Financial Modeling
Rethinking Valuation and Pricing Models

Authors: Editors: Carsten Wehn, Christian Hoppe, Greg Gregoriou
Editions: Elsevier
Pages: 652 pages
Date: November 2012
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.

Key Features:
  • Highlights pre-crisis best classical practices, identifies post-crisis key issues, and examines emerging approaches to solving those issues
  • Singles out key factors one must consider when valuing or calculating risks in the post-crisis environment
  • Presents material in a homogenous, practical, clear, and not overly technical manner
About the Editors

Carsten Wehn is head of the risk modelling team at DekaBank, Frankfurt, Germany. He is responsible for development and validation of internal portfolio models for measuring and managing credit risk.

Christian Hoppe is the Head of Credit Solutions at Commerzbank, Frankfurt, Germany, and the founder of Anleihen Finder GmbH.

Greg N. Gregoriou is Professor of Finance in the School of Business and Economics at State University of New York at Plattsburgh. He is co-editor of the Journal of Derviatives and Hedge Funds and edited "Fund of Hedge Funds" (Elsevier, 2006) among others. He is also a Research Associate at EDHEC-Risk Institute.

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