Wim Schoutens – författare
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24 produkter
Stochastic Processes and Orthogonal Polynomials
Häftad, 2000
1098 kr
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It has been known for a long time that there is a close connection between stochastic processes and orthogonal polynomials. For example, N. Wiener [112] and K. Ito [56] knew that Hermite polynomials play an important role in the integration theory with respect to Brownian motion. In the 1950s D. G. …
Exotic Option Pricing and Advanced Lévy Models
Av Andreas Kyprianou, Wim Schoutens m. fl.
Inbunden, 2005
1410 kr
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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 …
Exotic Option Pricing and Advanced L vy Models
Av Paul Wilmott, Wim Schoutens m. fl.
E-bok, 2006
1679 kr
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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 …
Levy Processes in Credit Risk
Av Jessica Cariboni, Wim Schoutens
E-bok, 2010
1369 kr
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This book is an introductory guide to using Lévy processes for credit risk modelling. It covers all types of credit derivatives: from the single name vanillas such as Credit Default Swaps (CDSs) right through to structured credit risk products such as Collateralized Debt Obligations (CDOs), …
Levy Processes in Credit Risk
Av Wim Schoutens, Jessica Cariboni
Inbunden, 2009
1179 kr
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This book is an introductory guide to using Lévy processes for credit risk modelling. It covers all types of credit derivatives: from the single name vanillas such as Credit Default Swaps (CDSs) right through to structured credit risk products such as Collateralized Debt Obligations (CDOs), …
Levy Processes in Credit Risk
Av Jessica Cariboni, Wim Schoutens
E-bok, 2009
1340 kr
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This book is an introductory guide to using Lévy processes for credit risk modelling. It covers all types of credit derivatives: from the single name vanillas such as Credit Default Swaps (CDSs) right through to structured credit risk products such as Collateralized Debt Obligations (CDOs), …
Lévy Processes in Finance
Pricing Financial Derivatives
Inbunden, 2003
1711 kr
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Financial mathematics has recently enjoyed considerable interest on account of its impact on the finance industry. In parallel, the theory of Lévy processes has also seen many exciting developments. These powerful modelling tools allow the user to model more complex phenomena, and are commonly …
Handbook of Convertible Bonds
Pricing, Strategies and Risk Management
Av Wim Schoutens, Jan De Spiegeleer
E-bok, 2011
1494 kr
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This is a complete guide to the pricing and risk management of convertible bond portfolios. Convertible bonds can be complex because they have both equity and debt like features and new market entrants will usually find that they have either a knowledge of fixed income mathematics or of equity …
Nonlinear Valuation and Non-Gaussian Risks in Finance
Av Wim Schoutens, Dilip B. Madan
E-bok, 2022
1830 kr
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What happens to risk as the economic horizon goes to zero and risk is seen as an exposure to a change in state that may occur instantaneously at any time? All activities that have been undertaken statically at a fixed finite horizon can now be reconsidered dynamically at a zero time horizon, with …
Handbook of Hybrid Securities
Convertible Bonds, CoCo Bonds, and Bail-In
Av Jan De Spiegeleer, Wim Schoutens m. fl.
Inbunden, 2014
940 kr
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Introducing a revolutionary new quantitative approach to hybrid securities valuation and risk management To an equity trader they are shares. For the trader at the fixed income desk, they are bonds (after all, they pay coupons, so what's the problem?). They are hybrid securities. Neither equity nor …
Handbook of Hybrid Securities
Convertible Bonds, CoCo Bonds, and Bail-In
Av Cynthia Van Hulle, Wim Schoutens m. fl.
E-bok, 2014
831 kr
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Introducing a revolutionary new quantitative approach to hybrid securities valuation and risk management To an equity trader they are shares. For the trader at the fixed income desk, they are bonds (after all, they pay coupons, so what''s the problem?). They are hybrid securities. Neither equity …
Handbook of Hybrid Securities
Convertible Bonds, CoCo Bonds, and Bail-In
Av Cynthia Van Hulle, Wim Schoutens m. fl.
E-bok, 2014
813 kr
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Introducing a revolutionary new quantitative approach to hybrid securities valuation and risk management To an equity trader they are shares. For the trader at the fixed income desk, they are bonds (after all, they pay coupons, so what''s the problem?). They are hybrid securities. Neither equity …
Handbook of Convertible Bonds
Pricing, Strategies and Risk Management
Av Wim Schoutens, Jan De Spiegeleer
E-bok, 2011
1462 kr
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This is a complete guide to the pricing and risk management of convertible bond portfolios. Convertible bonds can be complex because they have both equity and debt like features and new market entrants will usually find that they have either a knowledge of fixed income mathematics or of equity …
Nonlinear Valuation and Non-Gaussian Risks in Finance
Av Dilip B. Madan, Wim Schoutens
Inbunden, 2022
1672 kr
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What happens to risk as the economic horizon goes to zero and risk is seen as an exposure to a change in state that may occur instantaneously at any time? All activities that have been undertaken statically at a fixed finite horizon can now be reconsidered dynamically at a zero time horizon, with …
Applied Conic Finance
E-bok, 2016
1516 kr
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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 …
Applied Conic Finance
E-bok, 2016
1516 kr
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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 …
Risk Management of Contingent Convertible (CoCo) Bonds
Av Jan De Spiegeleer, Ine Marquet m. fl.
Häftad, 2018
716 kr
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This book provides an overview of the risk components of CoCo bonds. CoCos are hybrid financial instruments that convert into equity or suffer a write-down of the face value upon the appearance of a trigger event. The loss-absorption mechanism is automatically enforced either via the breaching of a …
Risk Management of Contingent Convertible (CoCo) Bonds
Av Wim Schoutens, Ine Marquet m. fl.
E-bok, 2018
894 kr
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This book provides an overview of the risk components of CoCo bonds. CoCos are hybrid financial instruments that convert into equity or suffer a write-down of the face value upon the appearance of a trigger event. The loss-absorption mechanism is automatically enforced either via the breaching of a …
Financial Risk Management for Cryptocurrencies
Av Eline Van der Auwera, Wim Schoutens m. fl.
Häftad, 2020
797 kr
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This book explores the emerging field of risk management and risk analysis of cryptocurrencies, an area that has been generating considerable research. It begins by providing an introduction to digital finance and the concept of cryptocurrencies and blockchain technologies. It then describes in …
Financial Risk Management for Cryptocurrencies
Av Lucia Alessi, Marco Petracco Giudici m. fl.
E-bok, 2020
1007 kr
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This book explores the emerging field of risk management and risk analysis of cryptocurrencies, an area that has been generating considerable research. It begins by providing an introduction to digital finance and the concept of cryptocurrencies and blockchain technologies. It then describes in …
Quantitative Assessment of Securitisation Deals
Av Francesca Campolongo, Henrik Jönsson m. fl.
Häftad, 2012
569 kr
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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 …
Quantitative Assessment of Securitisation Deals
Av Wim Schoutens, Henrik Jonsson m. fl.
E-bok, 2012
718 kr
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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 …
Applied Conic Finance
Inbunden, 2016
1267 kr
Tillfälligt slut
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 …
