Model risk in financial markets :: from financial engineering to risk management /
"The financial systems in most developed countries today build up a large amount of model risk on a daily basis. However, this is not particularly visible as the financial risk management agenda is still dominated by the subprime-liquidity crisis, the sovereign crises, and other major political...
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Singapore :
World Scientific,
[2015]
|
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Zusammenfassung: | "The financial systems in most developed countries today build up a large amount of model risk on a daily basis. However, this is not particularly visible as the financial risk management agenda is still dominated by the subprime-liquidity crisis, the sovereign crises, and other major political events. Losses caused by model risk are hard to identify and even when they are internally identified, as such, they are most likely to be classified as normal losses due to market evolution. Model Risk in Financial Markets: From Financial Engineering to Risk Management seeks to change the current perspective on model innovation, implementation and validation. This book presents a wide perspective on model risk related to financial markets, running the gamut from financial engineering to risk management, from financial mathematics to financial statistics. It combines theory and practice, both the classical and modern concepts being introduced for financial modelling. Quantitative finance is a relatively new area of research and much has been written on various directions of research and industry applications. In this book the reader gradually learns to develop a critical view on the fundamental theories and new models being proposed."-- |
| Beschreibung: | 1 online resource |
| Bibliographie: | Includes bibliographical references and index. |
| ISBN: | 9789814663410 9814663417 |
Internformat
MARC
| LEADER | 00000cam a2200000 i 4500 | ||
|---|---|---|---|
| 001 | ZDB-4-EBU-ocn913513820 | ||
| 003 | OCoLC | ||
| 005 | 20241004212047.0 | ||
| 006 | m o d | ||
| 007 | cr cnu---unuuu | ||
| 008 | 150709s2015 si ob 001 0 eng d | ||
| 040 | |a N$T |b eng |e rda |e pn |c N$T |d IDEBK |d N$T |d CDX |d YDXCP |d OCLCF |d OTZ |d EBLCP |d AGLDB |d OCLCQ |d STF |d LEAUB |d AU@ |d UKAHL |d OL$ |d OCLCQ |d OCLCO |d OCLCQ |d OCLCO |d OCLCL |d SXB |d OCLCQ |d OCLCO | ||
| 020 | |a 9789814663410 |q (electronic bk.) | ||
| 020 | |a 9814663417 |q (electronic bk.) | ||
| 020 | |z 9789814663403 | ||
| 020 | |z 9814663409 | ||
| 035 | |a (OCoLC)913513820 | ||
| 050 | 4 | |a HD61 |b .T86 2015 | |
| 072 | 7 | |a BUS |x 027000 |2 bisacsh | |
| 082 | 7 | |a 332/.0415011 |2 23 | |
| 049 | |a MAIN | ||
| 100 | 1 | |a Tunaru, Radu, |e author. |1 https://id.oclc.org/worldcat/entity/E39PCjwT8x64rQhwBGtVVkmR4y |0 http://id.loc.gov/authorities/names/n2015030572 | |
| 245 | 1 | 0 | |a Model risk in financial markets : |b from financial engineering to risk management / |c Radu Tunaru. |
| 264 | 1 | |a Singapore : |b World Scientific, |c [2015] | |
| 264 | 4 | |c ©2015 | |
| 300 | |a 1 online resource | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
| 338 | |a online resource |b cr |2 rdacarrier | ||
| 588 | 0 | |a Online resource; title from PDF title page (EBSCO, viewed July 13, 2015) | |
| 504 | |a Includes bibliographical references and index. | ||
| 520 | |a "The financial systems in most developed countries today build up a large amount of model risk on a daily basis. However, this is not particularly visible as the financial risk management agenda is still dominated by the subprime-liquidity crisis, the sovereign crises, and other major political events. Losses caused by model risk are hard to identify and even when they are internally identified, as such, they are most likely to be classified as normal losses due to market evolution. Model Risk in Financial Markets: From Financial Engineering to Risk Management seeks to change the current perspective on model innovation, implementation and validation. This book presents a wide perspective on model risk related to financial markets, running the gamut from financial engineering to risk management, from financial mathematics to financial statistics. It combines theory and practice, both the classical and modern concepts being introduced for financial modelling. Quantitative finance is a relatively new area of research and much has been written on various directions of research and industry applications. In this book the reader gradually learns to develop a critical view on the fundamental theories and new models being proposed."-- |c Provided by publisher | ||
