Advanced modelling in mathematical finance : in honour of Ernst Eberlein /: in honour of Ernst Eberlein. (2016)

• Record Type: Book
• Further Information: Note: Jan Kallsen, Antonis Papapantoleon, editors.
• Editors: Kallsen, Jan; Papapantoleon, Antonis
• Other Names: Eberlein, Ernst honouree.
• Contents: Preface; A Conference in Honour of Ernst Eberlein; Contents; Interview with Ernst Eberlein; Part I Flexible Levy-based Models; Tail Behaviour and Tail Dependence of Generalized Hyperbolic Distributions; 1 Introduction; 2 Univariate GIG and GH Distributions and Some of Their Limits; 3 Tail Behaviour of GH Distributions and Their Convolutions; 4 Multivariate Normal Mean-Variance Mixtures and GH Distributions; 5 On the Dependence Structure of Multivariate GH Distributions; 6 Some Further Remarks and Developments; References; Gamma Kernels and BSS/LSS Processes; 1 Introduction. 2 BSS and LSS Processes3 Gamma Kernel as Green's Function; 4 Autocorrelation; 5 Pathwise Behaviour; 6 Recovery and Inference; References; Explicit Computations for Some Markov Modulated Counting Processes; 1 Introduction; 2 The MM Model for Multiple Obligors; 2.1 The MM One Point Process; 2.2 The MM Model for Multiple Obligors; 3 The Markov Modulated Poisson Process; 3.1 The Model; 3.2 Conditional Probabilities; 3.3 Conditional Characteristic Function; 4 Filtering; 4.1 Filtering for the MM Multiple Point Process; 4.2 Filtering for the MM Poisson Process; 5 Rapid Switching. 5.1 Rapid Switching for the MM Multiple Point Process5.2 Rapid Switching for the MM Poisson Process; References; Part II Statistics and Risk; Introducing Distances Between Commodity Markets: The Case of the US and UK Natural Gas; 1 Introduction; 2 Trading Strategies in Natural Gas Markets; 3 Natural Gas Forward Markets; 4 Conclusion; References; Three Non-Gaussian Models of Dependence in Returns; 1 The Models Studied; 1.1 The Model FGC; 1.2 The Model LML; 1.3 The Model VGC; 1.4 Comparative Remarks on the Three Models; 2 Estimation Procedures; 3 Investigating Goodness of Fit. 4 Local Correlation4.1 Local Correlation for FGC; 4.2 Local Correlation for VGC; 4.3 Local Correlation for LML; 5 The Data Employed; 6 Model Correlation Signatures; 6.1 FGC; 6.2 LML; 6.3 VGC; 6.4 Correlation Signature Results for Energy and the Cross Sector Group; 7 Conclusion; References; Estimation of Correlation Between Latent Processes; 1 Introduction; 2 Model; 3 Results; 4 Proof; References; Hunting for Black Swans in the European Banking Sector Using Extreme Value Analysis; 1 Introduction; 2 A Recollection from Univariate Extreme Value Methodology; 2.1 Max-Domain of Attraction. 2.2 Estimation when xi>03 Estimating the Scale Parameter; 4 Testing for Black Swans; 4.1 Return Periods of Worst Negative Log-Returns; 4.2 Testing for Differences in Shape or Scale; 5 Relating Statistical Conclusions with Economic Indicators; References; Collateralized Borrowing and Default Risk; 1 Introduction; 2 Model; 2.1 Firm Assets; 2.2 Debt Structure; 2.3 Default Timing; 3 Default Probability and Debt Value; 3.1 Analytic Representation of Default Probability; 3.2 Calculation of Debt and Firm Value; 4 Numerical Results; 4.1 Model Parameters; 4.2 Default Probability; 5 Conclusion.
• Publisher Details: Cham, Switzerland : Springer
• Publication Date: 2016
• Extent: 1 online resource
• Subjects: 650.01/51; 510; Mathematics; Business mathematics; BUSINESS & ECONOMICS -- Management; BUSINESS & ECONOMICS -- Reference; BUSINESS & ECONOMICS -- Skills; Business mathematics; Mathematics; Quantitative Finance; Probability Theory and Stochastic Processes; Mathematics -- Probability & Statistics -- General; Probability & statistics; Finance; Distribution (Probability theory); Mathematics -- Applied; Finance & accounting; Electronic books; Electronic books
• Languages: English
• ISBNs: 9783319458755; 3319458752; 3319458736; 9783319458731
• Related ISBNs: 9783319458731
• Notes: Note: Includes bibliographical references at the end of each chapters.
• Access Rights: Legal Deposit; Only available on premises controlled by the deposit library and to one user at any one time; The Legal Deposit Libraries (Non-Print Works) Regulations (UK).
• Access Usage: Restricted: Printing from this resource is governed by The Legal Deposit Libraries (Non-Print Works) Regulations (UK) and UK copyright law currently in force.