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This book addresses a broad range of problems commonly encountered in the fields of financial analysis, logistics and supply chain management, such as the use of big data analytics in the banking sector. Divided into nineteen chapters, some of the contemporary topics discussed in the book are co-operative/non-cooperative supply chain models for imperfect quality items with trade-credit financing; a non-dominated sorting water cycle algorithm for the cardinality constrained portfolio problem; and determining initial, basic and feasible solutions for transportation problems by means of the “supply demand reparation method” and “continuous allocation method.” In addition, the book delves into a comparison study on exponential smoothing and the Arima model for fuel prices; optimal policy for Weibull distributed deteriorating items varying with ramp type demand rate and shortages; an inventory model with shortages and deterioration for three different demand rates; outlier labeling methods for medical data; a garbage disposal plant as a validated model of a fault-tolerant system; and the design of a “least cost ration formulation application for cattle”; a preservation technology model for deteriorating items with advertisement dependent demand and trade credit; a time series model for stock price forecasting in India; and asset pricing using capital market curves. The book offers a valuable asset for all researchers and industry practitioners working in these areas, giving them a feel for the latest developments and encouraging them to pursue further research in this direction.

Business logistics --- Corporations --- Performance --- Management. --- Finance. --- Big data. --- Business logistics. --- Finance—Mathematics. --- Big Data/Analytics. --- Supply Chain Management. --- Logistics. --- Financial Mathematics. --- Supply chain management --- Industrial management --- Logistics --- Data sets, Large --- Large data sets --- Data sets

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Taking continuous-time stochastic processes allowing for jumps as its starting and focal point, this book provides an accessible introduction to the stochastic calculus and control of semimartingales and explains the basic concepts of Mathematical Finance such as arbitrage theory, hedging, valuation principles, portfolio choice, and term structure modelling. It bridges thegap between introductory texts and the advanced literature in the field. Most textbooks on the subject are limited to diffusion-type models which cannot easily account for sudden price movements. Such abrupt changes, however, can often be observed in real markets. At the same time, purely discontinuous processes lead to a much wider variety of flexible and tractable models. This explains why processes with jumps have become an established tool in the statistics and mathematics of finance. Graduate students, researchers as well as practitioners will benefit from this monograph. .

Economics, Mathematical. --- Economics --- Mathematical economics --- Econometrics --- Mathematics --- Methodology --- Economics, Mathematical . --- Probabilities. --- Financial engineering. --- Risk management. --- Finance—Mathematics. --- Quantitative Finance. --- Probability Theory and Stochastic Processes. --- Financial Engineering. --- Risk Management. --- Financial Mathematics. --- Insurance --- Management --- Computational finance --- Engineering, Financial --- Finance --- Probability --- Statistical inference --- Combinations --- Chance --- Least squares --- Mathematical statistics --- Risk --- Social sciences --- Financial risk management. --- Mathematics in Business, Economics and Finance. --- Probability Theory. --- Mathematics. --- Risk management

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Yielding new insights into important market phenomena like asset price bubbles and trading constraints, this is the first textbook to present asset pricing theory using the martingale approach (and all of its extensions). Since the 1970s asset pricing theory has been studied, refined, and extended, and many different approaches can be used to present this material. Existing PhD–level books on this topic are aimed at either economics and business school students or mathematics students. While the first mostly ignore much of the research done in mathematical finance, the second emphasizes mathematical finance but does not focus on the topics of most relevance to economics and business school students. These topics are derivatives pricing and hedging (the Black–Scholes–Merton, the Heath–Jarrow–Morton, and the reduced-form credit risk models), multiple-factor models, characterizing systematic risk, portfolio optimization, market efficiency, and equilibrium (capital asset and consumption) pricing models. This book fills this gap, presenting the relevant topics from mathematical finance, but aimed at Economics and Business School students with strong mathematical backgrounds. .

