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About this product
- Author(s)Mark Davis,Sebastien Lleo
- PublisherWorld Scientific Publishing Co Pte Ltd
- Date of Publication29/09/2014
- GenreFinance & Accounting
- Series TitleAdvanced Series on Statistical Science & Applied Probability
- Series Part/Volume Number19
- Place of PublicationSingapore
- Country of PublicationSingapore
- ImprintWorld Scientific Publishing Co Pte Ltd
- Table Of ContentsIntroduction: A Primer on Risk Sensitive Control; Diffusion Models: The Complete Market Case; Asset Management in Incomplete Markets; Managing Against a Benchmark; Introducing Constraints; Asset and Liability Managements; Jump-Diffusion Models: Jumps in Asset Prices; Affine Processes; General Jump-Diffusion Setting; Extensions to Benchmarks and ALM; Implementation: Securities Modeling; Factor Selection; Parameter Estimation and Partial Observations; Numerical Methods; Empirical Analysis.
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