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1. 1 The Area of Research In this thesis, we will investigate the 'market-conform' pricing of newly issued contingent claims. A contingent claim is a derivative whose value at any …
This monograph critically reviews and updates real estate valuation theory, which is based on neoclassical economics, in light of developments in heterodox economic theory. …
The class of interest rate models introduced by O. Cheyette in 1994 is a subclass of the general HJM framework with a time dependent volatility parameterization. This book …
1 The tools of modern portfolio theory are in general use in the equity markets, either in the form of portfolio optimization software or as an accepted frame- 2 work in which the …
I first came across the issue of derivatives documentation when writing my diploma thesis on measuring the credit risk ofOTC derivatives while I was an economics student at the …
In the last few years, a re?ned pricing of corporate securities has come intofocusofacademicsandpractitioners.Asempiricalresearchshowed, …
This book is a guide to asset and risk management from a practical point of view. It is centered around two questions triggered by the global events on the stock markets since the …
Portfolio analysis and optimization, together with the associated risk assessment and management, require knowledge of the likely distributions of returns at different time scales …