Finance at fields /:
This outstanding collection of articles includes papers presented at the Fields Institute, Toronto, as part of the Thematic Program in Quantitative Finance that took place in the first six months of the year 2010. The scope of the volume in very broad, including papers on foundational issues in math...
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| Weitere Verfasser: | , |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Singapore :
World Scientific Pub. Co. Inc.,
2013.
|
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Zusammenfassung: | This outstanding collection of articles includes papers presented at the Fields Institute, Toronto, as part of the Thematic Program in Quantitative Finance that took place in the first six months of the year 2010. The scope of the volume in very broad, including papers on foundational issues in mathematical finance, papers on computational finance, and papers on derivatives and risk management. Many of the articles contain path-breaking insights that are relevant to the developing new order of post-crisis financial risk management. |
| Beschreibung: | 1 online resource (xiii, 583 pages :) : illustrations |
| Bibliographie: | Includes bibliographical references and index. |
| ISBN: | 9789814407892 9814407895 1283739429 9781283739429 |
Internformat
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| 245 | 0 | 0 | |a Finance at fields / |c editors, Matheus R. Grasselli, Lane P. Hughston. |
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| 504 | |a Includes bibliographical references and index. | ||
| 505 | 0 | |a Preface: Reflections on the Crisis and a Glimpse at the Future of Mathematical Finance Matheus R. Grasselli and Lane P. Hughston; CONTENTS; 1. Heat Kernel Interest Rate Models with Time-Inhomogeneous Markov Processes Jiro Akahori and Andrea Macrina; 1. Introduction; 2. Heat Kernels for Supermartingales; 3. Pricing with Time-Inhomogeneous Markov Information; 4. Explicit Pricing Kernel Models; 5. Fixed-Income Derivatives with Brownian Bridge Information; Acknowledgments; References; 2. Stress Testing the Resilience of Financial Networks Hamed Amini, Rama Cont and Andreea Minca; 1. Introduction. | |
| 505 | 8 | |a 2. Network Models of Banking Systems2.1. Asymptotic analysis of default cascades in large networks; 2.2. Size of default cascade; 3. Stress Testing; 3.1. Stress testing resilience to macroeconomic shocks; 3.2. An example of infinite network; 3.3. A finite scale-free network; 4. Discussion; Acknowledgments; References; 3. Managing Corporate Liquidity: Strategies and Pricing Implications Attakrit Asvanunt, Mark Broadie and Suresh Sundaresan; 1. Introduction; 1.1. Overview of major results; 1.2. Review of the literature; 2. The Model; 2.1. Basic setup; 2.2. Equity dilution; 2.3. Cash balance. | |
| 505 | 8 | |a 2.4. Loan commitment3. Welfare and Pricing Under Costly Equity Dilution; 3.1. Exogenous bankruptcy boundary; 3.1.1. Equity value; 3.1.2. Debt value; 3.2. Endogenous bankruptcy boundary; 3.3. Impacts of costly equity dilution; 3.3.1. Security values; 3.3.2. Debt capacity and optimal capital structure; 4. Cash Balances to Manage Illiquidity; 4.1. Optimal level of cash; 4.2. Impacts of cash balance; 5. Loan Commitment; 5.1. Optimal draw down and repayment decisions; 5.2. Impacts of loan commitment; 6. Conclusion; Appendix A; Appendix B; Appendix C; Appendix D; Appendix E; Appendix F. | |
| 505 | 8 | |a AcknowledgmentReferences; 4. Valuation and Hedging of CDS Counterparty Exposure in a Markov Copula Model T.R. Bielecki, S. Crepey, M. Jeanblanc and B. Zargari; 1. Introduction; 1.1. Outline of the paper; 2. Cash Flows and Pricing in a General Set-Up; 3. Model; 4. Pricing; 5. Hedging of Counterparty Exposure; 5.1. Dynamics of cumulative CVA; 5.1.1. Markovian case; 5.2. Hedging of CVA; 5.2.1. Rolling CDS; 5.2.2. Mean-variance hedging; 6. Model Implementation; 6.1. Marginals; 6.2. Joint defaults; 6.3. Calibration; 7. A Variant of the Model with Extended CIR Intensities; 7.1. Implementation. | |
