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After the ?rst edition of this book was published in early 2005, the world has changed dramatically and at a pace never seen before. The changes that - curred in 2008 and 2009 were completely unthinkable two years before. These changes took place not only in the Finance sector, the origin of the crisis, but also, as a result, in other economic sectors like the automotive sector. Governments now own substantial parts, if not majorities, in banks or other companies which recorded losses of double digit billions of USD in 2008. 2008 saw the collapse of leading stand-alone U. S. investment banks. In many co- tries interest rates fell close to zero. What has happend? While the economy showed strong growth in 2004 to 2006, the Subprime or Credit Crisis changed the picture completely. What started in the U. S. ho- ing market in late 2006 became a full-?edged global ?nancial crisis and has a?ected ?nancial markets around the world. A decline in U. S. house prices and increasing interest rates caused a higher rate of subprime mortgage delinqu- cies in the U. S. and, due to the wide distribution of securitized assets, had a negative e?ect on other markets. As a result, markets realized that risks had been underestimated and volatility increased. This development culminated in the bankruptcy of the investment bank Lehman Brothers in mid September 2008.
This book is a guide to asset and risk management from a practical point of view. It is centered around two questions triggered by the global events on the stock markets since the middle of the last decade: - Why do crashes happen when in theory they should not? - How do investors deal with such crises in terms of their risk measurement and management and as a consequence, what are the implications for the chosen investment strategies? The book presents and discusses two different approaches to finance and investing, i.e., modern portfolio theory and behavioral finance, and provides an overview of stock market anomalies and historical crashes. It is intended to serve as a comprehensive introduction to asset and risk management for bachelor s and master s students in this field as well as for young professionals in the asset management industry. A key part of this bookis the exercises to further demonstrate the concepts presented with examples and a step-by-step business case. AnExcel file with the calculations and solutions for all 17 examples as well as all business case calculations can be downloaded at extras.springer.com."
This book is a guide to asset and risk management from a practical point of view. It is centered around two questions triggered by the global events on the stock markets since the middle of the last decade: - Why do crashes happen when in theory they should not? -  How do investors deal with such crises in terms of their risk measurement and management and as a consequence, what are the implications for the chosen investment strategies? The book presents and discusses two different approaches to finance and investing, i.e., modern portfolio theory and behavioral finance, and provides an overview of stock market anomalies and historical crashes. It is intended to serve as a comprehensive introduction to asset and risk management for bachelor’s and master’s students in this field as well as for young professionals in the asset management industry. A key part of this book is the exercises to further demonstrate the concepts presented with examples and a step-by-step business case. An Excel file with the calculations and solutions for all 17 examples as well as all business case calculations can be downloaded at extras.springer.com.
Diplomarbeit aus dem Jahr 1997 im Fachbereich Mathematik - Angewandte Mathematik, Note: 1.0, Johannes Gutenberg-Universitat Mainz (Fachbereich Mathematik), 23 Quellen im Literaturverzeichnis, Sprache: Deutsch, Abstract: Statistische Verfahren fur finanzmathematische Modelle sind eines der interessantesten Gebiete der Finanzmathematik. Dies liegt daran, dass die Mathematisierung der Finanzwelt immer starker voranschreitet und mathematische Modelle exakte Inputparameter benotigen, die zuvor erst aus historischen Daten gewonnen werden mussen. Ziel dieses Buches ist es, aktuelle Schatzverfahren fur bestimmte Klassen von Diffusionsprozessen detailliert vorzustellen und an Beispielen aus der Praxis zu testen. Dabei werden insbesondere die Mean-Reverting Prozesse behandelt, die Grundlage jeder Simulation der Zinsstrukturkurve sind. Ein Schwerpunk liegt dabei auf dem Vasicek Modell und dem Cox-Ingersoll-Ross Modell. Das Buch gliedert sich in drei Teile: Der erste Teil widmet sich den stochastischen Grundlagen der Diffusionsprozesse und fuhrt in die Theorie der Zinsstrukturmodelle ein. Der zweite Teil wendet sich den Schatzverfahren fur die Parameter der stochastischen Prozesse zu. Diese Verfahren ermoglichen es, die Drift und die Volatilitat eines stochastischen Prozesses zu schatzen. Hier werden z.B. Maximum-Likelihood-Schatzer und Martingalschatzfunktionen vorgestellt. Im dritten und letzten Teil werden die Schatzverfahren fur die Diffusionsprozesse intensiv getestet und die Tests ausgewertet. Die Tests erfolgen sowohl an simulierten als auch an historischen Datensatzen (historical backtesting). In diesem Zusammenhang werden auch die Grundlagen von QQ-Plots und der Monte-Carlo Simulation zur Erzeugung von Zeitreihen stochastischer Prozesse mittels Computerprogrammen vorgestellt.
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