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Finance --- Finances --- Mathematical models --- Encyclopedias --- Modèles mathématiques --- Encyclopédies --- 033.2 --- 305.91 --- AA / International- internationaal --- -332.03 --- Funding --- Funds --- Economics --- Currency question --- Economische en sociale encyclopedieën. --- Econometrie van de financiële activa. Portfolio allocation en management. CAPM. Bubbles. --- -033.2 --- -Finance --- Modèles mathématiques --- Encyclopédies --- 332.03 --- Economische en sociale encyclopedieën --- Econometrie van de financiële activa. Portfolio allocation en management. CAPM. Bubbles --- Encyclopedias. --- Finance - Mathematical models - Encyclopedias.

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During the last decade, financial models based on jump processes have acquired increasing popularity in risk management and option pricing. Much has been published on the subject, but the technical nature of most papers makes them difficult for nonspecialists to understand, and the mathematical tools required for applications can be intimidating. Potential users often get the impression that jump and Levy processes are beyond their reach. Financial Modelling with Jump Processes shows that this is not so. It provides a self-contained overview of the theoretical, numerical, and empirical aspects involved in using jump processes in financial modelling, and it does so in terms within the grasp of nonspecialists. The introduction of new mathematical tools is motivated by their use in the modelling process, and precise mathematical statements of results are accompanied by intuitive explanations.Topics covered in this book include: jump-diffusion models, Levy processes, stochastic calculus for jump processes, pricing and hedging in incomplete markets, implied volatility smiles, time-inhomogeneous jump processes and stochastic volatility models with jumps. The authors illustrate the mathematical concepts with many numerical and empirical examples and provide the details of numerical implementation of pricing and calibration algorithms. This book demonstrates that the concepts and tools necessary for understanding and implementing models with jumps can be more intuitive that those involved in the Black Scholes and diffusion models. If you have even a basic familiarity with quantitative methods in finance, Financial Modelling with Jump Processes will give you a valuable new set of tools for modelling market fluctuations.

Stochastic processes --- Finance --- Jump processes. --- Finances --- Processus de sauts --- Mathematical models. --- Modèles mathématiques --- Jump processes --- Mathematical models --- mathematische modellen, toegepast op economie --- stochastische modellen --- opties --- risk management --- -Jump processes --- 332.01519233 --- Processes, Jump --- Markov processes --- Funding --- Funds --- Economics --- Currency question --- Modèles mathématiques --- Finance - Mathematical models

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The traditional approach to the stress testing of financial institutions focuses on capital adequacy and solvency. Liquidity stress tests have been applied in parallel to and independently from solvency stress tests, based on scenarios which may not be consistent with those used in solvency stress tests. We propose a structural framework for the joint stress testing of solvency and liquidity: our approach exploits the mechanisms underlying the solvency-liquidity nexus to derive relations between solvency shocks and liquidity shocks. These relations are then used to model liquidity and solvency risk in a coherent framework, involving external shocks to solvency and endogenous liquidity shocks arising from these solvency shocks. We define the concept of ‘Liquidity at Risk’, which quantifies the liquidity resources required for a financial institution facing a stress scenario. Finally, we show that the interaction of liquidity and solvency may lead to the amplification of equity losses due to funding costs which arise from liquidity needs. The approach described in this study provides in particular a clear methodology for quantifying the impact of economic shocks resulting from the ongoing COVID-19 crisis on the solvency and liquidity of financial institutions and may serve as a useful tool for calibrating policy responses.

Accounting --- Banks and Banking --- Finance: General --- Computational Techniques --- Banks --- Depository Institutions --- Micro Finance Institutions --- Mortgages --- Financing Policy --- Financial Risk and Risk Management --- Capital and Ownership Structure --- Value of Firms --- Goodwill --- Public Administration --- Public Sector Accounting and Audits --- Portfolio Choice --- Investment Decisions --- Financial Institutions and Services: Government Policy and Regulation --- Bankruptcy --- Liquidation --- Finance --- Financial reporting, financial statements --- Financial services law & regulation --- Financial statements --- Liquidity risk --- Liquidity --- Stress testing --- Solvency --- Public financial management (PFM) --- Financial regulation and supervision --- Asset and liability management --- Financial sector policy and analysis --- Financial risk management --- Finance, Public --- Economics --- Debt --- United States

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Présente et évalue les intruments dérivés de crédit (produits dérivés de deuxième génération, collaterised debt obligations, etc.) qui ont émergé pour faire face au risque de crédit et à l'origine des mutations juridiques finalisées dans l'accord de Bâle II. Détermine également les implications du développement de ce marché.

Credit derivatives. --- 336.7 --- Geldwezen. Kredietwezen. Bankwezen. Financien. Monetaire econonomie. Beurswezen --- 336.7 Geldwezen. Kredietwezen. Bankwezen. Financien. Monetaire econonomie. Beurswezen --- Credit derivatives --- Derivative securities --- Couverture de risque --- Risque de crédit --- Risque financier

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This volume contains lecture notes from the courses given by Vlad Bally and Rama Cont at the Barcelona Summer School on Stochastic Analysis (July 2012). The notes of the course by Vlad Bally, co-authored with Lucia Caramellino, develop integration by parts formulas in an abstract setting, extending Malliavin's work on abstract Wiener spaces. The results are applied to prove absolute continuity and regularity results of the density for a broad class of random processes. Rama Cont's notes provide an introduction to the Functional Itô Calculus, a non-anticipative functional calculus that extends the classical Itô calculus to path-dependent functionals of stochastic processes. This calculus leads to a new class of path-dependent partial differential equations, termed Functional Kolmogorov Equations, which arise in the study of martingales and forward-backward stochastic differential equations. This book will appeal to both young and senior researchers in probability and stochastic processes, as well as to practitioners in mathematical finance.

Partial differential equations --- Differential equations --- Operational research. Game theory --- Probability theory --- Mathematics --- differentiaalvergelijkingen --- waarschijnlijkheidstheorie --- stochastische analyse --- wiskunde --- kansrekening