge management capabilities&lt;/li&gt;&lt;/ul&gt;&lt;p&gt;&lt;b&gt;&lt;br&gt;&lt;/b&gt;&lt;/p&gt;&lt;p&gt;&lt;b&gt;Who This Book Is For&lt;/b&gt;&lt;/p&gt;The global banking community, including: senior management of a bank, such as the Chief Risk Officer, Head of Treasury/Corporate Banking/Retail Banking, Chief Data Officer, and Chief Technology Officer. It is also relevant for banking software vendors, banking consultants, auditors, risk management consultants, banking supervisors, and government finance professionals.&lt;p&gt;&lt;/p&gt;

Kannan Subramanian R

Dr. Sudheesh Kumar Kattumannil

A Banking Practitioner's Handbook

Event- and Data-Centric Enterprise Risk-Adjusted Return Management

Routledge Focus on Financial History

The Tontine: A History

Bachelor Thesis from the year 2014 in the subject Economics - Statistics and Methods, grade: 110 cum laude, University of Genoa, course: Economia, language: Italian, abstract: Lo studio delle copule e le loro applicazioni in statistica sono fenomeni piuttosto recenti ma il loro utilizzo è cresciuto notevolmente nell'ultimo decennio, in particolare in ambito finanziario ed assicurativo. 

In questo testo si illustrano brevemente le proprietà di base di questi strumenti e si forniscono alcuni semplici esempi di calcolo. In appendice è indicato un esempio di codice per l'utilizzo della copula Gumbel in R.

Una introduzione alla teoria delle copule

Reinsurance Underwriting

Chapman and Hall/CRC Financial Mathematics Series

Reorganized and expanded, this updated book introduces the main ideas, techniques, and stochastic models of financial mathematics. It focuses on the foundations and key concepts of the modern methodology of quantitative financial analysis, explores the problems of managing insurance risks, and examines the multiple intrinsic connections between insurance risks and financial risks. With more examples and problems, this edition contains an expanded section on the foundations of probability and stochastic analysis and covers new topics, including financial markets with stochastic volatility, risk measures, risk-adjusted performance measures, and equity-linked insurance.

Risk Analysis in Finance and Insurance

Financial Mathematics: A Comprehensive Guide to Quantitative Finance is an essential resource for finance professionals, academics, and students who want to master the quantitative techniques used in the world of finance. This comprehensive guide provides a thorough overview of the mathematical concepts and analytical tools used in financial markets analysis, fixed income securities and markets, equity securities and markets, financial derivatives and markets, foreign exchange markets and international finance.


Written by M.L. Ruscsak, this guide covers a wide range of topics including bond valuation and yield measures, term structure models, interest rate risk management, equity valuation, equity market analysis, equity portfolio management, options, futures, swaps, and much more. The book is structured into six parts, each covering a specific area of financial mathematics, and provides readers with clear explanations of the fundamental concepts, worked examples, and practical applications of the tools and techniques used in financial markets.


Financial Mathematics is an essential component of the Continuing Professional Development (CPD) course offered by Trient Press.

The Mathematics of Finance

Unlike much of the existing literature, Stochastic Finance: A Numeraire Approach treats price as a number of units of one asset needed for an acquisition of a unit of another asset instead of expressing prices in dollar terms exclusively. This numeraire approach leads to simpler pricing options for complex products, such as barrier, lookback, quanto, and Asian options. Most of the ideas presented rely on intuition and basic principles, rather than technical computations.



The first chapter of the book introduces basic concepts of finance, including price, no arbitrage, portfolio, financial contracts, the First Fundamental Theorem of Asset Pricing, and the change of numeraire formula. Subsequent chapters apply these general principles to three kinds of models: binomial, diffusion, and jump models. The author uses the binomial model to illustrate the relativity of the reference asset. In continuous time, he covers both diffusion and jump models in the evolution of price processes. The book also describes term structure models and numerous options, including European, barrier, lookback, quanto, American, and Asian.



Classroom-tested at Columbia University to graduate students, Wall Street professionals, and aspiring quants, this text provides a deep understanding of derivative contracts. It will help a variety of readers from the dynamic world of finance, from practitioners who want to expand their knowledge of stochastic finance, to students who want to succeed as professionals in the field, to academics who want to explore relatively advanced techniques of the numeraire change.

A Numeraire Approach

Stochastic Finance

Springer Texts in Business and Economics

This textbook presents the fundamental economic dimensions of insurance companies and links them to managerial issues. Combining academic rigour and a strongly practice-oriented approach, it addresses both the competitive environment and the management of the insurance business. Further, it provides a general overview of insurance undertakings and technical topics are explained in depth. Filling an important gap in the market for textbooks on the insurance business, it is divided into four parts and 35 chapters. Part I (chapters 1 to 10) describes the fundamentals of the business, how the industry works, the Authorities and the regulations. It presents the insurance products (for life, non-life retail, and non-life commercial lines). Part II (chapters 11 to 17) explains the pricing and reserving for life and non-life insurance. Reinsurance business is also illustrated. Part III (chapters 18 to 25) describes business models in the industry and the organizational structures. The main processes of an insurance company (product development, underwriting, claims settlement, investments) are presented. Marketing and distribution are also described. Part IV (chapters 26 to 35) defines the financial statement and introduces IFRS principles. Solvency II calculation, ALM model, and Embedded Value are explained in detail. This part also describes management accounting, performance indicators, and the Business Plan in the insurance industry. The book offers a valuable resource for lower and upper undergraduate students, graduate students, professionals/practitioners working at insurance companies, insurance agents, brokers, bankers, and consultants.

Fundamentals of the Insurance Business

Economics and Finance (R0)

Frank J. Fabozzi

Marielle de Jong

From Theory to Practice

Derivatives Applications in Asset Management

It is well-known that modern stochastic calculus has been exhaustively developed under usual conditions. Despite such a well-developed theory, there is evidence to suggest that these very convenient technical conditions cannot necessarily be fulfilled in real-world applications.

Optional Processes: Theory and Applications seeks to delve into the existing theory, new developments and applications of optional processes on "unusual" probability spaces. The development of stochastic calculus of optional processes marks the beginning of a new and more general form of stochastic analysis.

This book aims to provide an accessible, comprehensive and up-to-date exposition of optional processes and their numerous properties. Furthermore, the book presents not only current theory of optional processes, but it also contains a spectrum of applications to stochastic differential equations, filtering theory and mathematical finance.

Features



Suitable for graduate students and researchers in mathematical finance, actuarial science, applied mathematics and related areas







Compiles almost all essential results on the calculus of optional processes in unusual probability spaces 





Contains many advanced analytical results for stochastic differential equations and statistics pertaining to the calculus of optional processes 





Develops new methods in finance based on optional processes such as a new portfolio theory, defaultable claim pricing mechanism, etc.

Theory and Applications

Optional Processes

Modeling, Analysis and Optimization for Mathematical Finance, Economics and Risks

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