Market consistency : model calibration in imperfect markets
by
Kemp, Malcolm H. D.
Title
:
Market consistency : model calibration in imperfect markets
Author
:
Kemp, Malcolm H. D.
ISBN
:
9780470770887
Personal Author
:
Kemp, Malcolm H. D.
Publication Information
:
Chichester, U.K. : Wiley, c2009.
Physical Description
:
xxv, 350 p. : ill. ; 26 cm.
Series
:
Wiley finance series
General Note
:
Formerly CIP.
Contents
:
1. Introduction -- 2. When is and when isn't Market Consistency Appropriate? -- 3. Different Meanings given to 'Market Consistent Valuations' -- 4. Derivative Pricing Theory -- 5. The Risk-free Rate -- 6. Liquidity Theory -- 7. Risk Measurement Theory -- 8. Capital Adequacy -- 9. Calibrating Risk Statistics to Perceived 'Real World' Distributions -- 10. Calibrating Risk Statistics to 'Market Implied' Distributions -- 11. Avoiding Undue Pro-cyclicality in Regulatory Frameworks -- 12. Portfolio Construction -- 13. Calibrating Valuations to the Market -- 14. The Final Word.
Subject Term
:
Capital market.
Banks and banking.
Risk management.
| Library | Material Type | Item Barcode | Shelf Number | Copy |
|---|
| IIEMSA | General Books | 33168025557436 | 332.0415 K32M 2009 | 1 |