| 505 | 8 | |a 8. Numerical Results8.1. Calibration to market data; 8.2. CVA stylized features; 8.3. Case of a low-risk reference entity; 8.4. Spread options implied volatilities; 8.5. The analysis of the contribution of the joint default; 9. Conclusions; Appendix A; Acknowledgments; References; 5. Information-Based Asset Pricing Dorje C. Brody, Lane P. Hughston and Andrea Macrina; 1. Introduction; 2. The Modelling Framework; 3. Modelling the Cash Flows; 4. Modelling the Information Flow; 5. Asset Price Dynamics in the Case of a Single Cash Flow; 6. European-Style Call Options. | |
| 520 | |a This outstanding collection of articles includes papers presented at the Fields Institute, Toronto, as part of the Thematic Program in Quantitative Finance that took place in the first six months of the year 2010. The scope of the volume in very broad, including papers on foundational issues in mathematical finance, papers on computational finance, and papers on derivatives and risk management. Many of the articles contain path-breaking insights that are relevant to the developing new order of post-crisis financial risk management. | ||
| 650 | 0 | |a Finance |x Mathematical models. |0 http://id.loc.gov/authorities/subjects/sh85048260 | |
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| 650 | 6 | |a Options (Finances) |x Prix |x Modèles mathématiques. | |
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| contents | Preface: Reflections on the Crisis and a Glimpse at the Future of Mathematical Finance Matheus R. Grasselli and Lane P. Hughston; CONTENTS; 1. Heat Kernel Interest Rate Models with Time-Inhomogeneous Markov Processes Jiro Akahori and Andrea Macrina; 1. Introduction; 2. Heat Kernels for Supermartingales; 3. Pricing with Time-Inhomogeneous Markov Information; 4. Explicit Pricing Kernel Models; 5. Fixed-Income Derivatives with Brownian Bridge Information; Acknowledgments; References; 2. Stress Testing the Resilience of Financial Networks Hamed Amini, Rama Cont and Andreea Minca; 1. Introduction. 2. Network Models of Banking Systems2.1. Asymptotic analysis of default cascades in large networks; 2.2. Size of default cascade; 3. Stress Testing; 3.1. Stress testing resilience to macroeconomic shocks; 3.2. An example of infinite network; 3.3. A finite scale-free network; 4. Discussion; Acknowledgments; References; 3. Managing Corporate Liquidity: Strategies and Pricing Implications Attakrit Asvanunt, Mark Broadie and Suresh Sundaresan; 1. Introduction; 1.1. Overview of major results; 1.2. Review of the literature; 2. The Model; 2.1. Basic setup; 2.2. Equity dilution; 2.3. Cash balance. 2.4. Loan commitment3. Welfare and Pricing Under Costly Equity Dilution; 3.1. Exogenous bankruptcy boundary; 3.1.1. Equity value; 3.1.2. Debt value; 3.2. Endogenous bankruptcy boundary; 3.3. Impacts of costly equity dilution; 3.3.1. Security values; 3.3.2. Debt capacity and optimal capital structure; 4. Cash Balances to Manage Illiquidity; 4.1. Optimal level of cash; 4.2. Impacts of cash balance; 5. Loan Commitment; 5.1. Optimal draw down and repayment decisions; 5.2. Impacts of loan commitment; 6. Conclusion; Appendix A; Appendix B; Appendix C; Appendix D; Appendix E; Appendix F. AcknowledgmentReferences; 4. Valuation and Hedging of CDS Counterparty Exposure in a Markov Copula Model T.R. Bielecki, S. Crepey, M. Jeanblanc and B. Zargari; 1. Introduction; 1.1. Outline of the paper; 2. Cash Flows and Pricing in a General Set-Up; 3. Model; 4. Pricing; 5. Hedging of Counterparty Exposure; 5.1. Dynamics of cumulative CVA; 5.1.1. Markovian case; 5.2. Hedging of CVA; 5.2.1. Rolling CDS; 5.2.2. Mean-variance hedging; 6. Model Implementation; 6.1. Marginals; 6.2. Joint defaults; 6.3. Calibration; 7. A Variant of the Model with Extended CIR Intensities; 7.1. Implementation. 