Search Results - subject:"Financial modeling"

Optimization in financial engineering - an essay on 'good' solutions and misplaced exactitude

Gilli, Manfred; Schumann, Enrico - In: Journal of Financial Transformation 28 (2010), pp. 117-122

We discuss the precision with which financial models are handled, in particular optimization models. We argue that precision is only required to a level that is justified by the overall accuracy of the model, and that this required precision should be specifically analyzed in order to better...

Persistent link: https://www.econbiz.de/10008488881

Derivate : Handbuch für Finanzintermediäre und Investoren

Bloss, Michael; Ernst, Dietmar - 2008

Persistent link: https://www.econbiz.de/10003453195

Mapping corporate drift towards default : Part 1: a market‐based approach

Bandyopadhyay, Arindam - In: The Journal of Risk Finance 8 (2007) 1, pp. 35-45

Purpose – The purpose of this article is to discuss a Black‐Scholes‐Merton (BSM)‐based market approach to quantify the default risk of publicly‐listed individual companies. Design/methodology/approach – Using the contingent claim approach, a framework is presented to optimally use...

Persistent link: https://www.econbiz.de/10014901415

QUADRATIC HEDGING FOR THE BATES MODEL

HUBALEK, FRIEDRICH; SGARRA, CARLO - In: International Journal of Theoretical and Applied … 10 (2007) 05, pp. 873-885

In the present paper we give some preliminary results for option pricing and hedging in the framework of the Bates model based on quadratic risk minimization. We provide an explicit expression of the mean-variance hedging strategy in the martingale case and study the Minimal Martingale measure...

Persistent link: https://www.econbiz.de/10004977443

Mapping corporate drift towards default: Part 1: a market-based approach

Bandyopadhyay, Arindam - In: Journal of Risk Finance 8 (2007) January, pp. 35-45

Purpose – The purpose of this article is to discuss a Black-Scholes-Merton (BSM)-based market approach to quantify the default risk of publicly-listed individual companies. Design/methodology/approach – Using the contingent claim approach, a framework is presented to optimally use stock...

Persistent link: https://www.econbiz.de/10005002408

A Benchmark Approach to Filtering in Finance

Platen, Eckhard; Runggaldier, Wolfgang - In: Asia-Pacific Financial Markets 11 (2004) 1, pp. 79-105

The paper proposes the use of the growth optimal portfolio for pricing and hedging in incomplete markets when there are unobserved factors that have to be filtered. The proposed filtering framework is applicable also in cases when there does not exist an equivalent risk neutral martingale...

Persistent link: https://www.econbiz.de/10005727081

Model Uncertainty, Complexity and Rank in Finance

Los, Cornelis A. - EconWPA - 2004

There are three crucial mathematical system concepts in Finance, which are either being confused or misapplied - uncertainty, complexity and rank. First, the concept of epistemic uncertainty is sufficient for modeling and the concept of probability is unnecessary. This is illustrated by...

Persistent link: https://www.econbiz.de/10005119076

Financial Modeling based on the Trajectory Domain

Tsao, Chueh-Yung; Chen, Shu-Heng - Society for Computational Economics - SCE - 2003

Persistent link: https://www.econbiz.de/10005132914

Theory, Models and Implementation in Financial Management

McInnes, J. Morris; Carleton, Willard J. - In: Management Science 28 (1982) 9, pp. 957-978

, contributions to a normative theory, amenable to corporate financial modeling, are reviewed in some detail. The central propositions … of a normative theory are isolated to provide a basis of comparison for the practice of financial modeling, as observed … experience of ten years ago, computer-based financial modeling systems are today gaining much greater acceptance in business …

Persistent link: https://www.econbiz.de/10009204048

Financial Modeling, 3rd Edition

Benninga, Simon - The MIT Press

-world business. Financial Modeling bridges this gap between theory and practice by providing a nuts-and-bolts guide to solving common …

Persistent link: https://www.econbiz.de/10004973278