Utility and risk are two often competing measurements on the investment success. We show that efficient trade-off between these two measurements for investment portfolios happens, in general, on a convex curve in the two-dimensional space of utility and risk. This is a rather general pattern....

The aim of this paper is to provide several examples of convex risk measures necessary for the application of the general framework for portfolio theory of Maier-Paape and Zhu (2018), presented in Part I of this series. As an alternative to classical portfolio risk measures such as the standard...

"Machine learning (ML) is changing virtually every aspect of our lives. Today ML algorithms accomplish tasks that until recently only expert humans could perform. As it relates to finance, this is the most exciting time to adopt a disruptive technology that will transform how everyone invests...

Introduction to modelling, core themes and best practices -- Models of models -- Using models in decision support -- Core competencies and best practices : meta-themes -- Model design and planning -- Defining sensitivity and flexibility requirements -- Database versus formulae-driven approaches...

Introduction to R programming -- Statistics in finance -- Statistical analysis with R -- Time series analysis with R -- Basic theory of finance -- Modern portfolio theory and CAPM -- Interest rate swap and discount factor -- Discrete time model: tree model -- Continuous time model and the...

" Continuous-Time Models in Corporate Finance synthesizes four decades of research to show how stochastic calculus can be used in corporate finance. Combining mathematical rigor with economic intuition, Santiago Moreno-Bromberg and Jean-Charles Rochet analyze corporate decisions such as dividend...

Preface -- Exotic options -- Passport to success / Hyer, Lipton, Pugachevsky -- Similarities via self-similarities / Lipton -- Predictability and unpredictability in financial markets / Lipton -- Universal barriers / Lipton, McGhee -- Pricing of vanilla and first generation exotic options /...

"Das Lehr- & Lernbuch für Wirtschaftswissenschaftler mit Aufgaben und Lösungen. Anhand von Praxisbeispielen aus der BWL und zahlreichen Anwendungen werden alle Inhalte vermittelt, die in den Pflichtvorlesungen zur Mathematik für Wirtschaftsinformatiker und Betriebswirtschaftler thematisiert...

This book provides an advanced guide to correlation modelling for credit portfolios, providing both theoretical underpinnings and practical implementation guidance. The book picks up where pre-crisis credit books left off, offering guidance for quants on the latest tools and techniques for...

Preface -- Books for which the problems are designed -- Section A: Arbitrage and asset pricing -- Appendix A: Fundamentals of asset pricing -- Section a exercises -- Section B: Utility theory -- Appendix B: Technical fundamentals for utility theory -- Section B: Exercises -- Stochastic dominance...

"Extreme Events in Finance: A Handbook of Extreme Value Theory and its Applications features a combination of the theory, methods, and applications of extreme value theory (EVT) in finance as well as a practical understanding of market behavior including both ordinary and extraordinary conditions."

Interest rate measurement -- Valuation of annuities -- Loan repayment -- Bond valuation -- Measuring the rate of return of an investment -- The term structure of interest rates -- Cashflow duration and immunization -- Additional topics in finance and investment -- Forwards, futures, swaps, and...

Introduction -- Loving to learn -- Science is my playground -- Physics and mathematics -- Las Vegas -- Conquering blackjack -- The day of the lamb -- Card counting for everyone -- Players versus casinos -- A computer that predicts roulette -- An edge at other gambling games -- Wall Street: the...

Modelling credit risk accurately is central to the practice of mathematical finance. This volume of the Mastering Mathematical Finance series offers a comprehensive and accessible introduction to the subject tailored specially for master's students. The book focuses on the two mainstream...

Machine generated contents note: -- Chapter 1: Foundations of financial economics: the key role of the Gaussian distribution -- Chapter 2: Extreme values in financial economics: from their observation to their integration into the Gaussian framework -- Chapter 3. New tools for extreme-value...