8. Numerical Results8.1. Calibration to market data; 8.2. CVA stylized features; 8.3. Case of a low-risk reference entity; 8.4. Spread options implied volatilities; 8.5. The analysis of the contribution of the joint default; 9. Conclusions; Appendix A; Acknowledgments; References; 5. Information-Based Asset Pricing Dorje C. Brody, Lane P. Hughston and Andrea Macrina; 1. Introduction; 2. The Modelling Framework; 3. Modelling the Cash Flows; 4. Modelling the Information Flow; 5. Asset Price Dynamics in the Case of a Single Cash Flow; 6. European-Style Call Options. |
| ctrlnum | (OCoLC)847727014 |
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| illustrated | Illustrated |
| indexdate | 2024-11-26T14:49:10Z |
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| isbn | 9789814407892 9814407895 1283739429 9781283739429 |
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| oclc_num | 847727014 |
| open_access_boolean | |
| owner | MAIN DE-863 DE-BY-FWS |
| owner_facet | MAIN DE-863 DE-BY-FWS |
| physical | 1 online resource (xiii, 583 pages :) : illustrations |
| psigel | ZDB-4-EBU |
| publishDate | 2013 |
| publishDateSearch | 2012 |
| publishDateSort | 2012 |
| publisher | World Scientific Pub. Co. Inc., |
| record_format | marc |
| spelling | Finance at fields / editors, Matheus R. Grasselli, Lane P. Hughston. Singapore : World Scientific Pub. Co. Inc., 2013. 1 online resource (xiii, 583 pages :) : illustrations text txt rdacontent computer c rdamedia online resource cr rdacarrier Includes bibliographical references and index. Preface: Reflections on the Crisis and a Glimpse at the Future of Mathematical Finance Matheus R. Grasselli and Lane P. Hughston; CONTENTS; 1. Heat Kernel Interest Rate Models with Time-Inhomogeneous Markov Processes Jiro Akahori and Andrea Macrina; 1. Introduction; 2. Heat Kernels for Supermartingales; 3. Pricing with Time-Inhomogeneous Markov Information; 4. Explicit Pricing Kernel Models; 5. Fixed-Income Derivatives with Brownian Bridge Information; Acknowledgments; References; 2. Stress Testing the Resilience of Financial Networks Hamed Amini, Rama Cont and Andreea Minca; 1. Introduction. 2. Network Models of Banking Systems2.1. Asymptotic analysis of default cascades in large networks; 2.2. Size of default cascade; 3. Stress Testing; 3.1. Stress testing resilience to macroeconomic shocks; 3.2. An example of infinite network; 3.3. A finite scale-free network; 4. Discussion; Acknowledgments; References; 3. Managing Corporate Liquidity: Strategies and Pricing Implications Attakrit Asvanunt, Mark Broadie and Suresh Sundaresan; 1. Introduction; 1.1. Overview of major results; 1.2. Review of the literature; 2. The Model; 2.1. Basic setup; 2.2. Equity dilution; 2.3. Cash balance. 2.4. Loan commitment3. Welfare and Pricing Under Costly Equity Dilution; 3.1. Exogenous bankruptcy boundary; 3.1.1. Equity value; 3.1.2. Debt value; 3.2. Endogenous bankruptcy boundary; 3.3. Impacts of costly equity dilution; 3.3.1. Security values; 3.3.2. Debt capacity and optimal capital structure; 4. Cash Balances to Manage Illiquidity; 4.1. Optimal level of cash; 4.2. Impacts of cash balance; 5. Loan Commitment; 5.1. Optimal draw down and repayment decisions; 5.2. Impacts of loan commitment; 6. Conclusion; Appendix A; Appendix B; Appendix C; Appendix D; Appendix E; Appendix F. AcknowledgmentReferences; 4. Valuation and Hedging of CDS Counterparty Exposure in a Markov Copula Model T.R. Bielecki, S. Crepey, M. Jeanblanc and B. Zargari; 1. Introduction; 1.1. Outline of the paper; 2. Cash Flows and Pricing in a General Set-Up; 3. Model; 4. Pricing; 5. Hedging of Counterparty Exposure; 5.1. Dynamics of cumulative CVA; 5.1.1. Markovian case; 5.2. Hedging of CVA; 5.2.1. Rolling CDS; 5.2.2. Mean-variance hedging; 6. Model Implementation; 6.1. Marginals; 6.2. Joint defaults; 6.3. Calibration; 7. A Variant of the Model with Extended CIR Intensities; 7.1. Implementation. 