Optimal Portfolios With Stochastic Interest Rates And Defaultable Assets Download Ebook PDF Epub Online

Author : Holger Kraft
Publisher : Springer
Release : 2004-04-13
Page : 174
Category : Business & Economics
ISBN 13 : 9783540212300
Description :


This thesis summarizes most of my recent research in the field of portfolio optimization. The main topics which I have addressed are portfolio problems with stochastic interest rates and portfolio problems with defaultable assets. The starting point for my research was the paper "A stochastic control ap proach to portfolio problems with stochastic interest rates" (jointly with Ralf Korn), in which we solved portfolio problems given a Vasicek term structure of the short rate. Having considered the Vasicek model, it was obvious that I should analyze portfolio problems where the interest rate dynamics are gov erned by other common short rate models. The relevant results are presented in Chapter 2. The second main issue concerns portfolio problems with default able assets modeled in a firm value framework. Since the assets of a firm then correspond to contingent claims on firm value, I searched for a way to easily deal with such claims in portfolio problems. For this reason, I developed the elasticity approach to portfolio optimization which is presented in Chapter 3. However, this way of tackling portfolio problems is not restricted to portfolio problems with default able assets only, but it provides a general framework allowing for a compact formulation of portfolio problems even if interest rates are stochastic.


Author : Holger Kraft
Publisher : Springer Science & Business Media
Release : 2012-08-27
Page : 174
Category : Business & Economics
ISBN 13 : 3642170412
Description :


This thesis summarizes most of my recent research in the field of portfolio optimization. The main topics which I have addressed are portfolio problems with stochastic interest rates and portfolio problems with defaultable assets. The starting point for my research was the paper "A stochastic control ap proach to portfolio problems with stochastic interest rates" (jointly with Ralf Korn), in which we solved portfolio problems given a Vasicek term structure of the short rate. Having considered the Vasicek model, it was obvious that I should analyze portfolio problems where the interest rate dynamics are gov erned by other common short rate models. The relevant results are presented in Chapter 2. The second main issue concerns portfolio problems with default able assets modeled in a firm value framework. Since the assets of a firm then correspond to contingent claims on firm value, I searched for a way to easily deal with such claims in portfolio problems. For this reason, I developed the elasticity approach to portfolio optimization which is presented in Chapter 3. However, this way of tackling portfolio problems is not restricted to portfolio problems with default able assets only, but it provides a general framework allowing for a compact formulation of portfolio problems even if interest rates are stochastic.


Author : Markus Bouziane
Publisher : Springer Science & Business Media
Release : 2008-03-18
Page : 193
Category : Business & Economics
ISBN 13 : 9783540770664
Description :


The author derives an efficient and accurate pricing tool for interest-rate derivatives within a Fourier-transform based pricing approach, which is generally applicable to exponential-affine jump-diffusion models.


Author : Salvatore Barbaro
Publisher : Springer Science & Business Media
Release : 2006-02-09
Page : 128
Category : Business & Economics
ISBN 13 : 3540285156
Description :


It has become part of the conventional wisdom in the economics of education that subsidies to higher education have a regressive distributional effect. Given that relatively more children from wealthier families enroll in higher education, many economist assume that these subsidies to higher education have an unwanted distributional impact. This volume presents new empirical evidence for the cross-sectional point of view and provides an analytical framework for the longitudinal perspective. The present volume also analyzes the equity and efficiency effects of widely-discussed funding reforms and proposes a voluntary graduate tax.


Author : Jochen Kühn
Publisher : Springer Science & Business Media
Release : 2006-09-28
Page : 152
Category : Business & Economics
ISBN 13 : 3540348212
Description :


This book criticizes the fact that profitability measures derived from capital market models such as the Sharpe ratio and the reward-to-VaR ratio are proposed for loan portfolios, although it is not proven whether their risk-return trade-offs are optimal for banks. The authors demonstrate that even the reward-to-VaR ratio, which is developed for valuating loan portfolios, can be highly misleading. They also show how market discipline, capital requirements, and insured deposits affect decision-making.


Author : Henner Gimpel
Publisher : Springer Science & Business Media
Release : 2007-06-13
Page : 268
Category : Science
ISBN 13 : 3540723382
Description :


The attachment effect can hinder effective negotiation. Parties are influenced by their subjective expectations formed on account of the exchange of offers, they form reference points, and loss aversion potentially leads to a change of preferences when expectations change. This book presents a motivation, formalization, and substantiation of the attachment effect. The results can be used for prescriptive advice to negotiators.


