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Malcolm Kemp Market Consistency. Model Calibration in Imperfect Markets


Achieving market consistency can be challenging, even for the most established finance practitioners. In Market Consistency: Model Calibration in Imperfect Markets, leading expert Malcolm Kemp shows readers how they can best incorporate market consistency across all disciplines. Building on the author's experience as a practitioner, writer and speaker on the topic, the book explores how risk management and related disciplines might develop as fair valuation principles become more entrenched in finance and regulatory practice. This is the only text that clearly illustrates how to calibrate risk, pricing and portfolio construction models to a market consistent level, carefully explaining in a logical sequence when and how market consistency should be used, what it means for different financial disciplines and how it can be achieved for both liquid and illiquid positions. It explains why market consistency is intrinsically difficult to achieve with certainty in some types of activities, including computation of hedging parameters, and provides solutions to even the most complex problems. The book also shows how to best mark-to-market illiquid assets and liabilities and to incorporate these valuations into solvency and other types of financial analysis; it indicates how to define and identify risk-free interest rates, even when the creditworthiness of governments is no longer undoubted; and it explores when practitioners should focus most on market consistency and when their clients or employers might have less desire for such an emphasis. Finally, the book analyses the intrinsic role of regulation and risk management within different parts of the financial services industry, identifying how and why market consistency is key to these topics, and highlights why ideal regulatory solvency approaches for long term investors like insurers and pension funds may not be the same as for other financial market participants such as banks and asset managers.

6748.66 RUR

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Malcolm Kemp Market Consistency. Model Calibration in Imperfect Markets


Achieving market consistency can be challenging, even for the most established finance practitioners. In Market Consistency: Model Calibration in Imperfect Markets, leading expert Malcolm Kemp shows readers how they can best incorporate market consistency across all disciplines. Building on the author's experience as a practitioner, writer and speaker on the topic, the book explores how risk management and related disciplines might develop as fair valuation principles become more entrenched in finance and regulatory practice. This is the only text that clearly illustrates how to calibrate risk, pricing and portfolio construction models to a market consistent level, carefully explaining in a logical sequence when and how market consistency should be used, what it means for different financial disciplines and how it can be achieved for both liquid and illiquid positions. It explains why market consistency is intrinsically difficult to achieve with certainty in some types of activities, including computation of hedging parameters, and provides solutions to even the most complex problems. The book also shows how to best mark-to-market illiquid assets and liabilities and to incorporate these valuations into solvency and other types of financial analysis; it indicates how to define and identify risk-free interest rates, even when the creditworthiness of governments is no longer undoubted; and it explores when practitioners should focus most on market consistency and when their clients or employers might have less desire for such an emphasis. Finally, the book analyses the intrinsic role of regulation and risk management within different parts of the financial services industry, identifying how and why market consistency is key to these topics, and highlights why ideal regulatory solvency approaches for long term investors like insurers and pension funds may not be the same as for other financial market participants such as banks and asset managers.

6575.6 RUR

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Malcolm Kemp Extreme Events. Robust Portfolio Construction in the Presence of Fat Tails


Taking due account of extreme events when constructing portfolios of assets or liabilities is a key discipline for market professionals. Extreme events are a fact of life in how markets operate. In Extreme Events: Robust Portfolio Construction in the Presence of Fat Tails, leading expert Malcolm Kemp shows readers how to analyse market data to uncover fat-tailed behaviour, how to incorporate expert judgement in the handling of such information, and how to refine portfolio construction methodologies to make portfolios less vulnerable to extreme events or to benefit more from them. This is the only text that combines a comprehensive treatment of modern risk budgeting and portfolio construction techniques with the specific refinements needed for them to handle extreme events. It explains in a logical sequence what constitutes fat-tailed behaviour and why it arises, how we can analyse such behaviour, at aggregate, sector or instrument level, and how we can then take advantage of this analysis. Along the way, it provides a rigorous, comprehensive and clear development of traditional portfolio construction methodologies applicable if fat-tails are absent. It then explains how to refine these methodologies to accommodate real world behaviour. Throughout, the book highlights the importance of expert opinion, showing that even the most data-centric portfolio construction approaches ultimately depend on practitioner assumptions about how the world might behave. The book includes: Key concepts and methods involved in analysing extreme events A comprehensive treatment of mean-variance investing, Bayesian methods, market consistent approaches, risk budgeting, and their application to manager and instrument selection A systematic development of the refinements needed to traditional portfolio construction methodologies to cater for fat-tailed behaviour Latest developments in stress testing and back testing methodologies A strong focus on the practical implementation challenges that can arise at each step in the process and on how to overcome these challenges “Understanding how to model and analyse the risk of extreme events is a crucial part of the risk management process. This book provides a set of techniques that allow practitioners to do this comprehensively.” Paul Sweeting, Professor of Actuarial Science, University of Kent “How can the likeliness of crises affect the construction of portfolios? This question is highly topical in times where we still have to digest the last financial collapse. Malcolm Kemp gives the answer. His book is highly recommended to experts as well as to students in the financial field.” Christoph Krischanitz, President Actuarial Association of Austria, Chairman WG “Market Consistency” of Groupe Consultatif

