21 Result(s)
within
Chapter
Rüdiger Kiesel
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Chapter
Climate Risk in Structural Credit Models
This survey article reviews the current state of literature on how structural models of credit risk are employed to model the impact of climate risk on financial markets. We discuss how the two prominent types...
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Chapter
Stresstests und Carbon Risiken
Spätestens seit Mark Carney, der damalige Governor der Bank of England, in einem Interview mit der Financial Times im Dezember 2018 die Einführung von Stresstests für Carbon Risiken ankündigte, ist die Bedeutu...
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Chapter and Conference Paper
Intraday Renewable Electricity Trading: Advanced Modeling and Optimal Control
This paper is concerned with a new mathematical model for intraday electricity trading involving both renewable and conventional generation. The model allows us to incorporate market data e.g. for half-spread ...
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Chapter and Conference Paper
Pricing Options on EU ETS Certificates with a Time-Varying Market Price of Risk Model
To price options on emission certificates reduced-form models have proved to be useful. We empirically analyse the performance of the model proposed in Carmona and Hinz [2] and Hinz [8]. As we find evidence for a...
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Chapter
Valuation of Structured Financial Products by Adaptive Multiwavelet Methods in High Dimensions
We introduce a new numerical approach to value structured financial products. These financial products typically feature a large number of underlying assets and require the explicit modeling of the dependence ...
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Chapter
Electricity Options and Additional Information
Electricity markets feature a non-storable underlying, which implies the break down of traditional cash-and-carry arguments as well as the well-known spot-forward relationship. We introduce the notion of infor...
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Chapter
Fischer Black und Myron Scholes als Aktuare — Anwendungen der Optionspreistheorie in der Lebensversicherungsmathematik
Mit Hilfe finanzmathematischer Methoden lassen sich komplexe Risiken in einfachere Bestandteile zerlegen und adäquat bewerten. Damit wird es möglich, für die Übernahme solcher Risiken faire Prämien zu bestimme...
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Chapter and Conference Paper
An Extreme Analysis of VaRs for Emerging Market Benchmark Bonds
This paper examines the practical usefulness of Extreme Value Theory (EVT) techniques for estimating Value-at-Risk (VaR). Unlike most past studies, the performance of EVT estimators of empirical return distrib...
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Chapter
Sensitivity analysis of credit portfolio models
To assess the riskiness of credit-risky portfolios is one of the most challenging tasks in contemporary finance. The decision by the Basel Committee for Banking Supervision to allow sophisticated banks to use ...
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Chapter
Estimating Volatility for Long Holding Periods
The problem of estimating volatility is one of the most important topics in modern finance. Accurate specification of volatility is a prerequisite for modelling financial time series, such as interest rates or...
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Chapter
The Separating Hyperplane Theorem
In a vector space V, if x and y are vectors, the set of linear combinations αx + αy, with scalars α, β ≥ 0 with sum α + β = 1, represents geometrically the linesegment joining x to y. Each such linear combination...
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Chapter
Projections and Conditional Expectations
Given a Hilbert space (or more generally, an inner product space) V, suppose V is the direct sum of a closed subspace M and its orthogonal complement MΓ: ...
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Chapter
Stochastic Processes in Discrete Time
Access to full, accurate, up-to-date information is clearly essential to anyone actively engaged in financial activity or trading. Indeed, information is arguably the most important determinant of success in f...
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Chapter
Incomplete Markets
We now return to general continuous-time financial market models in the setting of §6.1, i.e. there are d+1 primary traded assets whose price processes are given by stochastic processes S 0,... , S ...
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Chapter
Hilbert Space
Recall our use of n-dimensional Euclidean space ℝ n , the set of n-vectors or n-tuples x = (x 1,... ,x n ) with each x ...
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Chapter
Probability Background
No-one can predict the future! All that can be done by way of prediction is to use what information is available as well as possible. Our task is to make the best quantitative statements we can about uncertain...
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Chapter
Mathematical Finance in Discrete Time
We will study so-called finite markets — i.e. discrete-time models of financial markets in which all relevant quantities take a finite number of values. Following the approach of Harrison and Pliska [115] and ...
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Chapter
Mathematical Finance in Continuous Time
This chapter discusses the general principles of continuous-time financial market models. In the first section we use a rather general model, which will serve also as a reference in the later chapters. A thoro...
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Chapter
Interest Rate Theory
In this chapter we apply the techniques developed in the previous chapters to the fast-growing fixed-income securities market. We mainly focus on the continuous-time model (since the available tools from stoch...
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Chapter
Derivative Background
The main focus of this book is the pricing of financial assets. Price formation in financial markets may be explained in an absolute manner in terms of fundamentals, as, e.g. in the so-called rational expectat...