| 505 | 0 | |a Preface; List of Notations; List of Figures; List of Tables; 1. Introduction; 2. Fundamental Relationships; 2.1 Introduction; 2.2 Present Value; 2.3 Constant Relative Risk Aversion Utility; 2.4 Risk versus Return: The Sharpe Ratio; 2.4.1 Issues related to non-normality; 2.4.2 The Sharpe ratio and negative returns; 2.5 APT; 2.6 Notes and Summary; 3. Model Risk in Interest Rate Modelling; 3.1 Introduction; 3.2 Short Rate Models; 3.3 Theory of Interest Rate Term Structure; 3.3.1 Expectations Hypothesis; 3.3.1.1 General view; 3.3.1.2 Expectations hypothesis and compatible equilibrium | |
| 505 | 8 | |a 3.3.2 A reexamination of Log EH3.3.3 Reconciling the arguments and examples; 3.4 Yield Curve; 3.4.1 Parallel shift of a flat yield curve; 3.4.2 Another proof that the yield curve cannot be flat; 3.4.3 Deterministic maturity independent yields; 3.4.4 Consol modelling; 3.5 Interest Rate Forward Curve Modelling; 3.6 One-factor or Multi-factor models; 3.7 Notes and Summary; 4. Arbitrage Theory; 4.1 Introduction; 4.2 Transaction Costs; 4.3 Arbitrage; 4.3.1 Non-convergence financial gain process; 4.3.2 Distortion operator with arbitrage; 4.4 Notes and Summary | |
| 505 | 8 | |a 5. Derivatives Pricing Under Uncertainty5.1 Introduction to Model Risk; 5.1.1 Parameter estimation risk; 5.1.2 Model selection risk; 5.1.3 Model identification risk; 5.1.4 Computational implementation risk; 5.1.5 Model protocol risk; 5.2 Uncertain Volatility; 5.2.1 An option pricing model with uncertain volatility; 5.3 Option Pricing under Uncertainty in Complete Markets; 5.3.1 Parameter uncertainty; 5.3.1.1 Models with an exact SDE solution; 5.3.1.2 Models without an exact SDE solution; 5.3.2 Model uncertainty; 5.3.3 Numerical examples | |
| 505 | 8 | |a 5.3.4 Accounting for parameter estimation risk in the Black-Scholes model5.3.5 Accounting for parameter estimation risk in the CEV model; 5.4 A Simple Measure of Parameter Uncertainty Risk; 5.5 Bayesian Option Pricing; 5.5.1 Modelling the future asset value under physical measure; 5.5.2 Modelling the current asset value under a risk neutral measure; 5.6 Measuring Model Uncertainty; 5.6.1 Worst case risk measure; 5.7 Cont's Framework for Model Uncertainty; 5.7.1 An axiomatic approach; 5.7.2 A coherent measure of model risk; 5.7.3 A convex measure of model risk; 5.8 Notes and Summary | |
| 505 | 8 | |a 6. Portfolio Selection under Uncertainty6.1 Introduction to Model Risk for Portfolio Analysis; 6.2 Bayesian Averaging for Portfolio Analysis; 6.2.1 Empirical Bayes priors; 6.2.2 Marginal likelihood calculations; 6.3 Portfolio Optimization; 6.3.1 Portfolio optimisation with stochastic interest rates; 6.3.1.1 Dothan model; 6.3.1.2 CIR model; 6.3.2 Stochastic market price of risk; 6.3.3 Stochastic volatility; 6.4 Notes and Summary; 7. Probability Pitfalls of Financial Calculus; 7.1 Introduction; 7.2 Probability Distribution Functions and Density Functions; 7.3 Gaussian Distribution; 7.4 Moments | |
| 650 | 0 | |a Financial risk management. |0 http://id.loc.gov/authorities/subjects/sh2005007073 | |
| 650 | 0 | |a Risk management. |0 http://id.loc.gov/authorities/subjects/sh85114200 | |
| 650 | 0 | |a Financial engineering. |0 http://id.loc.gov/authorities/subjects/sh91003887 | |
| 650 | 6 | |a Finances |x Gestion du risque. | |
| 650 | 6 | |a Gestion du risque. | |
| 650 | 6 | |a Ingénierie financière. | |
| 650 | 7 | |a risk management. |2 aat | |
| 650 | 7 | |a BUSINESS & ECONOMICS |x Finance. |2 bisacsh | |
| 650 | 7 | |a Financial engineering |2 fast | |
| 650 | 7 | |a Financial risk management |2 fast | |
| 650 | 7 | |a Risk management |2 fast | |
| 758 | |i has work: |a Model risk in financial markets (Text) |1 https://id.oclc.org/worldcat/entity/E39PCGGXHXhXGPcBfQRh88kDD3 |4 https://id.oclc.org/worldcat/ontology/hasWork | ||
| 856 | 4 | 0 | |l FWS01 |p ZDB-4-EBU |q FWS_PDA_EBU |u https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=1022262 |3 Volltext |
| 938 | |a Askews and Holts Library Services |b ASKH |n AH28816140 | ||
| 938 | |a Coutts Information Services |b COUT |n 31971540 | ||
| 938 | |a ProQuest Ebook Central |b EBLB |n EBL4420805 | ||
| 938 | |a EBSCOhost |b EBSC |n 1022262 | ||
| 938 | |a ProQuest MyiLibrary Digital eBook Collection |b IDEB |n cis31971540 | ||
