| 청구기호 |
H61.25 |
| 형태사항 |
XI, 438 p. 84 illus. online resource.
|
| 언어 |
English |
| 내용 |
Part I Markets, Regulation, and Model Risk -- A Random Holding Period Approach for Liquidity-Inclusive Risk Management -- Regulatory Developments in Risk Management: Restoring Confidence in Internal Models -- Model Risk in Incomplete Markets with Jumps -- Part II Financial Engineering -- Bid-Ask Spread for Exotic Options Under Conic Finance -- Derivative Pricing Under the Possibility of Long Memory in the supOU Stochastic Volatility Model -- A Two-Sided BNS Model for Multicurrency FX Markets -- Modeling the Price of Natural Gas with Temperature and Oil Price as Exogenous Factors -- Copula-Specific Credit Portfolio Modeling -- Implied Recovery Rates—Auctions and Models -- Upside and Downside Risk Exposures of Currency Carry Trades via Tail Dependence -- Part III Insurance Risk and Asset Management -- Participating Life Insurance Contracts Under Risk Based Solvency Frameworks: How to Increase Capital Efficiency by Product Design -- Reducing Surrender Incentives Through Fee Structure in Variable Annuities -- A Variational Approach for Mean-Variance-Optimal Deterministic Consumption and Investment -- Risk Control in Asset Management: Motives and Concepts -- Worst-Case Scenario Portfolio Optimization Given the Probability of a Crash -- Improving Optimal Terminal Value Replicating Portfolios -- Part IV Computational Methods for Risk Management -- Risk and Computation -- Extreme Value Importance Sampling for Rare Event Risk Measurement -- A Note on the Numerical Evaluation of the Hartman–Watson Density and Distribution Function -- Computation of Copulas by Fourier Methods -- Part V Dependence Modelling -- Goodness-of-fit Tests for Archimedean Copulas in High Dimensions -- Duality in Risk Aggregation -- Some Consequences of the Markov Kernel Perspective of Copulas -- Copula Representations for Invariant Dependence Functions -- Nonparametric Copula Density Estimation Using a Petrov–Galerkin Projection.
|
| 주제 |
Social sciences --Mathematics.
Game theory.
Finance.
Actuarial science.
Mathematics in Business, Economics and Finance.
Game Theory.
Financial Economics.
Actuarial Mathematics.
|
| 보유판 및 특별호 저록 |
Springer Nature eBook
Printed edition: 9783319091150
Printed edition: 9783319091136
Printed edition: 9783319358611
|
| ISBN |
9783319091143 |
| 기타 표준번호 |
10.1007/978-3-319-09114-3 |
