Optimal Investment

Author: L. C. G. Rogers
Publisher: Springer Science & Business Media
ISBN: 3642352022
Format: PDF, ePub
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Readers of this book will learn how to solve a wide range of optimal investment problems arising in finance and economics. Starting from the fundamental Merton problem, many variants are presented and solved, often using numerical techniques that the book also covers. The final chapter assesses the relevance of many of the models in common use when applied to data.

Stochastic Optimization in Insurance

Author: Pablo Azcue
Publisher: Springer
ISBN: 1493909959
Format: PDF, ePub, Docs
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The main purpose of the book is to show how a viscosity approach can be used to tackle control problems in insurance. The problems covered are the maximization of survival probability as well as the maximization of dividends in the classical collective risk model. The authors consider the possibility of controlling the risk process by reinsurance as well as by investments. They show that optimal value functions are characterized as either the unique or the smallest viscosity solution of the associated Hamilton-Jacobi-Bellman equation; they also study the structure of the optimal strategies and show how to find them. The viscosity approach was widely used in control problems related to mathematical finance but until quite recently it was not used to solve control problems related to actuarial mathematical science. This book is designed to familiarize the reader on how to use this approach. The intended audience is graduate students as well as researchers in this area.

Financial Decision Aid Using Multiple Criteria

Author: Hatem Masri
Publisher: Springer
ISBN: 3319688766
Format: PDF, Mobi
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This volume highlights recent applications of multiple-criteria decision-making (MCDM) models in the field of finance. Covering a wide range of MCDM approaches, including multiobjective optimization, goal programming, value-based models, outranking techniques, and fuzzy models, it provides researchers and practitioners with a set of MCDM methodologies and empirical results in areas such as portfolio management, investment appraisal, banking, and corporate finance, among others. The book addresses issues related to problem structuring and modeling, solution techniques, comparative analyses, as well as combinations of MCDM models with other analytical methodologies.

Leveraged Exchange Traded Funds

Author: Tim Leung
Publisher: Springer
ISBN: 3319290940
Format: PDF, ePub
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This book provides an analysis, under both discrete-time and continuous-time frameworks, on the price dynamics of leveraged exchange-traded funds (LETFs), with emphasis on the roles of leverage ratio, realized volatility, investment horizon, and tracking errors. This study provides new insights on the risks associated with LETFs. It also leads to the discussion of new risk management concepts, such as admissible leverage ratios and admissible risk horizon, as well as the mathematical and empirical analyses of several trading strategies, including static portfolios, pairs trading, and stop-loss strategies involving ETFs and LETFs. The final part of the book addresses the pricing of options written on LETFs. Since different LETFs are designed to track the same reference index, these funds and their associated options share very similar sources of randomness. The authors provide a no-arbitrage pricing approach that consistently value options on LETFs with different leverage ratios with stochastic volatility and jumps in the reference index. Their results are useful for market making of these options, and for identifying price discrepancies across the LETF options markets. As the market of leveraged exchange-traded products become a sizeable connected part of the financial market, it is crucial to better understand its feedback effect and broader market impact. This is important not only for individual and institutional investors, but also for regulators.

Einf hrung in die Finanz und Wirtschaftsmathematik

Author: A. Timpe
Publisher: Springer-Verlag
ISBN: 3642923275
Format: PDF, Kindle
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Dieser Buchtitel ist Teil des Digitalisierungsprojekts Springer Book Archives mit Publikationen, die seit den Anfängen des Verlags von 1842 erschienen sind. Der Verlag stellt mit diesem Archiv Quellen für die historische wie auch die disziplingeschichtliche Forschung zur Verfügung, die jeweils im historischen Kontext betrachtet werden müssen. Dieser Titel erschien in der Zeit vor 1945 und wird daher in seiner zeittypischen politisch-ideologischen Ausrichtung vom Verlag nicht beworben.

Finance Fundamental Problems and Solutions

Author: Zhiqiang Zhang
Publisher: Springer Science & Business Media
ISBN: 3642305121
Format: PDF, Docs
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As indicated by the title, this book focuses on fundamental problems in finance: a logical dilemma in valuation, stock valuation methods/models, risk valuation, and optimal capital structure. It presents an innovative approach to logic and quantitative reasoning (without advanced mathematics) that delivers valuable results ---- convincing solutions to these problems. Readers in finance will definitely be interested in these solutions as well as the methods. In fact, these fundamental problems are essential in the field of finance, and they have remained unsolved (or partly unsolved) for decades. The solutions offered in this book are all sound in theory and feasible in practice, and will hopefully benefit both theoretic al research and practical decision-making.

Investment Strategy in Heating and CHP

Author: Ryszard Bartnik
Publisher: Springer
ISBN: 3319610244
Format: PDF, ePub, Docs
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This book provides a methodology for developing an optimum investment strategy in the heating and combined heat and power (CHP) industry. It demonstrates how to apply mathematical models to the analysis of heat and electricity source operation from technical and economic perspectives. It also allows readers to ascertain the economic effectiveness of modernizing an existing CHP plant. The mathematical models presented are designed to recognize identity profits in continuous time so that they can be better predicted. The authors examine the operational costs of a CHP plant and the impact of factors, such as environmental costs, associated with investment in the heating and CHP sector to enable readers to select the most appropriate technologies. It presents a state-of-the-art technical and economic analysis to enhance readers’ understanding of investment in and optimization of heating and CHP, and provides practical guidance for investors’ decision-making. The book is a valuable source of information, making it ideal for financial analysts and power engineers. Thanks to its in-depth analysis of mathematical methods, it is also suitable for students and researchers with an interest in investment strategy.

Financial Engineering

Author: Michael Bloss
Publisher: Walter de Gruyter GmbH & Co KG
ISBN: 3110397625
Format: PDF, ePub
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Financial engineering is one of the most exciting fields in investment banking and large banking institutions. It combines the expertise of several different specialty areas.

Risk Based Approaches to Asset Allocation

Author: Maria Debora Braga
Publisher: Springer
ISBN: 3319243829
Format: PDF, Kindle
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This book focuses on the concepts and applications of risk-based asset allocation. Markowitz’s traditional approach to asset allocation suffers from serious drawbacks when implemented. These mainly arise from the estimation risk associated with the necessary input the most critical being expected returns. With the financial crisis, there has been an increasing interest in asset allocation approaches that don’t need expected returns as input, known as risk-based approaches. The book provides an analysis of the different solutions that fit this description: the equal-weighting approach, the global minimum-variance approach, the most diversified portfolio approach and the risk parity approach. In addition to a theoretical discussion of these, it presents practical applications in different investment environments. Three different evaluation dimensions are considered to put these approaches to the test: financial efficiency, diversification and portfolio stability.