8. Numerical Results8.1. Calibration to market data; 8.2. CVA stylized features; 8.3. Case of a low-risk reference entity; 8.4. Spread options implied volatilities; 8.5. The analysis of the contribution of the joint default; 9. Conclusions; Appendix A; Acknowledgments; References; 5. Information-Based Asset Pricing Dorje C. Brody, Lane P. Hughston and Andrea Macrina; 1. Introduction; 2. The Modelling Framework; 3. Modelling the Cash Flows; 4. Modelling the Information Flow; 5. Asset Price Dynamics in the Case of a Single Cash Flow; 6. European-Style Call Options. This outstanding collection of articles includes papers presented at the Fields Institute, Toronto, as part of the Thematic Program in Quantitative Finance that took place in the first six months of the year 2010. The scope of the volume in very broad, including papers on foundational issues in mathematical finance, papers on computational finance, and papers on derivatives and risk management. Many of the articles contain path-breaking insights that are relevant to the developing new order of post-crisis financial risk management. Finance Mathematical models. http://id.loc.gov/authorities/subjects/sh85048260 Options (Finance) Mathematical models. Options (Finance) Prices Mathematical models. Finances Modèles mathématiques. Options (Finances) Modèles mathématiques. Options (Finances) Prix Modèles mathématiques. BUSINESS & ECONOMICS Business Mathematics. bisacsh Finance Mathematical models fast Options (Finance) Mathematical models fast Options (Finance) Prices Mathematical models fast Grasselli, Matheus. Hughston, L. P., 1951- https://id.oclc.org/worldcat/entity/E39PBJkxKvdTqJThD8xHd8gHYP http://id.loc.gov/authorities/names/n79044511 has work: Finance at Fields (Text) https://id.oclc.org/worldcat/entity/E39PCFXt7MMb8BFYRgGXKpGyMK https://id.oclc.org/worldcat/ontology/hasWork Print version: Grasselli, Matheus R. FINANCE AT FIELDS. Singapore : World Scientific, ©2012 9789814407885 FWS01 ZDB-4-EBU FWS_PDA_EBU https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=503416 Volltext |
| spellingShingle | Finance at fields / Preface: Reflections on the Crisis and a Glimpse at the Future of Mathematical Finance Matheus R. Grasselli and Lane P. Hughston; CONTENTS; 1. Heat Kernel Interest Rate Models with Time-Inhomogeneous Markov Processes Jiro Akahori and Andrea Macrina; 1. Introduction; 2. Heat Kernels for Supermartingales; 3. Pricing with Time-Inhomogeneous Markov Information; 4. Explicit Pricing Kernel Models; 5. Fixed-Income Derivatives with Brownian Bridge Information; Acknowledgments; References; 2. Stress Testing the Resilience of Financial Networks Hamed Amini, Rama Cont and Andreea Minca; 1. Introduction. 2. Network Models of Banking Systems2.1. Asymptotic analysis of default cascades in large networks; 2.2. Size of default cascade; 3. Stress Testing; 3.1. Stress testing resilience to macroeconomic shocks; 3.2. An example of infinite network; 3.3. A finite scale-free network; 4. Discussion; Acknowledgments; References; 3. Managing Corporate Liquidity: Strategies and Pricing Implications Attakrit Asvanunt, Mark Broadie and Suresh Sundaresan; 1. Introduction; 1.1. Overview of major results; 1.2. Review of the literature; 2. The Model; 2.1. Basic setup; 2.2. Equity dilution; 2.3. Cash balance. 