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asset pricing --- derivative pricing and hedging --- disruptive financial models --- extreme risks and insurance --- high frequency and algorithmic trading --- taxation --- Finance --- Financial engineering --- Finance. --- Financial engineering. --- Research --- Research. --- Computational finance --- Engineering, Financial --- Funding --- Funds --- Economics --- Currency question --- Public finance

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Capital market --- Financial engineering --- Monetary policy --- 305.92 --- 333.600 --- 333.605 --- 333.846.0 --- AA / International- internationaal --- Monetary management --- Economic policy --- Currency boards --- Money supply --- Computational finance --- Engineering, Financial --- Finance --- Capital markets --- Market, Capital --- Financial institutions --- Loans --- Money market --- Securities --- Crowding out (Economics) --- Efficient market theory --- Econometrie van de internationale handel. Handelsbalans, betalingsbalans. Wissel --- Financiële markten. Kapitaalmarkten (algemeenheden) --- Nieuwe financiële instrumenten --- Verband tussen het monetair, bank- en kredietbeleid en de economische ontwikkeling: algemeenheden

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This book presents 20 peer-reviewed chapters on current aspects of derivatives markets and derivative pricing. The contributions, written by leading researchers in the field as well as experienced authors from the financial industry, present the state of the art in: • Modeling counterparty credit risk: credit valuation adjustment, debit valuation adjustment, funding valuation adjustment, and wrong way risk. • Pricing and hedging in fixed-income markets and multi-curve interest-rate modeling. • Recent developments concerning contingent convertible bonds, the measuring of basis spreads, and the modeling of implied correlations. The recent financial crisis has cast tremendous doubts on the classical view on derivative pricing. Now, counterparty credit risk and liquidity issues are integral aspects of a prudent valuation procedure and the reference interest rates are represented by a multitude of curves according to their different periods and maturities. A panel discussion included in the book (featuring Damiano Brigo, Christian Fries, John Hull, and Daniel Sommer) on the foundations of modeling and pricing in the presence of counterparty credit risk provides intriguing insights on the debate. .

Mathematics. --- Banks and banking. --- Financial engineering. --- Economics, Mathematical. --- Mathematical models. --- Probabilities. --- Statistics. --- Quantitative Finance. --- Banking. --- Statistics for Business/Economics/Mathematical Finance/Insurance. --- Mathematical Modeling and Industrial Mathematics. --- Probability Theory and Stochastic Processes. --- Financial Engineering. --- Statistical analysis --- Statistical data --- Statistical methods --- Statistical science --- Probability --- Statistical inference --- Models, Mathematical --- Economics --- Mathematical economics --- Computational finance --- Engineering, Financial --- Agricultural banks --- Banking --- Banking industry --- Commercial banks --- Depository institutions --- Math --- Mathematics --- Econometrics --- Combinations --- Chance --- Least squares --- Mathematical statistics --- Risk --- Simulation methods --- Finance --- Financial institutions --- Money --- Science --- Methodology --- Finance. --- Distribution (Probability theory. --- Statistics for Business, Management, Economics, Finance, Insurance. --- Distribution functions --- Frequency distribution --- Characteristic functions --- Probabilities --- Funding --- Funds --- Currency question --- Economics, Mathematical . --- Statistics .

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This book is a collection of papers for the Special Issue “Quantitative Methods for Economics and Finance” of the journal Mathematics. This Special Issue reflects on the latest developments in different fields of economics and finance where mathematics plays a significant role. The book gathers 19 papers on topics such as volatility clusters and volatility dynamic, forecasting, stocks, indexes, cryptocurrencies and commodities, trade agreements, the relationship between volume and price, trading strategies, efficiency, regression, utility models, fraud prediction, or intertemporal choice.

academic cheating --- tax evasion --- informality --- pairs trading --- hurst exponent --- financial markets --- long memory --- co-movement --- cointegration --- risk --- delay --- decision-making process --- probability --- discount --- detection --- mean square error --- multicollinearity --- raise regression --- variance inflation factor --- derivation --- intertemporal choice --- decreasing impatience --- elasticity --- GARCH --- EGARCH --- VaR --- historical simulation approach --- peaks-over-threshold --- EVT --- student t-copula --- generalized Pareto distribution --- centered model --- noncentered model --- intercept --- essential multicollinearity --- nonessential multicollinearity --- commodity prices --- futures prices --- number of factors --- eigenvalues --- volatility cluster --- Hurst exponent --- FD4 approach --- volatility series --- probability of volatility cluster --- S&amp --- P500 --- Bitcoin --- Ethereum --- Ripple --- bitcoin --- deep learning --- deep recurrent convolutional neural networks --- forecasting --- asset pricing --- financial distress prediction --- unconstrained distributed lag model --- multiple periods --- Chinese listed companies --- cash flow management --- corporate prudential risk --- the financial accelerator --- financial distress --- induced risk aversion --- liquidity constraints --- liquidity risk --- macroeconomic propagation --- multiperiod financial management --- non-linear macroeconomic modelling --- Tobin’s q --- precautionary savings --- pharmaceutical industry --- scale economies --- profitability --- biotechnological firms --- non-parametric efficiency --- productivity --- DEA --- dispersion trading --- option arbitrage --- volatility trading --- correlation risk premium --- econometrics --- computational finance --- ensemble empirical mode decomposition (EEMD) --- autoregressive integrated moving average (ARIMA) --- support vector regression (SVR) --- genetic algorithm (GA) --- energy consumption --- cryptocurrency --- gold --- P 500 --- DCC --- copula --- copulas --- Markov Chain Monte Carlo simulation --- local optima vs. local minima --- SRA approach --- foreign direct investment --- bilateral investment treaties --- regional trade agreements --- structural gravity model --- policy uncertainty --- stock prices --- dynamically simulated autoregressive distributed lag (DYS-ARDL) --- threshold regression --- United States