Glau, Kathrin
Innovations in Quantitative Risk Management
Part I. Markets, Regulation, and Model Risk
1. A Random Holding Period Approach for Liquidity-Inclusive Risk Management
Damiano Brigo, Claudio Nordio
2. Regulatory Developments in Risk Management: Restoring Confidence in Internal Models
Uwe Gaumert, Michael Kemmer
3. Model Risk in Incomplete Markets with Jumps
Nils Detering, Natalie Packham
Part II. Financial Engineering
4. Bid-Ask Spread for Exotic Options under Conic Finance
Florence Guillaume, Wim Schoutens
5. Derivative Pricing under the Possibility of Long Memory in the supOU Stochastic Volatility Model
Robert Stelzer, Jovana Zavišin
6. A Two-Sided BNS Model for Multicurrency FX Markets
Karl Friedrich Bannör, Matthias Scherer, Thorsten Schulz
7. Modeling the Price of Natural Gas with Temperature and Oil Price as Exogenous Factors
Jan Müller, Guido Hirsch, Alfred Müller
8. Copula-Specific Credit Portfolio Modeling
Matthias Fischer, Kevin Jakob
9. Implied Recovery Rates—Auctions and Models
Stephan Höcht, Matthias Kunze, Matthias Scherer
10. Upside and Downside Risk Exposures ofCurrency Carry Trades via Tail Dependence
Matthew Ames, Gareth W. Peters, Guillaume Bagnarosa, Ioannis Kosmidis
Part III. Insurance Risk and Asset Management
11. Participating Life Insurance Contracts under Risk Based Solvency Frameworks: How to Increase Capital Efficiency by Product Design
Andreas Reuß, Jochen Ruß, Jochen Wieland
12. Reducing Surrender Incentives Through Fee Structure in Variable Annuities
Carole Bernard, Anne MacKay
13. A Variational Approach for Mean-Variance-Optimal Deterministic Consumption and Investment
Marcus C. Christiansen
14. Risk Control in Asset Management: Motives andConcepts
Thomas Dangl, Otto Randl, Josef Zechner
15. Worst-Case Scenario Portfolio Optimization Given the Probability of a Crash
Olaf Menkens
16. Improving Optimal Terminal Value Replicating Portfolios
Jan Natolski, Ralf Werner
Part IV. Computational Methods for Risk Management
17. Risk and Computation
Rüdiger U. Seydel
18. Extreme Value Importance Sampling for Rare Event Risk Measurement
D. L. McLeish, Zhongxian Men
19. A Note on the Numerical Evaluation of the Hartman–Watson Density andDistribution Function
German Bernhart, Jan-Frederik Mai
20. Computation of Copulas by Fourier Methods
Antonis Papapantoleon
Part V. Dependence Modelling
21. Goodness-of-fit Tests for Archimedean Copulas in High Dimensions
Christian Hering, Marius Hofert
22. Duality in Risk Aggregation
Raphael Hauser, Sergey Shahverdyan, Paul Embrechts
23. Some Consequences of the Markov Kernel Perspective of Copulas
Wolfgang Trutschnig, Juan Fernández Sánchez
24. Copula Representations for Invariant Dependence Functions
Jayme Pinto, Nikolai Kolev
25. Nonparametric Copula Density Estimation Using a Petrov–Galerkin Projection
Dana Uhlig, Roman Unger
Keywords: Mathematics, Quantitative Finance, Game Theory, Economics, Social and Behav. Sciences, Finance, general, Actuarial Sciences
- Editor
- Glau, Kathrin
- Scherer, Matthias
- Zagst, Rudi
- Publisher
- Springer
- Publication year
- 2015
- Language
- en
- Edition
- 2015
- Series
- Springer Proceedings in Mathematics & Statistics
- Page amount
- 11 pages
- Category
- Natural Sciences
- Format
- Ebook
- eISBN (PDF)
- 9783319091143
- Printed ISBN
- 978-3-319-09113-6