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eISBN : 9780124158757

Sommaire : Contributors : Camillo Lento, Nikola Gradojevic, Messaoud Chibane, Yi-Chen Huang, Jayaprakash Selvaraj, Péter Dobránszky, Rosa Cocozza, Antonio De Simone, Marcus R.W. Martin, Stefan Reitz, Birgitta Drwenski, Jochen Beißer, Lutz Mangels, Matthieu Maurice, Sami Attaoui, Pierre Six, Fabio Mercurio, Jean-Claude Gabillon, Laurent Germain, Nicolas Nalpas, Tao Jiao, Gerard Mertens, Peter Roosenboom, Wolfgang Breuer, Klaus Mark, John Simpson, Goknur Buyukkara, Roberto Savona, Marika Vezzoli, Dean Fantazzini, Mario Maggi, Pu Chen, Willi Semmler, Kasirga Yildirak, Cumhur Ekinci, Ali Sabri Taylan, Mohamed Safouane Ben Aïssa, Duc Khuong Nguyen, Massimo Morini, Sergei Esipov, Marco Bee, Ralph Karels, Michael Sun, Massimiliano Caporin, Loriana Pelizzon, Manuel Moreno, Javier F. Navas, David E. Allen, Abhay Kumar Singh, Robert J. Powell, Lerby M. Ergun, Philip A. Stork, Pankaj K. Jain (P.K.), Ajay K. Mishra, Thomas H. McInish, Marco Rossi, Gabriele Zinna, Matthias Muck, Stefan Weisheit, Christopher Kullmann, Abraham Lioui, Michelle Sisto, Modena Matteo, Lossani Marco, Borello Giuliana, Rituparna Das, Michael C. S. Wong, Jonathan Penm, Betty Chaar, Rebekah Moles, Jack Penm.

1 - The Effectiveness of Option Pricing Models During Financial Crises
2 - Taking Collateral into Account
3 - Scenario Analysis in Charge of Model Selection
4 - An “Economical” Pricing Model for Hybrid Products
5 - Credit Valuation Adjustments– Mathematical Foundations, Practical Implementation and Wrong Way Risks
6 - Counterparty Credit Risk and Credit Valuation Adjustments (CVAs) for Interest Rate Derivatives–Current Challenges for CVA Desks
7 - Designing a Counterparty Risk Management Infrastructure for Derivatives
8 - A Jump–Diffusion Nominal Short Rate Model
9 - The Widening of the Basis: New Market Formulas for Swaps, Caps and Swaptions
10 - The Financial Crisis and the Credit Derivatives Pricing Models
11 - Industry Valuation-Driven Earnings Management
12 - Valuation of Young Growth Firms and Firms in Emerging Economies
13 - Towards a Replicating Market Model for the US Oil and Gas Sector
14 - Measuring Systemic Risk from Country Fundamentals: A Data Mining Approach
15 - Computing Reliable Default Probabilities in Turbulent Times
16 - Discount Rates, Default Risk and Asset Pricing in a Regime Change Model
17 - A Review of Market Risk Measures and Computation Techniques
18 - High-Frequency Performance of Value at Risk and Expected Shortfall: Evidence from ISE30 Index Futures
19 - A Copula Approach to Dependence Structure in Petroleum Markets
20 - Mistakes in the Market Approach to Correlation: A Lesson For Future Stress-Testing
21 - On Correlations between a Contract and Portfolio and Internal Capital Alliocation
22 - A Maximum Entropy Approach to the Measurement of Event Risk
23 - Quantifying the Unquantifiable: Risks Not in Value at Risk
24 - Active Portfolio Construction When Risk and Alpha Factors are Misaligned
25 - Market Volatility, Optimal Portfolios and Naive Asset Allocations
26 - Hedging Strategies with Variable Purchase Options
27 - Asset Selection Using a Factor Model and Data Envelopment Analysis– A Quantile Regression Approach
28 - Tail Risk Reduction Strategies
29 - Identification and Valuation Implications of Financial Market Spirals
30 - A Rating-Based Approach to Pricing Sovereign Credit Risk
31 - Optimal Portfolio Choice, Derivatives and Event Risk
32 - Valuation and Pricing Concepts in Accounting and Banking Regulation
33 - Regulation, Regulatory Uncertainty and the Stock Market: The Case of Short Sale Bans
34 - Quantitative Easing, Financial Risk and Portfolio Diversification
35 - Revisiting Interest Rate Pricing Models from an Indian Perspective: Lessons and Challenges
36 - Investment Opportunities in Australia's Healthcare Stock Markets After the Recent Global Financial Crisis
37 - Predicting ASX Health Care Stock Index Movements After the Recent Financial Crisis Using Patterned Neural Networks
Index

Langue : Anglais

Localisation : Bibliothèque Campus de Nice

Support : Numérique

Etat : Présent

Professeur EDHEC : Oui

Propriétaire : Bibliothèque