| 938 | |a YBP Library Services |b YANK |n 12508498 | ||
| 994 | |a 92 |b GEBAY | ||
| 912 | |a ZDB-4-EBU | ||
| 049 | |a DE-863 | ||
Datensatz im Suchindex
| DE-BY-FWS_katkey | ZDB-4-EBU-ocn913513820 |
|---|---|
| _version_ | 1816796919219879936 |
| adam_text | |
| any_adam_object | |
| author | Tunaru, Radu |
| author_GND | http://id.loc.gov/authorities/names/n2015030572 |
| author_facet | Tunaru, Radu |
| author_role | aut |
| author_sort | Tunaru, Radu |
| author_variant | r t rt |
| building | Verbundindex |
| bvnumber | localFWS |
| callnumber-first | H - Social Science |
| callnumber-label | HD61 |
| callnumber-raw | HD61 .T86 2015 |
| callnumber-search | HD61 .T86 2015 |
| callnumber-sort | HD 261 T86 42015 |
| callnumber-subject | HD - Industries, Land Use, Labor |
| collection | ZDB-4-EBU |
| contents | Preface; List of Notations; List of Figures; List of Tables; 1. Introduction; 2. Fundamental Relationships; 2.1 Introduction; 2.2 Present Value; 2.3 Constant Relative Risk Aversion Utility; 2.4 Risk versus Return: The Sharpe Ratio; 2.4.1 Issues related to non-normality; 2.4.2 The Sharpe ratio and negative returns; 2.5 APT; 2.6 Notes and Summary; 3. Model Risk in Interest Rate Modelling; 3.1 Introduction; 3.2 Short Rate Models; 3.3 Theory of Interest Rate Term Structure; 3.3.1 Expectations Hypothesis; 3.3.1.1 General view; 3.3.1.2 Expectations hypothesis and compatible equilibrium 3.3.2 A reexamination of Log EH3.3.3 Reconciling the arguments and examples; 3.4 Yield Curve; 3.4.1 Parallel shift of a flat yield curve; 3.4.2 Another proof that the yield curve cannot be flat; 3.4.3 Deterministic maturity independent yields; 3.4.4 Consol modelling; 3.5 Interest Rate Forward Curve Modelling; 3.6 One-factor or Multi-factor models; 3.7 Notes and Summary; 4. Arbitrage Theory; 4.1 Introduction; 4.2 Transaction Costs; 4.3 Arbitrage; 4.3.1 Non-convergence financial gain process; 4.3.2 Distortion operator with arbitrage; 4.4 Notes and Summary 5. Derivatives Pricing Under Uncertainty5.1 Introduction to Model Risk; 5.1.1 Parameter estimation risk; 5.1.2 Model selection risk; 5.1.3 Model identification risk; 5.1.4 Computational implementation risk; 5.1.5 Model protocol risk; 5.2 Uncertain Volatility; 5.2.1 An option pricing model with uncertain volatility; 5.3 Option Pricing under Uncertainty in Complete Markets; 5.3.1 Parameter uncertainty; 5.3.1.1 Models with an exact SDE solution; 5.3.1.2 Models without an exact SDE solution; 5.3.2 Model uncertainty; 5.3.3 Numerical examples 5.3.4 Accounting for parameter estimation risk in the Black-Scholes model5.3.5 Accounting for parameter estimation risk in the CEV model; 5.4 A Simple Measure of Parameter Uncertainty Risk; 5.5 Bayesian Option Pricing; 5.5.1 Modelling the future asset value under physical measure; 5.5.2 Modelling the current asset value under a risk neutral measure; 5.6 Measuring Model Uncertainty; 5.6.1 Worst case risk measure; 5.7 Cont's Framework for Model Uncertainty; 5.7.1 An axiomatic approach; 5.7.2 A coherent measure of model risk; 5.7.3 A convex measure of model risk; 5.8 Notes and Summary 6. Portfolio Selection under Uncertainty6.1 Introduction to Model Risk for Portfolio Analysis; 6.2 Bayesian Averaging for Portfolio Analysis; 6.2.1 Empirical Bayes priors; 6.2.2 Marginal likelihood calculations; 6.3 Portfolio Optimization; 6.3.1 Portfolio optimisation with stochastic interest rates; 6.3.1.1 Dothan model; 6.3.1.2 CIR model; 6.3.2 Stochastic market price of risk; 6.3.3 Stochastic volatility; 6.4 Notes and Summary; 7. Probability Pitfalls of Financial Calculus; 7.1 Introduction; 7.2 Probability Distribution Functions and Density Functions; 7.3 Gaussian Distribution; 7.4 Moments |
| ctrlnum | (OCoLC)913513820 |
| dewey-full | 332/.0415011 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332/.0415011 |
| dewey-search | 332/.0415011 |
