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Springer Proceedings in Mathematics & Statistics
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Innovations in Quantitative Risk Management

TU München, September 2013

Herausgeber: Glau, Kathrin, Scherer, Matthias, Zagst, Rudi (Eds.)

  • Provides a bridge between methodological advances and applications in risk management
  • Focuses on modern techniques such as dependence modeling, LIBOR modeling and counterparty credit risk
  • Features contributions from well-known experts from both academia and practice
Weitere Vorteile

Dieses Buch kaufen

eBook  
  • ISBN 978-3-319-09114-3
  • Dieses Buch ist ein Open Access Buch und ist frei zugänglich auf link.springer.com
Hardcover 53,49 €
Preis für Deutschland (Brutto)
  • ISBN 978-3-319-09113-6
  • Kostenfreier Versand für Individualkunden weltweit
  • Gewöhnlich versandfertig in 3-5 Werktagen.
Softcover 53,49 €
Preis für Deutschland (Brutto)
  • ISBN 978-3-319-35861-1
  • Kostenfreier Versand für Individualkunden weltweit
  • Gewöhnlich versandfertig in 3-5 Werktagen.
Über dieses Buch

Quantitative models are omnipresent –but often controversially discussed– in todays risk management practice. New regulations, innovative financial products, and advances in valuation techniques provide a continuous flow of challenging problems for financial engineers and risk managers alike. Designing a sound stochastic model requires finding a careful balance between parsimonious model assumptions, mathematical viability, and interpretability of the output. Moreover, data requirements and the end-user training are to be considered as well.

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.

Über den Autor

Kathrin Glau is Junior professor for Mathematical Finance at the Technische Universität München. Her research faces the complex demands on numerical tools and modeling in today’s market reality.   Her approach merges recent advances from numerical analysis and financial modeling.  Thereby pricing methods in advanced models with a thorough error analysis are developed. Her speciality are Galerkin methods for partial integro differential equations for (pure) jump Levy driven models.

Matthias Scherer is Professor for Mathematical Finance at the Technische Universität München. His research interests comprise various topics in Financial Mathematics, Actuarial Science, and Probability Theory. Concerning applications in risk management, he has published research articles on portfolio-credit risk, dependence modeling, and model risk. He is an active member of the management boards of the DGVFM and the KPMG Center of Excellence in Risk Management. He is co-author of the book “Simulating Copulas: Stochastic Models, Sampling Algorithms, and Applications” and provides executive seminars for different financial institutions.

Rudi Zagst is Professor for Mathematical Finance, Director of the Center of Mathematics and member of the management board of the KPMG Center of Excellence in Risk Management at Technische Universität München. He is also President of risklab GmbH, a German-based consulting company offering advanced asset management solutions and is a professional trainer to a number of leading institutions. His current research interests are in financial engineering, risk and asset management.

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Inhaltsverzeichnis (25 Kapitel)

  • A Random Holding Period Approach for Liquidity-Inclusive Risk Management

    Brigo, Damiano (et al.)

    Seiten 3-18

  • Regulatory Developments in Risk Management: Restoring Confidence in Internal Models

    Gaumert, Uwe (et al.)

    Seiten 19-37

  • Model Risk in Incomplete Markets with Jumps

    Detering, Nils (et al.)

    Seiten 39-56

  • Bid-Ask Spread for Exotic Options under Conic Finance

    Guillaume, Florence (et al.)

    Seiten 59-74

  • Derivative Pricing under the Possibility of Long Memory in the supOU Stochastic Volatility Model

    Stelzer, Robert (et al.)

    Seiten 75-92

Dieses Buch kaufen

eBook  
  • ISBN 978-3-319-09114-3
  • Dieses Buch ist ein Open Access Buch und ist frei zugänglich auf link.springer.com
Hardcover 53,49 €
Preis für Deutschland (Brutto)
  • ISBN 978-3-319-09113-6
  • Kostenfreier Versand für Individualkunden weltweit
  • Gewöhnlich versandfertig in 3-5 Werktagen.
Softcover 53,49 €
Preis für Deutschland (Brutto)
  • ISBN 978-3-319-35861-1
  • Kostenfreier Versand für Individualkunden weltweit
  • Gewöhnlich versandfertig in 3-5 Werktagen.
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Bibliografische Information

Bibliographic Information
Buchtitel
Innovations in Quantitative Risk Management
Buchuntertitel
TU München, September 2013
Herausgeber
  • Kathrin Glau
  • Matthias Scherer
  • Rudi Zagst
Titel der Buchreihe
Springer Proceedings in Mathematics & Statistics
Buchreihen Band
99
Copyright
2015
Verlag
Springer International Publishing
Copyright Inhaber
The Editor(s) (if applicable) and the Author(s)
eBook ISBN
978-3-319-09114-3
DOI
10.1007/978-3-319-09114-3
Hardcover ISBN
978-3-319-09113-6
Softcover ISBN
978-3-319-35861-1
Buchreihen ISSN
2194-1009
Auflage
1
Seitenzahl
XI, 438
Anzahl der Bilder und Tabellen
84 schwarz-weiß Abbildungen
Themen