Author : Jaroslav Zajac
Publisher : Springer Science & Business Media
Release : 2006-08-01
Page : 274
Category : Business & Economics
ISBN 13 : 3540326944
Description :


This book analyzes the existence of equilibria in economies having a measured space of agents and a continuum of agents and commodities. Excessive homogeneity with respect to agent productivity leads to instability and non-uniqueness of a given stationary state and the indeterminacy of the corresponding stationary state equilibrium. Sufficient heterogeneity leads to global saddle-path stability, uniqueness of a given stationary state and the global uniqueness of the corresponding equilibrium.


Author : Andrea Consiglio
Publisher : Springer Science & Business Media
Release : 2007-08-16
Page : 279
Category : Business & Economics
ISBN 13 : 3540731350
Description :


This volume features contributions to agent-based computational modeling from the social sciences and computer sciences. It presents applications of methodologies and tools, focusing on the uses, requirements, and constraints of agent-based models used by social scientists. Topics include agent-based macroeconomics, the emergence of norms and conventions, the dynamics of social and economic networks, and behavioral models in financial markets.


Author : Dieter Sondermann
Publisher : Springer Science & Business Media
Release : 2006-12-02
Page : 138
Category : Business & Economics
ISBN 13 : 3540348379
Description :


Although there are many textbooks on stochastic calculus applied to finance, this volume earns its place with a pedagogical approach. The text presents a quick (but by no means "dirty") road to the tools required for advanced finance in continuous time, including option pricing by martingale methods, term structure models in a HJM-framework and the Libor market model. The reader should be familiar with elementary real analysis and basic probability theory.


Author : Norman Ehrentreich
Publisher : Springer Science & Business Media
Release : 2007-10-25
Page : 232
Category : Business & Economics
ISBN 13 : 3540738797
Description :


This book reconciles the existence of technical trading with the Efficient Market Hypothesis. By analyzing a well-known agent-based model, the Santa Fe Institute Artificial Stock Market (SFI-ASM), it finds that when selective forces are weak, financial evolution cannot guarantee that only the fittest trading rules will survive. Its main contribution lies in the application of standard results from population genetics which have widely been neglected in the agent-based community.


Author : Jochen Andritzky
Publisher : Springer Science & Business Media
Release : 2006-11-23
Page : 251
Category : Business & Economics
ISBN 13 : 3540374493
Description :


Past cycles of sovereign lending and default suggest that debt crises will recur at some point. This book shows why investors should reckon with similar credit events in the future. Surveying the sovereign bond market, the author provides investors with a useful toolkit for analyzing sovereign bonds and foreseeing trends in the international financial architecture. The result should be a better understanding of debt crises and more deliberate investment decisions.


Author : Don Grundel
Robert Murphey
Publisher : Springer Science & Business Media
Release : 2007-03-21
Page : 403
Category : Business & Economics
ISBN 13 : 3540482717
Description :


Because of the clearly important role cooperative systems play in areas such as military sciences, biology, communications, robotics, and economics, just to name a few, the study of cooperative systems has intensified. This book provides an insight in the basic understanding of cooperative systems as well as in theory, modeling, and applications of cooperative control, optimization and related problems.


Author : Stefan Seifert
Publisher : Springer Science & Business Media
Release : 2006-09-25
Page : 184
Category : Business & Economics
ISBN 13 : 3540352686
Description :


Applying a Market Engineering approach, this book introduces a model of an auction with a posted price offer, and investigates the characteristics of such mechanisms. It discusses the respective equilibrium strategies of sellers and the bidders, providing useful insight into actual behavior. The theoretic results are compared with strategies of students in a controlled experiment. The experimental observations expose shortcomings of standard economic theories and help to further improve electronic markets.


Author : Bernd Wagner
Stefan Enzler
Publisher : Springer Science & Business Media
Release : 2005-09-15
Page : 206
Category : Business & Economics
ISBN 13 : 9783790815917
Description :


Material flow management offers enterprises a high potential for realizing new economic competitive advantages. The eco-efficient optimization of material flow cutS costs while simultaneously achieving long-term ecological sustainability. This book summarises the fundamental concepts and tools of material flow management, and presents contemporary methods and findings. Case studies illustrate the results from recent research projects conducted in cooperation with industrial companies.


