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Money market. Capital market --- Stochastic processes --- Actuarial mathematics --- Capital structure --- Derivative securities --- Lévy processes --- Instruments dérivés (Finances) --- Lévy, Processus de --- Prices --- Mathematical models. --- Prix --- Modèles mathématiques --- Mathematical models --- 305.91 --- 333.605 --- AA / International- internationaal --- 519.246 --- 336.76 --- -Levy processes --- -Lévy processes --- 332.6457 --- Random walks (Mathematics) --- Derivative financial instruments --- Derivative financial products --- Derivative instruments --- Derivatives (Finance) --- Financial derivatives --- Securities --- Structured notes (Securities) --- Econometrie van de financiële activa. Portfolio allocation en management. CAPM. Bubbles. --- Nieuwe financiële instrumenten. --- Statistics of stochastic processes. Estimation of stochastic processes. Hypothesis testing. Statistics of point processes. Time series analysis. Auto-correlation. Regression --- Beurswezen. Geldmarkt. Valutamarkt. Binnenlandse geldmarkt. Valutamarkt --- -Mathematical models --- Lévy processes. --- 336.76 Beurswezen. Geldmarkt. Valutamarkt. Binnenlandse geldmarkt. Valutamarkt --- 519.246 Statistics of stochastic processes. Estimation of stochastic processes. Hypothesis testing. Statistics of point processes. Time series analysis. Auto-correlation. Regression --- Lévy processes --- Instruments dérivés (Finances) --- Lévy, Processus de --- Modèles mathématiques --- Prices&delete& --- Econometrie van de financiële activa. Portfolio allocation en management. CAPM. Bubbles --- Nieuwe financiële instrumenten --- Derivative securities - Prices - Mathematical models

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This is a comprehensive introduction to the brand new theory of conic finance, also referred to as the two-price theory, which determines bid and ask prices in a consistent and fundamentally motivated manner. Whilst theories of one price classically eliminate all risk, the concept of acceptable risks is critical to the foundations of the two-price theory which sees risk elimination as typically unattainable in a modern financial economy. Practical examples and case studies provide the reader with a comprehensive introduction to the fundamentals of the theory, a variety of advanced quantitative models, and numerous real-world applications, including portfolio theory, option positioning, hedging, and trading contexts. This book offers a quantitative and practical approach for readers familiar with the basics of mathematical finance to allow them to boldly go where no quant has gone before.

Finance --- Mathematical models. --- Finance - Mathematical models --- Finances --- Mathematical models --- Modèles mathématiques

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Since around the turn of the millennium there has been a general acceptance that one of the more practical improvements one may make in the light of the shortfalls of the classical Black-Scholes model is to replace the underlying source of randomness, a Brownian motion, by a Lévy process. Working with Lévy processes allows one to capture desirable distributional characteristics in the stock returns. In addition, recent work on Lévy processes has led to the understanding of many probabilistic and analytical properties, which make the processes attractive as mathematical tools. At the same time,

Stochastic processes --- Options (Finance) --- Lévy processes --- Options (Finances) --- Lévy, Processus de --- Prices --- Mathematical models --- Prix --- Modèles mathématiques --- -Lévy processes --- -332.632283 --- Random walks (Mathematics) --- Call options --- Calls (Finance) --- Listed options --- Options exchange --- Options market --- Options trading --- Put and call transactions --- Put options --- Puts (Finance) --- Derivative securities --- Investments --- -Mathematical models --- -Electronic information resources --- Electronic information resources --- E-books --- Lévy processes. --- Mathematical models. --- Lévy processes --- Lévy, Processus de --- Modèles mathématiques

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The book draws on current research on model risk and parameter sensitivity of securitisation ratings. It provides practical ideas and tools that can facilitate a more informed usage of securitisation ratings. We show how global sensitivity analysis techniques can be used to better analyse and to enhance the understanding of the uncertainties inherent in ratings due to uncertainty in the input parameters. The text introduces a novel global rating approach that takes the uncertainty in the ratings into account when assigning ratings to securitisation products. The book also covers new prepayment and default models that overcome flaws in current models.

Financial risk management. --- Securities industry -- Risk management. --- Business & Economics --- Economic Theory --- Securities. --- Securities industry --- Risk management. --- Blue sky laws --- Capitalization (Finance) --- Investment securities --- Portfolio --- Scrip --- Securities --- Securities law --- Underwriting --- Law and legislation --- Mathematics. --- Finance. --- Economics, Mathematical. --- Quantitative Finance. --- Finance, general. --- Economics --- Mathematical economics --- Econometrics --- Mathematics --- Funding --- Funds --- Currency question --- Math --- Science --- Methodology --- Financial services industry --- Investments --- Investment banking --- Economics, Mathematical .