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Innovations in Quantitative Risk Management

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Cover of 'Innovations in Quantitative Risk Management'

Table of Contents

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    Book Overview
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    Chapter 1 A Random Holding Period Approach for Liquidity-Inclusive Risk Management
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    Chapter 2 Regulatory Developments in Risk Management: Restoring Confidence in Internal Models
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    Chapter 3 Model Risk in Incomplete Markets with Jumps
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    Chapter 4 Bid-Ask Spread for Exotic Options under Conic Finance
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    Chapter 5 Derivative Pricing under the Possibility of Long Memory in the supOU Stochastic Volatility Model
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    Chapter 6 A Two-Sided BNS Model for Multicurrency FX Markets
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    Chapter 7 Modeling the Price of Natural Gas with Temperature and Oil Price as Exogenous Factors
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    Chapter 8 Copula-Specific Credit Portfolio Modeling
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    Chapter 9 Implied Recovery Rates—Auctions and Models
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    Chapter 10 Upside and Downside Risk Exposures of Currency Carry Trades via Tail Dependence
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    Chapter 11 Participating Life Insurance Contracts under Risk Based Solvency Frameworks: How to Increase Capital Efficiency by Product Design
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    Chapter 12 Reducing Surrender Incentives Through Fee Structure in Variable Annuities
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    Chapter 13 A Variational Approach for Mean-Variance-Optimal Deterministic Consumption and Investment
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    Chapter 14 Risk Control in Asset Management: Motives and Concepts
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    Chapter 15 Worst-Case Scenario Portfolio Optimization Given the Probability of a Crash
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    Chapter 16 Improving Optimal Terminal Value Replicating Portfolios
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    Chapter 17 Risk and Computation
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    Chapter 18 Extreme Value Importance Sampling for Rare Event Risk Measurement
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    Chapter 19 A Note on the Numerical Evaluation of the Hartman–Watson Density and Distribution Function
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    Chapter 20 Computation of Copulas by Fourier Methods
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    Chapter 21 Goodness-of-fit Tests for Archimedean Copulas in High Dimensions
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    Chapter 22 Duality in Risk Aggregation
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    Chapter 23 Some Consequences of the Markov Kernel Perspective of Copulas
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    Chapter 24 Copula Representations for Invariant Dependence Functions
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    Chapter 25 Nonparametric Copula Density Estimation Using a Petrov–Galerkin Projection
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Innovations in Quantitative Risk Management
Published by
Springer International Publishing, January 2015
DOI 10.1007/978-3-319-09114-3
978-3-31-909113-6, 978-3-31-909114-3

Kathrin Glau, Matthias Scherer, Rudi Zagst


Glau, Kathrin, Scherer, Matthias, Zagst, Rudi

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Mendeley readers

Mendeley readers

The data shown below were compiled from readership statistics for 85 Mendeley readers of this research output. Click here to see the associated Mendeley record.

Geographical breakdown

Country Count As %
Mexico 1 1%
Unknown 84 99%

Demographic breakdown

Readers by professional status Count As %
Student > Master 18 21%
Student > Ph. D. Student 11 13%
Student > Bachelor 9 11%
Researcher 8 9%
Other 6 7%
Other 22 26%
Unknown 11 13%
Readers by discipline Count As %
Economics, Econometrics and Finance 19 22%
Engineering 15 18%
Business, Management and Accounting 10 12%
Computer Science 5 6%
Social Sciences 5 6%
Other 16 19%
Unknown 15 18%