Handbook of Recent Advances in Commodity and Financial Modeling
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Handbook of Recent Advances in Commodity and Financial Modeling
Quantitative Methods in Banking, Finance, Insurance, Energy and Commodity Markets
Consigli, Giorgio; Zambruno, Giovanni; Stefani, Silvana
Springer International Publishing AG
08/2018
320
Mole
Inglês
9783319870519
15 a 20 dias
516
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Part 1. Risk Modeling.- 1. Directional Returns for Gold and Silver: A Cluster Analysis Approach.- 2. Impact of Credit Risk and Business Cycles on Momentum Returns.- 3. Drivers of LBO Operating Performance: An Empirical Investigation in Asia.- 4. Time varying Correlation: Key Indicator in Finance.- 5. Measuring Model Risk in the European Energy Exchange.- 6. Wine Futures: Pricing and Allocation as Levers against Quality Uncertainty.- 7. VIX Computation Based on Affine Stochastic Volatility Models in Discrete Time.- 8. Optimal Adaptive Sequential Calibration of Option Models.- 9. Accurate Pricing of Swaptions via Lower Bound.- 10. Portfolio Optimization Using Modied Herfindahl Constraint.- 11. Dynamic Asset Allocation with Default and Systemic Risks.- 12. Optimal Execution Strategy in Liquidity Framework Under Exponential Temporary Market Impact.- 13. Optimal Multistage Dened-benet Pension Fund Management.- 14. Currency Hedging for a Multi-national Firm.
Este título pertence ao(s) assunto(s) indicados(s). Para ver outros títulos clique no assunto desejado.
Commodity Modeling;Dynamic Asset Allocation;Energy Futures;Financial Modeling;Interest Rate Derivatives;Swaptions
Part 1. Risk Modeling.- 1. Directional Returns for Gold and Silver: A Cluster Analysis Approach.- 2. Impact of Credit Risk and Business Cycles on Momentum Returns.- 3. Drivers of LBO Operating Performance: An Empirical Investigation in Asia.- 4. Time varying Correlation: Key Indicator in Finance.- 5. Measuring Model Risk in the European Energy Exchange.- 6. Wine Futures: Pricing and Allocation as Levers against Quality Uncertainty.- 7. VIX Computation Based on Affine Stochastic Volatility Models in Discrete Time.- 8. Optimal Adaptive Sequential Calibration of Option Models.- 9. Accurate Pricing of Swaptions via Lower Bound.- 10. Portfolio Optimization Using Modied Herfindahl Constraint.- 11. Dynamic Asset Allocation with Default and Systemic Risks.- 12. Optimal Execution Strategy in Liquidity Framework Under Exponential Temporary Market Impact.- 13. Optimal Multistage Dened-benet Pension Fund Management.- 14. Currency Hedging for a Multi-national Firm.
Este título pertence ao(s) assunto(s) indicados(s). Para ver outros títulos clique no assunto desejado.
