This book provides the reader with a background on simulating copulas and multivariate distributions in general. It unifies the scattered literature on the simulation of various families of copulas (elliptical, Archimedean, Marshall-Olkin type, etc.) as well as on different construction principles (factor models, pair-copula construction, etc.). The book is self-contained and unified in presentation and can be used as a textbook for advanced undergraduate or graduate students with a firm background in stochastics. Alongside the theoretical foundation, ready-to-implement algorithms and many examples make this book a valuable tool for anyone who is applying the methodology.

This book presents 20 peer-reviewed chapters on current aspects of derivatives markets and derivative pricing. The contributions, written by leading researchers in the field as well as experienced authors from the financial industry, present the state of the art in: * Modeling counterparty credit risk: credit valuation adjustment, debit valuation adjustment, funding valuation adjustment, and wrong way risk. * Pricing and hedging in fixed-income markets and multi-curve interest-rate modeling. * Recent developments concerning contingent convertible bonds, the measuring of basis spreads, and the modeling of implied correlations. The recent financial crisis has cast tremendous doubts on the classical view on derivative pricing. Now, counterparty credit risk and liquidity issues are integral aspects of a prudent valuation procedure and the reference interest rates are represented by a multitude of curves according to their different periods and maturities. A panel discussion included in the book (featuring Damiano Brigo, Christian Fries, John Hull, and Daniel Sommer) on the foundations of modeling and pricing in the presence of counterparty credit risk provides intriguing insights on the debate.

This book covers recent developments in the interdisciplinary fields of actuarial science, quantitative finance, risk- and asset management. The authors are leading experts from academia and practice who participated in Innovations in Insurance, Risk- and Asset Management, an international conference held at the Technical University of Munich in 2017.The topics covered include the mathematics of extreme risks, systemic risk, model uncertainty, interest rate and hybrid models, alternative investments, dynamic investment strategies, quantitative risk management, asset liability management, liability driven investments, and behavioral finance.This timely selection of topics is highly relevant for the financial industry and addresses current issues both from an academic as well as from a practitioner's point of view.

'The book remains a valuable tool both for statisticians who are already familiar with the theory of copulas and just need to develop sampling algorithms, and for practitioners who want to learn copulas and implement the simulation techniques needed to exploit the potential of copulas in applications.'Mathematical ReviewsThe book provides the background on simulating copulas and multivariate distributions in general. It unifies the scattered literature on the simulation of various families of copulas (elliptical, Archimedean, Marshall-Olkin type, etc.) as well as on different construction principles (factor models, pair-copula construction, etc.). The book is self-contained and unified in presentation and can be used as a textbook for graduate and advanced undergraduate students with a firm background in stochastics. Besides the theoretical foundation, ready-to-implement algorithms and many examples make the book a valuable tool for anyone who is applying the methodology.

This book combines academic research and practical expertise on alternative assets and trading strategies in a unique way. The asset classes that are discussed include: credit risk, cross-asset derivatives, energy, private equity, freight agreements, real alternative assets (RAA), and socially responsible investments (SRI). The coverage on trading and investment strategies are directed at portfolio insurance, especially constant proportion portfolio insurance (CPPI) and constant proportion debt obligation (CPDO) strategies, robust portfolio optimization, and hedging strategies for exotic options.

This book presents 20 peer-reviewed chapters on current aspects of derivatives markets and derivative pricing. The contributions, written by leading researchers in the field as well as experienced authors from the financial industry, present the state of the art in: * Modeling counterparty credit risk: credit valuation adjustment, debit valuation adjustment, funding valuation adjustment, and wrong way risk. * Pricing and hedging in fixed-income markets and multi-curve interest-rate modeling. * Recent developments concerning contingent convertible bonds, the measuring of basis spreads, and the modeling of implied correlations. The recent financial crisis has cast tremendous doubts on the classical view on derivative pricing. Now, counterparty credit risk and liquidity issues are integral aspects of a prudent valuation procedure and the reference interest rates are represented by a multitude of curves according to their different periods and maturities. A panel discussion included in the book (featuring Damiano Brigo, Christian Fries, John Hull, and Daniel Sommer) on the foundations of modeling and pricing in the presence of counterparty credit risk provides intriguing insights on the debate.

Studienarbeit aus dem Jahr 2012 im Fachbereich Technik, Note: 1,3, Karlsruher Institut fur Technologie (KIT) (Institut fur Geistes- und Sozialwissenschaften), Veranstaltung: Technikgeschichte und Technikphilosophie, Sprache: Deutsch, Abstract: Der Begriff der Mechanik kann in zwei Bereiche unterteilt werden: in die praktische und theoretische Mechanik. Schon die agyptischen und babylonischen Hochkulturen verstanden es, einfache Maschinen" wie den Hebel fur zahlreiche Bauwerke und zudem fur agrarische Zwecke zu nutzen. Jedoch konnten diese Hochkulturen die eingesetzten Geratschaften und deren Wirkungsweise nicht durch mechanisch-physikalische Grundsatze erlautern. Ausgehend von dem praktischen Anwendungswissen uber jene Geratschaften, welche in zahlreichen Abwandlungen sowohl im Bauwesen als auch in der Landwirtschaft zum Einsatz kamen, sollte nun eine Theorie der Mechanik erschaffen werden. Zur Themeneingrenzung In dieser Arbeit soll vor allem die methodische Entwicklung der Mechanik der Antike betrachtet und erortert werden. Von der aristotelischen Naturphilosophie ausgehend wird zunachst die Entwicklung einer methodischen Mechanik und deren Etablierung als eigenstandige Disziplin innerhalb der Philosophie betrachtet. Nach einigen Erlauterungen zur aristotelischen Mechanik und deren Prinzipien - sowie deren Ursprung - soll der Fokus sodann auf die axiomatisch-deduktive Methodik des Archimedes von Syrakus gelegt werden. Ausgehend von der exakten Beschreibung mechanischer Instrumente und Prozesse, sollen weitere hellenistische Autoren wie Heron von Alexandria und Philon von Byzanz sowie der synchron einhergehende Anstieg von mechanisch-technischen Traktaten jenes Zeitalters betrachtet werden. Auch das Verhaltnis der Technik zur Medizin soll anhand einiger Textstellen (u.a. aus dem Corpus Hippokraticum des Hippokrates von Kos) dargelegt werden.