| dewey-sort | 3332 6415011 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Electronic eBook |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>06869cam a2200649 i 4500</leader><controlfield tag="001">ZDB-4-EBU-ocn913513820</controlfield><controlfield tag="003">OCoLC</controlfield><controlfield tag="005">20241004212047.0</controlfield><controlfield tag="006">m o d </controlfield><controlfield tag="007">cr cnu---unuuu</controlfield><controlfield tag="008">150709s2015 si ob 001 0 eng d</controlfield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">N$T</subfield><subfield code="b">eng</subfield><subfield code="e">rda</subfield><subfield code="e">pn</subfield><subfield code="c">N$T</subfield><subfield code="d">IDEBK</subfield><subfield code="d">N$T</subfield><subfield code="d">CDX</subfield><subfield code="d">YDXCP</subfield><subfield code="d">OCLCF</subfield><subfield code="d">OTZ</subfield><subfield code="d">EBLCP</subfield><subfield code="d">AGLDB</subfield><subfield code="d">OCLCQ</subfield><subfield code="d">STF</subfield><subfield code="d">LEAUB</subfield><subfield code="d">AU@</subfield><subfield code="d">UKAHL</subfield><subfield code="d">OL$</subfield><subfield code="d">OCLCQ</subfield><subfield code="d">OCLCO</subfield><subfield code="d">OCLCQ</subfield><subfield code="d">OCLCO</subfield><subfield code="d">OCLCL</subfield><subfield code="d">SXB</subfield><subfield code="d">OCLCQ</subfield><subfield code="d">OCLCO</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">9789814663410</subfield><subfield code="q">(electronic bk.)</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">9814663417</subfield><subfield code="q">(electronic bk.)</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="z">9789814663403</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="z">9814663409</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)913513820</subfield></datafield><datafield tag="050" ind1=" " ind2="4"><subfield code="a">HD61</subfield><subfield code="b">.T86 2015</subfield></datafield><datafield tag="072" ind1=" " ind2="7"><subfield code="a">BUS</subfield><subfield code="x">027000</subfield><subfield code="2">bisacsh</subfield></datafield><datafield tag="082" ind1="7" ind2=" "><subfield code="a">332/.0415011</subfield><subfield code="2">23</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">MAIN</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Tunaru, Radu,</subfield><subfield code="e">author.</subfield><subfield code="1">https://id.oclc.org/worldcat/entity/E39PCjwT8x64rQhwBGtVVkmR4y</subfield><subfield code="0">http://id.loc.gov/authorities/names/n2015030572</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Model risk in financial markets :</subfield><subfield code="b">from financial engineering to risk management /</subfield><subfield code="c">Radu Tunaru.</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">Singapore :</subfield><subfield code="b">World Scientific,</subfield><subfield code="c">[2015]</subfield></datafield><datafield tag="264" ind1=" " ind2="4"><subfield code="c">©2015</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">1 online resource</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="a">text</subfield><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="a">computer</subfield><subfield code="b">c</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="a">online resource</subfield><subfield code="b">cr</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="588" ind1="0" ind2=" "><subfield code="a">Online resource; title from PDF title page (EBSCO, viewed July 13, 2015)</subfield></datafield><datafield tag="504" ind1=" " ind2=" "><subfield code="a">Includes bibliographical references and index.</subfield></datafield><datafield tag="520" ind1=" " ind2=" "><subfield code="a">"The financial systems in most developed countries today build up a large amount of model risk on a daily basis. However, this is not particularly visible as the financial risk management agenda is still dominated by the subprime-liquidity crisis, the sovereign crises, and other major political events. Losses caused by model risk are hard to identify and even when they are internally identified, as such, they are most likely to be classified as normal losses due to market evolution. Model Risk in Financial Markets: From Financial Engineering to Risk Management seeks to change the current perspective on model innovation, implementation and validation. This book presents a wide perspective on model risk related to financial markets, running the gamut from financial engineering to risk management, from financial mathematics to financial statistics. It combines theory and practice, both the classical and modern concepts being introduced for financial modelling. Quantitative finance is a relatively new area of research and much has been written on various directions of research and industry applications. In this book the reader gradually learns to develop a critical view on the fundamental theories and new models being proposed."