2.4. Loan commitment3. Welfare and Pricing Under Costly Equity Dilution; 3.1. Exogenous bankruptcy boundary; 3.1.1. Equity value; 3.1.2. Debt value; 3.2. Endogenous bankruptcy boundary; 3.3. Impacts of costly equity dilution; 3.3.1. Security values; 3.3.2. Debt capacity and optimal capital structure; 4. Cash Balances to Manage Illiquidity; 4.1. Optimal level of cash; 4.2. Impacts of cash balance; 5. Loan Commitment; 5.1. Optimal draw down and repayment decisions; 5.2. Impacts of loan commitment; 6. Conclusion; Appendix A; Appendix B; Appendix C; Appendix D; Appendix E; Appendix F. AcknowledgmentReferences; 4. Valuation and Hedging of CDS Counterparty Exposure in a Markov Copula Model T.R. Bielecki, S. Crepey, M. Jeanblanc and B. Zargari; 1. Introduction; 1.1. Outline of the paper; 2. Cash Flows and Pricing in a General Set-Up; 3. Model; 4. Pricing; 5. Hedging of Counterparty Exposure; 5.1. Dynamics of cumulative CVA; 5.1.1. Markovian case; 5.2. Hedging of CVA; 5.2.1. Rolling CDS; 5.2.2. Mean-variance hedging; 6. Model Implementation; 6.1. Marginals; 6.2. Joint defaults; 6.3. Calibration; 7. A Variant of the Model with Extended CIR Intensities; 7.1. Implementation. 8. Numerical Results8.1. Calibration to market data; 8.2. CVA stylized features; 8.3. Case of a low-risk reference entity; 8.4. Spread options implied volatilities; 8.5. The analysis of the contribution of the joint default; 9. Conclusions; Appendix A; Acknowledgments; References; 5. Information-Based Asset Pricing Dorje C. Brody, Lane P. Hughston and Andrea Macrina; 1. Introduction; 2. The Modelling Framework; 3. Modelling the Cash Flows; 4. Modelling the Information Flow; 5. Asset Price Dynamics in the Case of a Single Cash Flow; 6. European-Style Call Options. Finance Mathematical models. http://id.loc.gov/authorities/subjects/sh85048260 Options (Finance) Mathematical models. Options (Finance) Prices Mathematical models. Finances Modèles mathématiques. Options (Finances) Modèles mathématiques. Options (Finances) Prix Modèles mathématiques. BUSINESS & ECONOMICS Business Mathematics. bisacsh Finance Mathematical models fast Options (Finance) Mathematical models fast Options (Finance) Prices Mathematical models fast |
| subject_GND | http://id.loc.gov/authorities/subjects/sh85048260 |
| title | Finance at fields / |
| title_auth | Finance at fields / |
| title_exact_search | Finance at fields / |
| title_full | Finance at fields / editors, Matheus R. Grasselli, Lane P. Hughston. |
| title_fullStr | Finance at fields / editors, Matheus R. Grasselli, Lane P. Hughston. |
| title_full_unstemmed | Finance at fields / editors, Matheus R. Grasselli, Lane P. Hughston. |
| title_short | Finance at fields / |
| title_sort | finance at fields |
| topic | Finance Mathematical models. http://id.loc.gov/authorities/subjects/sh85048260 Options (Finance) Mathematical models. Options (Finance) Prices Mathematical models. Finances Modèles mathématiques. Options (Finances) Modèles mathématiques. Options (Finances) Prix Modèles mathématiques. BUSINESS & ECONOMICS Business Mathematics. bisacsh Finance Mathematical models fast Options (Finance) Mathematical models fast Options (Finance) Prices Mathematical models fast |
| topic_facet | Finance Mathematical models. Options (Finance) Mathematical models. Options (Finance) Prices Mathematical models. Finances Modèles mathématiques. Options (Finances) Modèles mathématiques. Options (Finances) Prix Modèles mathématiques. BUSINESS & ECONOMICS Business Mathematics. Finance Mathematical models Options (Finance) Mathematical models Options (Finance) Prices Mathematical models |
| url | https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=503416 |
| work_keys_str_mv | AT grassellimatheus financeatfields AT hughstonlp financeatfields |