Valuation and Risk Management in Energy Markets surveys the mechanics of energy markets and the valuation of structures commonly arising in practice. The presentation balances quantitative issues and practicalities facing portfolio managers, with substantial attention paid to the ways in which common methods fail in practice and to alternative methods when they exist. The material spans basic fundamentals of markets, statistical analysis of price dynamics, and a sequence of increasingly challenging structures, concluding with issues arising at the enterprise level. In totality, the material has been selected to provide readers with the analytical foundation required to function in modern energy trading and risk management groups.
Portfolio risk forecasting has been and continues to be an active research field for both academics and practitioners. Almost all institutional investment management firms use quantitative models for
Investment and risk management problems are fundamental problems for financial institutions and involve both speculative and hedging decisions. A structured approach to these problems naturally leads
The most salient feature of security returns is uncertainty. The purpose of the book is to provide systematically a quantitative method for analyzing return and risk of a portfolio investment in diffe
Investment and risk management problems are fundamental problems for financial institutions and involve both speculative and hedging decisions. A structured approach to these problems naturally leads
The Nobel Prize-winning Father of Modern Portfolio Theory provides new insights and methods to help you build a lasting portfolioLegendary economist Harry M. Markowitz returns with the second volume i
Developing a framework for solving complex asset choice problems in the presence of risk, this textbook explains mean variance portfolio theory, techniques for selecting the optimum portfolio, models
Advances in Investment Analysis and Portfolio Management (New Series) is an annual publication designed to disseminate developments in the area of investment analysis and portfolio management. The publication is a forum for statistical and quantitative analyses of issues in security analysis, portfolio management, options, futures, and other related issues. The objective is to promote interaction between academic research in finance, economics, and accounting and applied research in the financial community. The chapters in this volume cover a wider range of topics including equity markets, risk return trade-off analysis and portfolio management, and IPOs. In this volume there are 10 chapters, four of them analyze the issues of equity markets: 1. Revisiting U.S. Stock Market Returns: Individual Retirement Accounts; 2. Asset Returns and Monetary Policy in the Emerging Taiwan Financial Markets; 3. On the Intradaily Relationship between Information Revelation and Trade Duration: The Evi
In this concise yet comprehensive guide to the mathematics of modern portfolio theory the authors discuss mean-variance analysis, factor models, utility theory, stochastic dominance, very long term investing, the capital asset pricing model, risk measures including VAR, coherence, market efficiency, rationality and the modelling of actuarial liabilities. Each topic is clearly explained with assumptions, mathematics, limitations, problems and solutions presented in turn. Joshi's trademark style of clarity and practicality is here brought to classical financial mathematics. The book is suitable for mathematically trained students in actuarial studies, business and economics as well as mathematics and finance, and it can be used for both self-study and as a course text. The authors' experience as both academics and practitioners brings clarity and relevance to the book, whilst ensuring that the limitations of models are highlighted.
An updated guide to risk analysis and modeling Although risk was once seen as something that was both unpredictable and uncontrollable, the evolution of risk analysis tools and theories has changed t
The two most important words Harry Markowitz ever wrote are "portfolio selection." In 1952, when everyone in the stock market was looking for the next hot stock, as a doctoral candidate, he proposed t
This book focuses on analysis of credit risk, derivatives, equity investments, portfolio management, quantitative methods, and risk management. In terms of application, this book can be used as a
This book focuses on analysis of credit risk, derivatives, equity investments, portfolio management, quantitative methods, and risk management. In terms of application, this book can be used as a
Valuation and Risk Management in Energy Markets surveys the mechanics of energy markets and the valuation of structures commonly arising in practice. The presentation balances quantitative issues and practicalities facing portfolio managers, with substantial attention paid to the ways in which common methods fail in practice and to alternative methods when they exist. The material spans basic fundamentals of markets, statistical analysis of price dynamics, and a sequence of increasingly challenging structures, concluding with issues arising at the enterprise level. In totality, the material has been selected to provide readers with the analytical foundation required to function in modern energy trading and risk management groups.
From bestselling author and NYU Business School professor Scott Galloway comes a keenly insightful, urgent analysis of who stands to win and who’s at risk to lose in a post-pandemic worldAs Lenin once
Currently the methods of Soft Computing are successfully used for risk analysis in: budgeting, e-commerce development, portfolio selection, Black-Scholes option pricing models, corporate acquisition s
Explains the basics of pricing along with risk analysis for bonds, shares and exchange rates, illustrating the use of these fundamentals for portfolio management.