--</subfield><subfield code="c">Provided by publisher</subfield></datafield><datafield tag="505" ind1="0" ind2=" "><subfield code="a">Preface; List of Notations; List of Figures; List of Tables; 1. Introduction; 2. Fundamental Relationships; 2.1 Introduction; 2.2 Present Value; 2.3 Constant Relative Risk Aversion Utility; 2.4 Risk versus Return: The Sharpe Ratio; 2.4.1 Issues related to non-normality; 2.4.2 The Sharpe ratio and negative returns; 2.5 APT; 2.6 Notes and Summary; 3. Model Risk in Interest Rate Modelling; 3.1 Introduction; 3.2 Short Rate Models; 3.3 Theory of Interest Rate Term Structure; 3.3.1 Expectations Hypothesis; 3.3.1.1 General view; 3.3.1.2 Expectations hypothesis and compatible equilibrium</subfield></datafield><datafield tag="505" ind1="8" ind2=" "><subfield code="a">3.3.2 A reexamination of Log EH3.3.3 Reconciling the arguments and examples; 3.4 Yield Curve; 3.4.1 Parallel shift of a flat yield curve; 3.4.2 Another proof that the yield curve cannot be flat; 3.4.3 Deterministic maturity independent yields; 3.4.4 Consol modelling; 3.5 Interest Rate Forward Curve Modelling; 3.6 One-factor or Multi-factor models; 3.7 Notes and Summary; 4. Arbitrage Theory; 4.1 Introduction; 4.2 Transaction Costs; 4.3 Arbitrage; 4.3.1 Non-convergence financial gain process; 4.3.2 Distortion operator with arbitrage; 4.4 Notes and Summary</subfield></datafield><datafield tag="505" ind1="8" ind2=" "><subfield code="a">5. Derivatives Pricing Under Uncertainty5.1 Introduction to Model Risk; 5.1.1 Parameter estimation risk; 5.1.2 Model selection risk; 5.1.3 Model identification risk; 5.1.4 Computational implementation risk; 5.1.5 Model protocol risk; 5.2 Uncertain Volatility; 5.2.1 An option pricing model with uncertain volatility; 5.3 Option Pricing under Uncertainty in Complete Markets; 5.3.1 Parameter uncertainty; 5.3.1.1 Models with an exact SDE solution; 5.3.1.2 Models without an exact SDE solution; 5.3.2 Model uncertainty; 5.3.3 Numerical examples</subfield></datafield><datafield tag="505" ind1="8" ind2=" "><subfield code="a">5.3.4 Accounting for parameter estimation risk in the Black-Scholes model5.3.5 Accounting for parameter estimation risk in the CEV model; 5.4 A Simple Measure of Parameter Uncertainty Risk; 5.5 Bayesian Option Pricing; 5.5.1 Modelling the future asset value under physical measure; 5.5.2 Modelling the current asset value under a risk neutral measure; 5.6 Measuring Model Uncertainty; 5.6.1 Worst case risk measure; 5.7 Cont's Framework for Model Uncertainty; 5.7.1 An axiomatic approach; 5.7.2 A coherent measure of model risk; 5.7.3 A convex measure of model risk; 5.8 Notes and Summary</subfield></datafield><datafield tag="505" ind1="8" ind2=" "><subfield code="a">6. Portfolio Selection under Uncertainty6.1 Introduction to Model Risk for Portfolio Analysis; 6.2 Bayesian Averaging for Portfolio Analysis; 6.2.1 Empirical Bayes priors; 6.2.2 Marginal likelihood calculations; 6.3 Portfolio Optimization; 6.3.1 Portfolio optimisation with stochastic interest rates; 6.3.1.1 Dothan model; 6.3.1.2 CIR model; 6.3.2 Stochastic market price of risk; 6.3.3 Stochastic volatility; 6.4 Notes and Summary; 7. Probability Pitfalls of Financial Calculus; 7.1 Introduction; 7.2 Probability Distribution Functions and Density Functions; 7.3 Gaussian Distribution; 7.4 Moments</subfield></datafield><datafield tag="650" ind1=" " ind2="0"><subfield code="a">Financial risk management.</subfield><subfield code="0">http://id.loc.gov/authorities/subjects/sh2005007073</subfield></datafield><datafield tag="650" ind1=" " ind2="0"><subfield code="a">Risk management.</subfield><subfield code="0">http://id.loc.gov/authorities/subjects/sh85114200</subfield></datafield><datafield tag="650" ind1=" " ind2="0"><subfield code="a">Financial engineering.</subfield><subfield code="0">http://id.loc.gov/authorities/subjects/sh91003887</subfield></datafield><datafield tag="650" ind1=" " ind2="6"><subfield code="a">Finances</subfield><subfield code="x">Gestion du risque.</subfield></datafield><datafield tag="650" ind1=" " ind2="6"><subfield code="a">Gestion du risque.</subfield></datafield><datafield tag="650" ind1=" " ind2="6"><subfield code="a">Ingénierie financière.</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">risk management.</subfield><subfield code="2">aat</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">BUSINESS & ECONOMICS</subfield><subfield code="x">Finance.