Rethinking Valuation and Pricing Models
Lessons Learned from the Crisis and Future Challenges
- Carsten Wehn, DeKaBank, Frankfurt, Germany
- Christian Hoppe, Commerzbank, Frankfurt, Germany
- Greg Gregoriou, School of Business and Economics, State University of New York, Plattsburgh, NY, USA
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.
Addresses issues relevant for upper-division undergraduates, graduate students, and professionals worldwide working in asset management / trading / risk control of banks and insurance companies / consultancy firms / auditing / regulation / applied mathematics and finance