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Malcolm Balen A Model Victory

Trading in the Zone


Douglas uncovers the underlying reasons for lack of consistency and helps traders overcome the ingrained mental habits that cost them money. He takes on the myths of the market and exposes them one by one teaching traders to look beyond random outcomes, to understand the true realities of risk, and to be comfortable with the "probabilities" of market movement that governs all market speculation.

3964 RUR

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Gotsch Irina Libor Market Model


Revision with unchanged content. The Libor Market Model is a financial model used to price and hedge exotic interest rate derivatives. The model is accepted and used widely due to its consistence with the standard market formula, Black's cap (floor) formula. This compatibility simplifies the calibration because the Black's quoted prices for standard interest rate derivatives can be directly used as an input for the model. The goal of this book is to examine the Libor Market Model theoretically and apply it practically to the pricing of standard caps, discrete barriers, European swaptions and ratchets. The dynamic of the Libor Market Model will be de­ri­ved and all steps of its implementation using Monte Carlo simulation will be explained. Implementation is fulfilled using different volatility and correlation structuring. Certain care should be taken when calibrating the Libor Market Model and structuring the forward rate volatilities and correlations as they may affect prices of interest rate derivatives considerably. The book is aimed at graduate students of finance and practitioners implementing this model in practice. C source code, used for pricing interest rate derivatives in this book, may be ordered at the following web site:

8764 RUR

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Andreas Kauerhof Tesla Motors Inc. Market Entry Strategy in Germany


Seminar paper from the year 2016 in the subject Business economics - Business Management, Corporate Governance, grade: 1,3, University of applied sciences, Munich, language: English, abstract: The author of this assignment reviews the Tesla's business model approach and its strategy in the non-domestic German market. Tesla's firm specific advantages are especially related to innovation of the vehicle, the battery and the infrastructure. Tesla Motors follows a product strategy entering from premium market and moving towards mass market. After starting with a high-price Roadster model Tesla launched the more affordable Sedan and a SUV model. In 2017 Tesla plans to launch its first mass market EV. Tesla shows a new value chain in the automotive industry by a deep of vertical integration from EVs manufacturing towards software, recharging network and battery manufacturing. Tesla entered the German market to export premium EVs. The Automaker also builds a charging network in Germany and prepares the market for its future mass production Model 3 coming in 2017. This work consists of three major parts. The first part deals with the theoretical background of international strategies for MNEs. The second part describes Tesla as a company and its strategy. The last part analyzes the competitive advantages of Tesla and shows how they are used to enter the German market. This work ends with a final reflection and a conclusion of the research.

2277 RUR

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Yingjie Hu Gene Selection Based on Consistency Modelling, Algorithms and Applications - Genetic Algorithm Application in Bioinformatics Data Analysis


Consistency modeling for gene selection is a new topic emerging from recent cancer bioinformatics research. The result of classification or clustering on a training set was often found very different from the same operations on a testing set. Here, the issue is addressed as a consistency problem. In practice, the inconsistency of microarray datasets prevents many typical gene selection methods working properly for cancer diagnosis and prognosis. In an attempt to deal with this problem, a new concept of performance-based consistency is proposed in this thesis. The proposed consistency concept has been investigated on eight benchmark microarray and proteomic datasets. The experimental results show that the different microarray datasets have different consistency characteristics, and that better consistency can lead to an unbiased and reproducible outcome with good disease prediction accuracy.

8127 RUR

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Riccardo Rebonato The SABR/LIBOR Market Model. Pricing, Calibration and Hedging for Complex Interest-Rate Derivatives


