Rethinking Valuation and Pricing Models

Rethinking Valuation and Pricing Models

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It is widely acknowledged that many financial modelling techniques failed during the financial crisis, and in our post-crisis environment many techniques are being reconsidered. This single volume provides a guide to lessons learned for practitioners and a reference for academics. Including reviews of traditional approaches, real examples, and case studies, contributors consider portfolio theory; methods for valuing equities and equity derivatives, interest rate derivatives, and hybrid products; and techniques for calculating risks and implementing investment strategies. Describing new approaches without losing sight of their classical antecedents, this collection of original articles presents a timely perspective on our post-crisis paradigm. Highlights pre-crisis best classical practices, identifies post-crisis key issues, and examines emerging approaches to solving those issues Singles out key factors one must consider when valuing or calculating risks in the post-crisis environment Presents material in a homogenous, practical, clear, and not overly technical mannerHis research interests include international finance (market microstructure), empirical asset pricing (option pricing), technical trading, non-extensive entropy, ... He has held various senior quant positons at Merril Lynch and Bank Of America specializing in Interest Rates and long dated FX modelling. ... Prior to that he worked in the field of credit derivative modeling in Credit Portfolio Management group.

Title:Rethinking Valuation and Pricing Models
Author:Carsten S. Wehn, Christian Hoppe, Greg N. Gregoriou
Publisher:Academic Press - 2013


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