</subfield><subfield code="2">bisacsh</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Financial engineering</subfield><subfield code="2">fast</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Financial risk management</subfield><subfield code="2">fast</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Risk management</subfield><subfield code="2">fast</subfield></datafield><datafield tag="758" ind1=" " ind2=" "><subfield code="i">has work:</subfield><subfield code="a">Model risk in financial markets (Text)</subfield><subfield code="1">https://id.oclc.org/worldcat/entity/E39PCGGXHXhXGPcBfQRh88kDD3</subfield><subfield code="4">https://id.oclc.org/worldcat/ontology/hasWork</subfield></datafield><datafield tag="856" ind1="4" ind2="0"><subfield code="l">FWS01</subfield><subfield code="p">ZDB-4-EBU</subfield><subfield code="q">FWS_PDA_EBU</subfield><subfield code="u">https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=1022262</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="938" ind1=" " ind2=" "><subfield code="a">Askews and Holts Library Services</subfield><subfield code="b">ASKH</subfield><subfield code="n">AH28816140</subfield></datafield><datafield tag="938" ind1=" " ind2=" "><subfield code="a">Coutts Information Services</subfield><subfield code="b">COUT</subfield><subfield code="n">31971540</subfield></datafield><datafield tag="938" ind1=" " ind2=" "><subfield code="a">ProQuest Ebook Central</subfield><subfield code="b">EBLB</subfield><subfield code="n">EBL4420805</subfield></datafield><datafield tag="938" ind1=" " ind2=" "><subfield code="a">EBSCOhost</subfield><subfield code="b">EBSC</subfield><subfield code="n">1022262</subfield></datafield><datafield tag="938" ind1=" " ind2=" "><subfield code="a">ProQuest MyiLibrary Digital eBook Collection</subfield><subfield code="b">IDEB</subfield><subfield code="n">cis31971540</subfield></datafield><datafield tag="938" ind1=" " ind2=" "><subfield code="a">YBP Library Services</subfield><subfield code="b">YANK</subfield><subfield code="n">12508498</subfield></datafield><datafield tag="994" ind1=" " ind2=" "><subfield code="a">92</subfield><subfield code="b">GEBAY</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">ZDB-4-EBU</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-863</subfield></datafield></record></collection> |
| id | ZDB-4-EBU-ocn913513820 |
| illustrated | Not Illustrated |
| indexdate | 2024-11-26T14:49:19Z |
| institution | BVB |
| isbn | 9789814663410 9814663417 |
| language | English |
| oclc_num | 913513820 |
| open_access_boolean | |
| owner | MAIN DE-863 DE-BY-FWS |
| owner_facet | MAIN DE-863 DE-BY-FWS |
| physical | 1 online resource |
| psigel | ZDB-4-EBU |
| publishDate | 2015 |
| publishDateSearch | 2015 |
| publishDateSort | 2015 |
| publisher | World Scientific, |
| record_format | marc |
| spelling | Tunaru, Radu, author. https://id.oclc.org/worldcat/entity/E39PCjwT8x64rQhwBGtVVkmR4y http://id.loc.gov/authorities/names/n2015030572 Model risk in financial markets : from financial engineering to risk management / Radu Tunaru. Singapore : World Scientific, [2015] ©2015 1 online resource text txt rdacontent computer c rdamedia online resource cr rdacarrier Online resource; title from PDF title page (EBSCO, viewed July 13, 2015) Includes bibliographical references and index. "The financial systems in most developed countries today build up a large amount of model risk on a daily basis. However, this is not particularly visible as the financial risk management agenda is still dominated by the subprime-liquidity crisis, the sovereign crises, and other major political events. Losses caused by model risk are hard to identify and even when they are internally identified, as such, they are most likely to be classified as normal losses due to market evolution. Model Risk in Financial Markets: From Financial Engineering to Risk Management seeks to change the current perspective on model innovation, implementation and validation. This book presents a wide perspective on model risk related to financial markets, running the gamut from financial engineering to risk management, from financial mathematics to financial statistics. It combines theory and practice, both the classical and modern concepts being introduced for financial modelling. Quantitative finance is a relatively new area of research and much has been written on various directions of research and industry applications. In this book the reader gradually learns to develop a critical view on the fundamental theories and new models being proposed."