This book presents a major innovation in the interest rate space. It explains a financially motivated extension of the LIBOR Market model which accurately reproduces the prices for plain vanilla hedging instruments (swaptions and caplets) of all strikes and maturities produced by the SABR model. The authors show how to accurately recover the whole of the SABR smile surface using their extension of the LIBOR market model. This is not just a new model, this is a new way of option pricing that takes into account the need to calibrate as accurately as possible to the plain vanilla reference hedging instruments and the need to obtain prices and hedges in reasonable time whilst reproducing a realistic future evolution of the smile surface. It removes the hard choice between accuracy and time because the framework that the authors provide reproduces today's market prices of plain vanilla options almost exactly and simultaneously gives a reasonable future evolution for the smile surface. The authors take the SABR model as the starting point for their extension of the LMM because it is a good model for European options. The problem, however with SABR is that it treats each European option in isolation and the processes for the various underlyings (forward and swap rates) do not talk to each other so it isn't obvious how to relate these processes into the dynamics of the whole yield curve. With this new model, the authors bring the dynamics of the various forward rates and stochastic volatilities under a single umbrella. To ensure the absence of arbitrage they derive drift adjustments to be applied to both the forward rates and their volatilities. When this is completed, complex derivatives that depend on the joint realisation of all relevant forward rates can now be priced. Contents THE THEORETICAL SET-UP The Libor Market model The SABR Model The LMM-SABR Model IMPLEMENTATION AND CALIBRATION Calibrating the LMM-SABR model to Market Caplet prices Calibrating the LMM/SABR model to Market Swaption Prices Calibrating the Correlation Structure EMPIRICAL EVIDENCE The Empirical problem Estimating the volatility of the forward rates Estimating the correlation structure Estimating the volatility of the volatility HEDGING Hedging the Volatility Structure Hedging the Correlation Structure Hedging in conditions of market stress

8993.58 RUR

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New Jewelry on The Market Stainless Steel Magnet Health Necklace Women's Model

Kathrin Tiecke How to solve the Lack of Volatility in standard MP model


Research Paper (undergraduate) from the year 2009 in the subject Economics - Macro-economics, general, grade: 2,3, Humboldt-University of Berlin (Wirtschaftstheorie II (Makro)), course: Arbeitsmarktökonomik, language: English, abstract: The standard search and matching model (D. Mortensen and C.Pissarides,1994; Pissarides, 2000) has been recently challanged by many economists. The Mortensen-Pissarides (1994) model in general says that it takes time to match jobs and workers, which causes unemployment as an outcome of market frictions. The volatility of unemployment fluctuations in the model is not corresponding to the baseline calibration that R. Shimer (2005) has found for the US data. Many authors modified the model in order to solve this lack of volatility.First I introduce the Mortensen-Pissarides model to refer in the second part to the models parameters. Next, I present solutions found by Hall (2005) who solves the model via rigid wage setting and Hagedorn and Manovskii(2005) who provide a small surplus calibration to overcome the lack in volatility of the labor market variables. According to the so called "Shimer Puzzle" I will present shortly the findings of Gartner, Merkl and Rothe (2009), who calibrate the key labor market variables over the business cycle for the West-German labor market. Further I introduce Morensen and Nagypál (2007) publications on an amneded version of the model and a model with endogenous separations.

1427 RUR

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RONALD VAN DER KEMP Свитер


вязаное изделие, съемная аппликация, без аппликаций, леопардовый рисунок, круглый вырез горловины, трикотаж средней плотности, длинные рукава, без карманов

47500 RUR

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RONALD VAN DER KEMP Блузка


креп, оборки, одноцветное изделие, застежка спереди, застежки-крючки, длинные рукава, без карманов, круглый вырез горловины

15950 RUR

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RONALD VAN DER KEMP Pубашка


креп, цветочный рисунок, застежка спереди, пуговицы, длинные рукава, классический воротник, без карманов, контрастные аппликации

13900 RUR

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RONALD VAN DER KEMP Блузка


органза, креп, плиссе, без аппликаций, одноцветное изделие, пуговицы, длинные рукава, манжеты на пуговицах, воротник-стойка, без карманов

27800 RUR

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Mini 3-channel Servo Tester Consistency Master 3CH ECS Speed Controler for RC Helicopter Airplane Car

Eric Chappell Passing Strangers


Fickle thing, memory.' Malcolm discovers how true his words are when he takes his friend Clive to a singles' evening. Clive, a hospital porter masquerading as a doctor, has just been left by his wife, while Malcolm is a confirmed bachelor and "big in imports" - really a market stall trader. In the deserted hotel bar, to the depressing soundtrack of the next-door ballroom, they meet two recent divorcees; upwardly-mobile Julie and cynical, defiant Liz.|2 women, 2 men

2114 RUR

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RONALD VAN DER KEMP Pубашка


креп, рюши, одноцветное изделие, застежка спереди, пуговицы, длинные рукава, манжеты на пуговицах, воротник-стойка, без карманов

36000 RUR

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RONALD VAN DER KEMP Pубашка


плотная ткань, рюши, цветочный рисунок, застежка спереди, пуговицы, длинные рукава, манжеты на пуговицах, воротник с лацканами, без карманов

18850 RUR

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RONALD VAN DER KEMP Пиджак


атлас, без аппликаций, одноцветное изделие, без карманов, глубокий вырез горловины, однобортная модель, длинные рукава, без подкладки

14300 RUR

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