Recent Developments In Mathematical Finance - Proceedings Of The International Conference On Mathematical Finance PDF Download
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Author: Jiongmin Yong
Publisher: World Scientific
ISBN: 9814489697
Category : Mathematics
Languages : en
Pages : 286
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Book Description
The book deals with topics such as the pricing of various contingent claims within different frameworks, risk-sensitive problems, optimal investment, defaultable term structure, etc. It also reflects on some recent developments in certain important aspects of mathematical finance.
Author: Jiongmin Yong
Publisher: World Scientific
ISBN: 9814489697
Category : Mathematics
Languages : en
Pages : 286
Get Book
Book Description
The book deals with topics such as the pricing of various contingent claims within different frameworks, risk-sensitive problems, optimal investment, defaultable term structure, etc. It also reflects on some recent developments in certain important aspects of mathematical finance.
Author: Jiongmin Yong
Publisher: World Scientific
ISBN: 9812799575
Category : Business & Economics
Languages : en
Pages : 286
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Book Description
The book deals with topics such as the pricing of various contingent claims within different frameworks, risk-sensitive problems, optimal investment, defaultable term structure, etc. It also reflects on some recent developments in certain important aspects of mathematical finance. Contents: Intensity-Based Valuation of Basket Credit Derivatives (T R Bielecki & M Rutkowski); Comonotonicity of Backward Stochastic Differential Equations (Z Chen & X Wang); Some Lookback Option Pricing Problems (X Guo); Optimal Investment and Consumption with Fixed and Proportional Transaction Costs (H Liu); Filtration Consistent Nonlinear Expectations (F Coquet et al.); A Theory of Volatility (A Savine); Discrete Time Markets with Transaction Costs (L Stettner); Options on Dividend Paying Stocks (R Beneder & T Vorst); Risk: From Insurance to Finance (H Yang); Arbitrage Pricing Systems in a Market Driven by an It Process (S Luo et al.); and other papers. Readership: Graduate students and researchers in mathematical finance and economics.
Author: Zhiyong Zheng
Publisher: Springer Nature
ISBN: 9819923662
Category : Business & Economics
Languages : en
Pages : 242
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Book Description
This open access book is the documentary of the Second International Forum on Financial Mathematics and Financial Technology, with focus on selected aspects of the current and upcoming trends in FinTech. In detail, the included scientific papers cover financial mathematics and FinTech, presenting the innovative mathematical models and state-of-the-art technologies such as deep learning, with the aim to improve the financial analysis and decision-making and enhance the quality of financial services and risk control. The variety of the papers delivers added value for both scholars and practitioners where they will find perfect integration of elegant mathematical models and up-to-date data mining technologies in financial market analysis. Due to COVID-19, the conference was held virtually on August 13–15, 2021, jointly held by the School of Mathematics of Renmin University of China, the Engineering Research Center of Financial Computing and Digital Engineering of Ministry of Education, the Statistics and Big Data Research Institute of Renmin University of China, the Blockchain Research Institute of Renmin University of China, the Zhongguancun Internet Finance Research Institute, and the Renmin University Press.
Author: Kerry Back
Publisher: Springer
ISBN: 3540446443
Category : Mathematics
Languages : en
Pages : 312
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Book Description
This volume includes the five lecture courses given at the CIME-EMS School on "Stochastic Methods in Finance" held in Bressanone/Brixen, Italy 2003. It deals with innovative methods, mainly from stochastic analysis, that play a fundamental role in the mathematical modelling of finance and insurance: the theory of stochastic processes, optimal and stochastic control, stochastic differential equations, convex analysis and duality theory. Five topics are treated in detail: Utility maximization in incomplete markets; the theory of nonlinear expectations and its relationship with the theory of risk measures in a dynamic setting; credit risk modelling; the interplay between finance and insurance; incomplete information in the context of economic equilibrium and insider trading.
Author: Michael C. Fu
Publisher: Springer Science & Business Media
ISBN: 0817645454
Category : Business & Economics
Languages : en
Pages : 336
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Book Description
This self-contained volume brings together a collection of chapters by some of the most distinguished researchers and practitioners in the field of mathematical finance and financial engineering. Presenting state-of-the-art developments in theory and practice, the book has real-world applications to fixed income models, credit risk models, CDO pricing, tax rebates, tax arbitrage, and tax equilibrium. It is a valuable resource for graduate students, researchers, and practitioners in mathematical finance and financial engineering.
Author: Zhiyong Zheng
Publisher: Springer Nature
ISBN: 9811583730
Category : Business & Economics
Languages : en
Pages : 238
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Book Description
This book contains high-quality papers presented at the First International Forum on Financial Mathematics and Financial Technology. With the rapid development of FinTech, the in-depth integration between mathematics, finance and advanced technology is the general trend. This book focuses on selected aspects of the current and upcoming trends in FinTech. In detail, the included scientific papers focus on financial mathematics and FinTech, presenting the innovative mathematical models and state-of-the-art technologies such as deep learning, with the aim to improve our financial analysis and decision-making and enhance the quality of financial services and risk control. The variety of the papers delivers added value for both scholars and practitioners where they will find perfect integration of elegant mathematical models and up-to-date data mining technologies in financial market analysis.