-- Provided by publisher Preface; List of Notations; List of Figures; List of Tables; 1. Introduction; 2. Fundamental Relationships; 2.1 Introduction; 2.2 Present Value; 2.3 Constant Relative Risk Aversion Utility; 2.4 Risk versus Return: The Sharpe Ratio; 2.4.1 Issues related to non-normality; 2.4.2 The Sharpe ratio and negative returns; 2.5 APT; 2.6 Notes and Summary; 3. Model Risk in Interest Rate Modelling; 3.1 Introduction; 3.2 Short Rate Models; 3.3 Theory of Interest Rate Term Structure; 3.3.1 Expectations Hypothesis; 3.3.1.1 General view; 3.3.1.2 Expectations hypothesis and compatible equilibrium 3.3.2 A reexamination of Log EH3.3.3 Reconciling the arguments and examples; 3.4 Yield Curve; 3.4.1 Parallel shift of a flat yield curve; 3.4.2 Another proof that the yield curve cannot be flat; 3.4.3 Deterministic maturity independent yields; 3.4.4 Consol modelling; 3.5 Interest Rate Forward Curve Modelling; 3.6 One-factor or Multi-factor models; 3.7 Notes and Summary; 4. Arbitrage Theory; 4.1 Introduction; 4.2 Transaction Costs; 4.3 Arbitrage; 4.3.1 Non-convergence financial gain process; 4.3.2 Distortion operator with arbitrage; 4.4 Notes and Summary 5. Derivatives Pricing Under Uncertainty5.1 Introduction to Model Risk; 5.1.1 Parameter estimation risk; 5.1.2 Model selection risk; 5.1.3 Model identification risk; 5.1.4 Computational implementation risk; 5.1.5 Model protocol risk; 5.2 Uncertain Volatility; 5.2.1 An option pricing model with uncertain volatility; 5.3 Option Pricing under Uncertainty in Complete Markets; 5.3.1 Parameter uncertainty; 5.3.1.1 Models with an exact SDE solution; 5.3.1.2 Models without an exact SDE solution; 5.3.2 Model uncertainty; 5.3.3 Numerical examples 5.3.4 Accounting for parameter estimation risk in the Black-Scholes model5.3.5 Accounting for parameter estimation risk in the CEV model; 5.4 A Simple Measure of Parameter Uncertainty Risk; 5.5 Bayesian Option Pricing; 5.5.1 Modelling the future asset value under physical measure; 5.5.2 Modelling the current asset value under a risk neutral measure; 5.6 Measuring Model Uncertainty; 5.6.1 Worst case risk measure; 5.7 Cont's Framework for Model Uncertainty; 5.7.1 An axiomatic approach; 5.7.2 A coherent measure of model risk; 5.7.3 A convex measure of model risk; 5.8 Notes and Summary 6. Portfolio Selection under Uncertainty6.1 Introduction to Model Risk for Portfolio Analysis; 6.2 Bayesian Averaging for Portfolio Analysis; 6.2.1 Empirical Bayes priors; 6.2.2 Marginal likelihood calculations; 6.3 Portfolio Optimization; 6.3.1 Portfolio optimisation with stochastic interest rates; 6.3.1.1 Dothan model; 6.3.1.2 CIR model; 6.3.2 Stochastic market price of risk; 6.3.3 Stochastic volatility; 6.4 Notes and Summary; 7. Probability Pitfalls of Financial Calculus; 7.1 Introduction; 7.2 Probability Distribution Functions and Density Functions; 7.3 Gaussian Distribution; 7.4 Moments Financial risk management. http://id.loc.gov/authorities/subjects/sh2005007073 Risk management. http://id.loc.gov/authorities/subjects/sh85114200 Financial engineering. http://id.loc.gov/authorities/subjects/sh91003887 Finances Gestion du risque. Gestion du risque. Ingénierie financière. risk management. aat BUSINESS & ECONOMICS Finance. bisacsh Financial engineering fast Financial risk management fast Risk management fast has work: Model risk in financial markets (Text) https://id.oclc.org/worldcat/entity/E39PCGGXHXhXGPcBfQRh88kDD3 https://id.oclc.org/worldcat/ontology/hasWork FWS01 ZDB-4-EBU FWS_PDA_EBU https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=1022262 Volltext |
| spellingShingle | Tunaru, Radu Model risk in financial markets : from financial engineering to risk management / Preface; List of Notations; List of Figures; List of Tables; 1. Introduction; 2. Fundamental Relationships; 2.1 Introduction; 2.2 Present Value; 2.3 Constant Relative Risk Aversion Utility; 2.4 Risk versus Return: The Sharpe Ratio; 2.4.1 Issues related to non-normality; 2.4.2 The Sharpe ratio and negative returns; 2.5 APT; 2.6 Notes and Summary; 3. Model Risk in Interest Rate Modelling; 3.1 Introduction; 3.2 Short Rate Models; 3.3 Theory of Interest Rate Term Structure; 3.3.1 Expectations Hypothesis; 3.3.1.1 General view; 3.3.1.2 Expectations hypothesis and compatible equilibrium 3.3.2 A reexamination of Log EH3.3.3 Reconciling the arguments and examples; 3.4 Yield Curve; 3.4.1 Parallel shift of a flat yield curve; 3.4.2 Another