Mathematics. --- Economics, Mathematical. --- Mathematical optimization. --- Probabilities. --- Quantitative Finance. --- Probability Theory and Stochastic Processes. --- Optimization. --- Financial Mathematics. --- Finance. --- Distribution (Probability theory. --- Finance—Mathematics. --- Distribution functions --- Frequency distribution --- Characteristic functions --- Probabilities --- Funding --- Funds --- Economics --- Currency question --- Optimization (Mathematics) --- Optimization techniques --- Optimization theory --- Systems optimization --- Mathematical analysis --- Maxima and minima --- Operations research --- Simulation methods --- System analysis --- Martingales (Mathematics) --- Pricing. --- Economics, Mathematical . --- Probability --- Statistical inference --- Combinations --- Mathematics --- Chance --- Least squares --- Mathematical statistics --- Risk --- Mathematical economics --- Econometrics --- Methodology

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The primary goal of the book is to present the ideas and research findings of active researchers from various communities (physicists, economists, mathematicians, financial engineers) working in the field of "Econophysics", who have undertaken the task of modelling and analyzing order-driven markets. Of primary interest in these studies are the mechanisms leading to the statistical regularities ("stylized facts") of price statistics. Results pertaining to other important issues such as market impact, the profitability of trading strategies, or mathematical models for microstructure effects, are also presented. Several leading researchers in these fields report on their recent work and also review the contemporary literature. Some historical perspectives, comments and debates on recent issues in Econophysics research are also included.

Finance -- Mathematical models. --- Financial mathematics. --- Risk -- Mathematical models. --- Statistical Physics. --- Income distribution --- Finance --- Statistical physics --- Business & Economics --- Economic Theory --- Mathematical models --- Distribution of income --- Income inequality --- Inequality of income --- Partial differential equations. --- System theory. --- Schools of economics. --- Economics. --- Heterodox Economics. --- Complex Systems. --- Partial Differential Equations. --- Statistical Physics and Dynamical Systems. --- Distribution (Economic theory) --- Disposable income --- Differential equations, partial. --- Statistical physics. --- Physics --- Mathematical statistics --- Partial differential equations --- Economics schools of thought --- Schools of economic thought --- Economics --- Statistical methods --- Dynamical systems. --- Dynamical systems --- Kinetics --- Mathematics --- Mechanics, Analytic --- Force and energy --- Mechanics --- Statics

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This book provides an overview of the risk components of CoCo bonds. CoCos are hybrid financial instruments that convert into equity or suffer a write-down of the face value upon the appearance of a trigger event. The loss-absorption mechanism is automatically enforced either via the breaching of a particular accounting ratio, typically in terms of the Common Equity Tier 1 (CET1) ratio, or via a regulatory trigger. CoCos are non-standardised instruments with different loss-absorption and trigger mechanisms. They might also contain additional features such as the cancellation of coupon payments. Different pricing models are discussed in detail. These models use market data such as share prices, CDS levels and implied volatility in order to calculate the theoretical price of a CoCo bond and its sensitivities, providing the investor with insides to hedge from adverse changes in the market conditions. The audience are professionals as well as academics who want to learn how to risk manage CoCo bonds using cutting edge techniques as well as all the risk involved in CoCo bonds.

Convertible bonds. --- Bonds, Convertible --- Convertibles (Bonds) --- Liquid yield option notes --- Bonds --- Convertible securities --- Finance. --- Financial engineering. --- Statistics. --- Finance—Mathematics. --- Distribution (Probability theory. --- Risk management. --- Quantitative Finance. --- Financial Engineering. --- Statistics for Business, Management, Economics, Finance, Insurance. --- Financial Mathematics. --- Probability Theory and Stochastic Processes. --- Risk Management. --- Insurance --- Management --- Distribution functions --- Frequency distribution --- Characteristic functions --- Probabilities --- Statistical analysis --- Statistical data --- Statistical methods --- Statistical science --- Mathematics --- Econometrics --- Computational finance --- Engineering, Financial --- Finance --- Funding --- Funds --- Economics --- Currency question --- Economics, Mathematical . --- Statistics . --- Probabilities. --- Probability --- Statistical inference --- Combinations --- Chance --- Least squares --- Mathematical statistics --- Risk --- Mathematical economics --- Methodology