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Introduction to Mathematical Modeling and Computer Simulations
Published 2018OAPEN Library: description of the publication
Electronic Book Chapter -
466
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467
Innovations in Quantitative Risk Management TU München, September 2013 /
Published 2015Table of Contents: “…Part I Markets, Regulation, and Model Risk -- A Random Holding Period Approach for Liquidity-Inclusive Risk Management -- Regulatory Developments in Risk Management: Restoring Confidence in Internal Models -- Model Risk in Incomplete Markets with Jumps -- Part II Financial Engineering -- Bid-Ask Spread for Exotic Options Under Conic Finance -- Derivative Pricing Under the Possibility of Long Memory in the supOU Stochastic Volatility Model -- A Two-Sided BNS Model for Multicurrency FX Markets -- Modeling the Price of Natural Gas with Temperature and Oil Price as Exogenous Factors -- Copula-Specific Credit Portfolio Modeling -- Implied Recovery Rates-Auctions and Models -- Upside and Downside Risk Exposures of Currency Carry Trades via Tail Dependence -- Part III Insurance Risk and Asset Management -- Participating Life Insurance Contracts Under Risk Based Solvency Frameworks: How to Increase Capital Efficiency by Product Design -- Reducing Surrender Incentives Through Fee Structure in Variable Annuities -- A Variational Approach for Mean-Variance-Optimal Deterministic Consumption and Investment -- Risk Control in Asset Management: Motives and Concepts -- Worst-Case Scenario Portfolio Optimization Given the Probability of a Crash -- Improving Optimal Terminal Value Replicating Portfolios -- Part IV Computational Methods for Risk Management -- Risk and Computation -- Extreme Value Importance Sampling for Rare Event Risk Measurement -- A Note on the Numerical Evaluation of the Hartman-Watson Density and Distribution Function -- Computation of Copulas by Fourier Methods -- Part V Dependence Modelling -- Goodness-of-fit Tests for Archimedean Copulas in High Dimensions -- Duality in Risk Aggregation -- Some Consequences of the Markov Kernel Perspective of Copulas -- Copula Representations for Invariant Dependence Functions -- Nonparametric Copula Density Estimation Using a Petrov-Galerkin Projection.…”
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Electronic eBook -
468
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Introduction to Mathematical Modeling and Computer Simulations
Published 2018DOAB: download the publication
DOAB: description of the publication
Electronic Book Chapter -
472
Modeling Simulation and Optimization Tolerance and Optimal Control
Published 2010DOAB: download the publication
DOAB: description of the publication
Electronic Book Chapter -
473
Ant Colony Optimization Techniques and Applications
Published 2013DOAB: download the publication
DOAB: description of the publication
Electronic Book Chapter -
474
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Internet and Computers for Agriculture
Published 2023DOAB: download the publication
DOAB: description of the publication
Electronic Book Chapter -
477
Internet and Computers for Agriculture
Published 2023DOAB: download the publication
DOAB: description of the publication
Electronic Book Chapter -
478
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Numerical Methods and Computer Simulations in Energy Analysis
Published 2023DOAB: download the publication
DOAB: description of the publication
Electronic Book Chapter -
480
Recent Advances in Numerical Simulations
Published 2021DOAB: download the publication
DOAB: description of the publication
Electronic Book Chapter