proof that the yield curve cannot be flat; 3.4.3 Deterministic maturity independent yields; 3.4.4 Consol modelling; 3.5 Interest Rate Forward Curve Modelling; 3.6 One-factor or Multi-factor models; 3.7 Notes and Summary; 4. Arbitrage Theory; 4.1 Introduction; 4.2 Transaction Costs; 4.3 Arbitrage; 4.3.1 Non-convergence financial gain process; 4.3.2 Distortion operator with arbitrage; 4.4 Notes and Summary 5. Derivatives Pricing Under Uncertainty5.1 Introduction to Model Risk; 5.1.1 Parameter estimation risk; 5.1.2 Model selection risk; 5.1.3 Model identification risk; 5.1.4 Computational implementation risk; 5.1.5 Model protocol risk; 5.2 Uncertain Volatility; 5.2.1 An option pricing model with uncertain volatility; 5.3 Option Pricing under Uncertainty in Complete Markets; 5.3.1 Parameter uncertainty; 5.3.1.1 Models with an exact SDE solution; 5.3.1.2 Models without an exact SDE solution; 5.3.2 Model uncertainty; 5.3.3 Numerical examples 5.3.4 Accounting for parameter estimation risk in the Black-Scholes model5.3.5 Accounting for parameter estimation risk in the CEV model; 5.4 A Simple Measure of Parameter Uncertainty Risk; 5.5 Bayesian Option Pricing; 5.5.1 Modelling the future asset value under physical measure; 5.5.2 Modelling the current asset value under a risk neutral measure; 5.6 Measuring Model Uncertainty; 5.6.1 Worst case risk measure; 5.7 Cont's Framework for Model Uncertainty; 5.7.1 An axiomatic approach; 5.7.2 A coherent measure of model risk; 5.7.3 A convex measure of model risk; 5.8 Notes and Summary 6. Portfolio Selection under Uncertainty6.1 Introduction to Model Risk for Portfolio Analysis; 6.2 Bayesian Averaging for Portfolio Analysis; 6.2.1 Empirical Bayes priors; 6.2.2 Marginal likelihood calculations; 6.3 Portfolio Optimization; 6.3.1 Portfolio optimisation with stochastic interest rates; 6.3.1.1 Dothan model; 6.3.1.2 CIR model; 6.3.2 Stochastic market price of risk; 6.3.3 Stochastic volatility; 6.4 Notes and Summary; 7. Probability Pitfalls of Financial Calculus; 7.1 Introduction; 7.2 Probability Distribution Functions and Density Functions; 7.3 Gaussian Distribution; 7.4 Moments Financial risk management. http://id.loc.gov/authorities/subjects/sh2005007073 Risk management. http://id.loc.gov/authorities/subjects/sh85114200 Financial engineering. http://id.loc.gov/authorities/subjects/sh91003887 Finances Gestion du risque. Gestion du risque. Ingénierie financière. risk management. aat BUSINESS & ECONOMICS Finance. bisacsh Financial engineering fast Financial risk management fast Risk management fast |
| subject_GND | http://id.loc.gov/authorities/subjects/sh2005007073 http://id.loc.gov/authorities/subjects/sh85114200 http://id.loc.gov/authorities/subjects/sh91003887 |
| title | Model risk in financial markets : from financial engineering to risk management / |
| title_auth | Model risk in financial markets : from financial engineering to risk management / |
| title_exact_search | Model risk in financial markets : from financial engineering to risk management / |
| title_full | Model risk in financial markets : from financial engineering to risk management / Radu Tunaru. |
| title_fullStr | Model risk in financial markets : from financial engineering to risk management / Radu Tunaru. |
| title_full_unstemmed | Model risk in financial markets : from financial engineering to risk management / Radu Tunaru. |
| title_short | Model risk in financial markets : |
| title_sort | model risk in financial markets from financial engineering to risk management |
| title_sub | from financial engineering to risk management / |
| topic | Financial risk management. http://id.loc.gov/authorities/subjects/sh2005007073 Risk management. http://id.loc.gov/authorities/subjects/sh85114200 Financial engineering. http://id.loc.gov/authorities/subjects/sh91003887 Finances Gestion du risque. Gestion du risque. Ingénierie financière. risk management. aat BUSINESS & ECONOMICS Finance. bisacsh Financial engineering fast Financial risk management fast Risk management fast |
| topic_facet | Financial risk management. Risk management. Financial engineering. Finances Gestion du risque. Gestion du risque. Ingénierie financière. risk management. BUSINESS & ECONOMICS Finance. Financial engineering Financial risk management Risk management |
| url | https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=1022262 |
| work_keys_str_mv | AT tunaruradu modelriskinfinancialmarketsfromfinancialengineeringtoriskmanagement |