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This second edition - completely up to date with new exercises -
provides a comprehensive and self-contained treatment of the
probabilistic theory behind the risk-neutral valuation principle
and its application to the pricing and hedging of financial
derivatives. On the probabilistic side, both discrete- and
continuous-time stochastic processes are treated, with special
emphasis on martingale theory, stochastic integration and
change-of-measure techniques. Based on firm probabilistic
foundations, general properties of discrete- and continuous-time
financial market models are discussed.
Mastering climate change has been recognised as a major challenge
for the current decade. Besides the physical risks of climate
change, the accompanying economic risks are substantial. Carbon
Finance: A Risk Management View provides an in-depth analysis of
how climate change will affect all aspects of financial markets and
how mathematical and statistical methods can be used to analyse,
model and manage the ensuing financial risks. There is a focus on
the transition risk (termed carbon risk), but also a discussion of
the impact of physical risks (as these risks are closely entangled)
on the way to low carbon economies. This is a valuable overview for
readers seeking an analysis of carbon risks from the perspective of
financial risk management, utilising quantitative risk management
tools.
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.
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