Author : Jaejoon Woo
Publisher : Springer Science & Business Media
Release : 2006-02-25
Page : 172
Category : Business & Economics
ISBN 13 : 3540314172
Description :


One of the most striking macroeconomic developments during the last three decades is the rise and persistence of large fiscal deficits in a number of countries. Despite recent major fiscal reforms around the world, many countries suffer from recurrent large fiscal imbalances that often reflect lack of fiscal discipline. Why do some countries have recurrent fiscal deficit or volatility problems, while others do not? What factors are most important in explaining cross-country variation in fiscal outcomes? How are they related to growth or inflation? This book presents new, rigorous, theoretical and empirical studies on these fiscal issues, and highlights social polarization as an essential organizing principle in a political economy approach. Also, it discusses how institutional constraints may favourably affect fiscal dynamics in the presence of social polarization.


Author : Robin Pope
Johannes Leitner
Publisher : Springer Science & Business Media
Release : 2006-11-23
Page : 232
Category : Business & Economics
ISBN 13 : 354038474X
Description :


This book is written for those seeking a decision theory appropriate for use in serious choices such as insurance. It employs stages of knowledge ahead to track satisfactions and dissatisfactions. From experimental and questionnaire data, people take into account such stages of knowledge ahead satisfactions and dissatisfactions. This means we must go beyond standard decision theories like expected utility or cumulative prospect theory.


Author : Tobias Herwig
Publisher : Taylor & Francis
Release : 2006-01-17
Page : 104
Category : Business & Economics
ISBN 13 : 9783540308379
Description :


The focus of this volume is on the development of new approaches for the market-conform valuation of newly issued derivatives. The first chapter presents a flexible approach to construct the binomial process of the underlying asset price by using a simultaneously backward and forward induction algorithm. This framework can be used to price and hedge a wide range of plain-vanilla and exotic options. In the second chapter this new approach is compared to existing models using a sample of plain-vanilla options, American call options and European Barrier options from two competing markets. In the third chapter new methods to value American-style options via Monte Carlo simulations in accordance with given market prices are discussed. After a short introduction to Monte Carlo methods, two new approaches are proposed. These new frameworks are illustrated via pricing examples for standard American put options.


Author : Mario Faliva
Maria Grazia Zoia
Publisher : Springer Science & Business Media
Release : 2006-01-20
Page : 144
Category : Business & Economics
ISBN 13 : 354029239X
Description :


Classical econometrics - which plunges its roots in economic theory with simultaneous equations models (SEM) as offshoots - and time series econometrics - which stems from economic data with vector autoregr- sive (VAR) models as offsprings - scour, like the Janus's facing heads, the flowing of economic variables so as to bring to the fore their autonomous and non-autonomous dynamics. It is up to the so-called final form of a dy namic SEM, on the one hand, and to the so-called representation theorems of (unit-root) VAR models, on the other, to provide informative closed form expressions for the trajectories, or time paths, of the economic vari ables of interest. Should we look at the issues just put forward from a mathematical standpoint, the emblematic models of both classical and time series econometrics would turn out to be difference equation systems with ad hoc characteristics, whose solutions are attained via a final form or a represen tation theorem approach. The final form solution - algebraic technicalities apart - arises in the wake of classical difference equation theory, display ing besides a transitory autonomous component, an exogenous one along with a stochastic nuisance term. This follows from a properly defined ma trix function inversion admitting a Taylor expansion in the lag operator be cause of the assumptions regarding the roots of a determinant equation pe culiar to SEM specifications.


Author : Rainer Kleber
Publisher : Springer Science & Business Media
Release : 2007-02-03
Page : 182
Category : Business & Economics
ISBN 13 : 3540332308
Description :


The integration of product recovery into regular production processes enables new opportunities for cost savings. In case of a dynamic planning situation, for instance when dealing with seasonality or the product life cycle, new motives for keeping stock arise. The work aims to identify those motives and to describe their effects by using methods of optimal control theory.


Author : Rolf Hellermann
Publisher : Springer Science & Business Media
Release : 2006-10-07
Page : 199
Category : Business & Economics
ISBN 13 : 3540344209
Description :


This book proposes capacity options as a flexible alternative air cargo contract type, and illustrates how capacity can be priced through option contracts. The analysis is accomplished by means of an analytical multivariate optimization model under price and demand uncertainty. A case study using data from a leading German carrier illustrates the financial potential. Finally, the author shows how capacity-option contracts integrate into the context of air cargo revenue management.