This book combines academic research and practical expertise on alternative assets and trading strategies in a unique way. The asset classes that are discussed include: credit risk, cross-asset derivatives, energy, private equity, freight agreements, real alternative assets (RAA), and socially responsible investments (SRI). The coverage on trading and investment strategies are directed at portfolio insurance, especially constant proportion portfolio insurance (CPPI) and constant proportion debt obligation (CPDO) strategies, robust portfolio optimization, and hedging strategies for exotic...

This book provides the reader with a background on simulating copulas and multivariate distributions in general. It unifies the scattered literature on the simulation of various families of copulas (elliptical, Archimedean, Marshall-Olkin type, etc.) as well as on different construction principles (factor models, pair-copula construction, etc.). The book is self-contained and unified in presentation and can be used as a textbook for advanced undergraduate or graduate students with a firm background in stochastics. Alongside the theoretical foundation, ready-to-implement algorithms and many...

Studienarbeit aus dem Jahr 2012 im Fachbereich Technik, Note: 1,3, Karlsruher Institut fur Technologie (KIT) (Institut fur Geistes- und Sozialwissenschaften), Veranstaltung: Technikgeschichte und Technikphilosophie, Sprache: Deutsch, Abstract: Der Begriff der Mechanik kann in zwei Bereiche unterteilt werden: in die praktische und theoretische Mechanik. Schon die agyptischen und babylonischen Hochkulturen verstanden es, einfache Maschinen" wie den Hebel fur zahlreiche Bauwerke und zudem fur agrarische Zwecke zu nutzen. Jedoch konnten diese Hochkulturen die eingesetzten Geratschaften und deren...

This book presents 20 peer-reviewed chapters on current aspects of derivatives markets and derivative pricing. The contributions, written by leading researchers in the field as well as experienced authors from the financial industry, present the state of the art in:

Modeling counterparty credit risk: credit valuation adjustment, debit valuation adjustment, funding valuation adjustment, and wrong way risk.

Pricing and hedging in fixed-income markets and multi-curve interest-rate modeling.

Recent developments concerning contingent convertible bonds, the measuring of...

Quantitative models are omnipresent -but often controversially discussed- in todays risk management practice.

The book provides the background on simulating copulas and multivariate distributions in general. It unifies the scattered literature on the simulation of various families of copulas (elliptical, Archimedean, Marshall-Olkin type, etc.) as well as on different construction principles (factor models, pair-copula construction, etc.). The book is self-contained and unified in presentation and can be used as a textbook for graduate and advanced undergraduate students with a firm background in stochastics. Besides the theoretical foundation, ready-to-implement algorithms and many examples make the...