Author: Antoine Savine
Publisher: John Wiley & Sons
ISBN: 1119539544
Category : Mathematics
Languages : en
Pages : 592
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Book Description
Arguably the strongest addition to numerical finance of the past decade, Algorithmic Adjoint Differentiation (AAD) is the technology implemented in modern financial software to produce thousands of accurate risk sensitivities, within seconds, on light hardware. AAD recently became a centerpiece of modern financial systems and a key skill for all quantitative analysts, developers, risk professionals or anyone involved with derivatives. It is increasingly taught in Masters and PhD programs in finance. Danske Bank's wide scale implementation of AAD in its production and regulatory systems won the In-House System of the Year 2015 Risk award. The Modern Computational Finance books, written by three of the very people who designed Danske Bank's systems, offer a unique insight into the modern implementation of financial models. The volumes combine financial modelling, mathematics and programming to resolve real life financial problems and produce effective derivatives software. This volume is a complete, self-contained learning reference for AAD, and its application in finance. AAD is explained in deep detail throughout chapters that gently lead readers from the theoretical foundations to the most delicate areas of an efficient implementation, such as memory management, parallel implementation and acceleration with expression templates. The book comes with professional source code in C++, including an efficient, up to date implementation of AAD and a generic parallel simulation library. Modern C++, high performance parallel programming and interfacing C++ with Excel are also covered. The book builds the code step-by-step, while the code illustrates the concepts and notions developed in the book.
Author: Mark H A Davis
Publisher: World Scientific
ISBN: 9814578061
Category : Business & Economics
Languages : en
Pages : 416
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Book Description
Over the last two decades, risk-sensitive control has evolved into an innovative and successful framework for solving dynamically a wide range of practical investment management problems. This book shows how to use risk-sensitive investment management to manage portfolios against an investment benchmark, with constraints, and with assets and liabilities. It also addresses model implementation issues in parameter estimation and numerical methods. Most importantly, it shows how to integrate jump-diffusion processes which are crucial to model market crashes. With its emphasis on the interconnection between mathematical techniques and real-world problems, this book will be of interest to both academic researchers and money managers. Risk-sensitive investment management links stochastic control and portfolio management. Because of its distinct emphasis on integrating advanced theoretical concepts into practical dynamic investment management tools, this book stands out from the existing literature in fundamental ways. It goes beyond mainstream research in portfolio management in a traditional static setting. The theoretical developments build on contemporary research in stochastic control theory, but are informed throughout by the need to construct an effective and practical framework for dynamic portfolio management. This book fills a gap in the literature by connecting mathematical techniques with the real world of investment management. Readers seeking to solve key problems such as benchmarked asset management or asset and liability management will certainly find it useful. Contents:Diffusion Models:The Merton ProblemRisk-Sensitive Asset ManagementManaging Against a BenchmarkAsset and Liability ManagementInvestment ConstraintsInfinite Horizon ProblemsJump-Diffusion Models:Jumps in Asset PricesGeneral Jump-Diffusion SettingFund Separation and Fractional Kelly StrategiesManaging Against a Benchmark: Jump-Diffusion CaseAsset and Liability Management: Jump-Diffusion CaseImplementation:Factor and Securities ModelsCase StudiesNumerical MethodsFactor Estimation: Filtering and Black-Litterman Readership: Professionals, researchers, academics and graduate students in the field of investment management, stochastic optimization, stochastic analysis and probability, and quantitative finance. Key Features:Integrates advanced theoretical concepts into practical dynamic investmentDiscusses practical issues that will be relevant to practitioners, including parameter estimation, investment benchmarks, asset and liabilities management (ALM), investment constraints, and the Kelly criterionPresents a thorough treatment of jump diffusion models, including latest developments regarding classical solutions to jump diffusion control problemsWritten by professors with extensive experience on risk sensitive asset management and the relevant financial industry experienceKeywords:Stochastic Control;Risk Sensitive Control;Dynamic Investment Management;Benchmarked Asset Management;Asset and Liability Management;Jump Diffusion Processes;Lévy Processes;HamiltonâJacobiâBellman Equations;Classical Solutions;Viscosity Solutions;Kelly Criterion
Author: Krzysztof Jajuga
Publisher: Springer
ISBN: 3319762281
Category : Business & Economics
Languages : en
Pages : 251
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Book Description
This volume includes a selection of the contributions presented at the Wroclaw conference in Finance, covering a wide range of topics in the area of finance. The articles reflect the extent, diversity and richness of research areas in the field. Discussing both fundamental and applied finance, it offers a detailed analysis of current financial-market problems including specifics of Polish and Central European markets. It also examines the results of advanced financial modeling. These proceedings are a valuable resource for researchers in universities and research and policy institutions, graduate students and practitioners in economics, finance and international economics in both private and government institutions.
Author: Carl Chiarella
Publisher: Springer Science & Business Media
ISBN: 3642034799
Category : Mathematics
Languages : en
Pages : 423
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Book Description
This volume contains a collection of papers dedicated to Professor Eckhard Platen to celebrate his 60th birthday, which occurred in 2009. The contributions have been written by a number of his colleagues and co-authors. All papers have been - viewed and presented as keynote talks at the international conference “Quantitative Methods in Finance” (QMF) in Sydney in December 2009. The QMF Conference Series was initiated by Eckhard Platen in 1993 when he was at the Australian - tional University (ANU) in Canberra. Since joining UTS in 1997 the conference came to be organised on a much larger scale and has grown to become a signi?cant international event in quantitative ?nance. Professor Platen has held the Chair of Quantitative Finance at the University of Technology, Sydney (UTS) jointly in the Faculties of Business and Science since 1997. Prior to this appointment, he was the Founding Head of the Centre for Fin- cial Mathematics at the Institute of Advanced Studies at ANU, a position to which he was appointed in 1994. Eckhard completed a PhD in Mathematics at the Technical University in Dresden in 1975 and in 1985 obtained his Doctor of Science degree (Habilitation degree in the German system) from the Academy of Sciences in Berlin where he headed the Stochastics group at the Weierstrass Institute.
