SABR and SABR LIBOR Market Models in Practice, Crispoldi Christian

Автор: Boubaker Sabri
Название: Risk Management in Emerging Markets
ISBN: 1786354527 ISBN-13(EAN): 9781786354525
Издательство: Emerald
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Цена: 22562.00 р.
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Описание: Academic finance research has shown that emerging markets still suffer from a myriad of risks such as credit, operational, market, legal and exchange rate risks. The onset of the subprime crisis 2007, the global financial crisis 2008-2009, and the Eurozone public debt crisis since the end of 2009 has brought to the light a number of emerging markets facing tumbling currencies, rising inflation, slowing growth, heavy dependence on foreign capital, and high levels of vulnerability to external shocks due to increased market integration. This context calls for not only a reconsideration of recent risk assessment models and risk management practices, but also the improvement and innovation of these models and practices. Factors such as liquidity, tail dependence, comovement, contagion, and timescale interactions have thus to be part of an integrated risk assessment and management framework. This book addresses three main dimensions of risk management in emerging markets: 1) the effectiveness of risk management practices; 2) current issues and challenges in risk assessment and modelling in emerging market countries; 3) the responses of emerging markets to the recent financial crises and the design of risk management models.

Автор: Umberto Cherubini; Fabrizio Durante; Sabrina Mulin
Название: Marshall Olkin Distributions - Advances in Theory and Applications
ISBN: 3319384481 ISBN-13(EAN): 9783319384481
Издательство: Springer
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Цена: 13974.00 р.
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Описание: This book presents the latest advances in the theory and practice of Marshall-Olkin distributions.

Автор: Umberto Cherubini; Fabrizio Durante; Sabrina Mulin
Название: Marshall Olkin Distributions - Advances in Theory and Applications
ISBN: 3319190385 ISBN-13(EAN): 9783319190389
Издательство: Springer
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Цена: 16769.00 р.
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Описание: This book presents the latest advances in the theory and practice of Marshall-Olkin distributions.

Автор: Marga Peeters; Nidal Sabri; Wassim Shahin
Название: Financial Integration
ISBN: 3642440207 ISBN-13(EAN): 9783642440205
Издательство: Springer
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Цена: 16769.00 р.
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Описание: Featuring contributions by leading researchers specializing in the region, this book offers a comprehensive analysis of the problems, prospects and pitfalls in the financial integration of the South-Mediterranean region, and expert insight on the way forward.

Автор: Umberto Cherubini; Fabio Gobbi; Sabrina Mulinacci
Название: Convolution Copula Econometrics
ISBN: 3319480146 ISBN-13(EAN): 9783319480145
Издательство: Springer
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Цена: 6986.00 р.
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Описание: This book presents a novel approach to time series econometrics, which studies the behavior of nonlinear stochastic processes. This approach allows for an arbitrary dependence structure in the increments and provides a generalization with respect to the standard linear independent increments assumption of classical time series models. The book offers a solution to the problem of a general semiparametric approach, which is given by a concept called C-convolution (convolution of dependent variables), and the corresponding theory of convolution-based copulas. Intended for econometrics and statistics scholars with a special interest in time series analysis and copula functions (or other nonparametric approaches), the book is also useful for doctoral students with a basic knowledge of copula functions wanting to learn about the latest research developments in the field.

Автор: C. Kenyon; R. Stamm
Название: Discounting, LIBOR, CVA and Funding
ISBN: 1349443476 ISBN-13(EAN): 9781349443475
Издательство: Springer
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Цена: 6288.00 р.
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Описание: Providing the most up-to-date tools and techniques for pricing interest rate and credit products for the new financial world, this book discusses pricing and hedging, funding and regulation, and interpretation, as an essential resource for quantitatively minded practitioners and researchers in finance.