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Título : Quantitative easing : its implications for the euro area economy Tipo de documento: documento electrónico Autores: Sergio Girón García, Autor ; Justo Sotelo Navalpotro, Director de tesi Fecha de publicación: 2022 Número de páginas: 40 p. Nota general: Doble Grado en Derecho y Administración y Dirección de Empresas Idioma : Inglés (eng) Materias: Banco central
Crisis económica
Política monetariaPalabras clave: Quantitative Easing (QE), European Central Bank, euro, inflation, interest rates, Euribor, unemployment rate, Gross Domestic Product (GDP), financial markets, fiscal policy, balance sheet, asset purchase, capital key.
Expansión cuantitativa Banco Europeo, inflación, tipos de interés, tasa desempleo, Producto Interior Bruto (PIB), mercados financieros, política fiscal, situación, compra activos, clave capital.Clasificación: 336.711 Bancos nacionales. Bancos centrales. Bancos del Estado. Bancos de la Reserva Resumen: Quantitative easing, better known by its acronym QE, has been the main monetary policy applied by the major central banks since the economic crisis of 2008. In the case of the European Central Bank, quantitative easing has been fundamental in alleviating the effects of that crisis and revitalising the euro area economy. Since its implementation in 2015, its application has been continuous, being reinforced since last year due to the economic consequences of the outbreak of COVID-19. After many years of applying this monetary policy, the time has come to begin considering its gradual reduction, so it remains to be seen what the long-term consequences of quantitative easing will be for the euro area economy.
La expansión cuantitativa, más conocida por sus siglas en inglés “QE” (Quantitative Easing), ha sido la principal política monetaria aplicada por los grandes bancos centrales desde la crisis económica del año 2008. En el caso del Banco Central Europeo, la expansión cuantitativa ha resultado fundamental para paliar los efectos de dicha crisis y revitalizar la economía de la zona euro. Desde su puesta en marcha en el año 2015, su aplicación ha sido continua, siendo reforzada desde el pasado año a raíz de las consecuencias económicas derivadas de la entrada de la COVID-19. Tras muchos años de ejercicio de esta política monetaria, ha llegado el momento en el que se comienza a plantear su gradual reducción, por lo que está por ver cuáles serán las consecuencias a largo plazo de la expansión cuantitativa en la economía de la zona euro.Link: https://biblioteca.cunef.edu/gestion/catalogo/index.php?lvl=notice_display&id=49507 Quantitative easing : its implications for the euro area economy [documento electrónico] / Sergio Girón García, Autor ; Justo Sotelo Navalpotro, Director de tesi . - 2022 . - 40 p.
Doble Grado en Derecho y Administración y Dirección de Empresas
Idioma : Inglés (eng)
Materias: Banco central
Crisis económica
Política monetariaPalabras clave: Quantitative Easing (QE), European Central Bank, euro, inflation, interest rates, Euribor, unemployment rate, Gross Domestic Product (GDP), financial markets, fiscal policy, balance sheet, asset purchase, capital key.
Expansión cuantitativa Banco Europeo, inflación, tipos de interés, tasa desempleo, Producto Interior Bruto (PIB), mercados financieros, política fiscal, situación, compra activos, clave capital.Clasificación: 336.711 Bancos nacionales. Bancos centrales. Bancos del Estado. Bancos de la Reserva Resumen: Quantitative easing, better known by its acronym QE, has been the main monetary policy applied by the major central banks since the economic crisis of 2008. In the case of the European Central Bank, quantitative easing has been fundamental in alleviating the effects of that crisis and revitalising the euro area economy. Since its implementation in 2015, its application has been continuous, being reinforced since last year due to the economic consequences of the outbreak of COVID-19. After many years of applying this monetary policy, the time has come to begin considering its gradual reduction, so it remains to be seen what the long-term consequences of quantitative easing will be for the euro area economy.
La expansión cuantitativa, más conocida por sus siglas en inglés “QE” (Quantitative Easing), ha sido la principal política monetaria aplicada por los grandes bancos centrales desde la crisis económica del año 2008. En el caso del Banco Central Europeo, la expansión cuantitativa ha resultado fundamental para paliar los efectos de dicha crisis y revitalizar la economía de la zona euro. Desde su puesta en marcha en el año 2015, su aplicación ha sido continua, siendo reforzada desde el pasado año a raíz de las consecuencias económicas derivadas de la entrada de la COVID-19. Tras muchos años de ejercicio de esta política monetaria, ha llegado el momento en el que se comienza a plantear su gradual reducción, por lo que está por ver cuáles serán las consecuencias a largo plazo de la expansión cuantitativa en la economía de la zona euro.Link: https://biblioteca.cunef.edu/gestion/catalogo/index.php?lvl=notice_display&id=49507 Ejemplares
Signatura Medio Ubicación Sub-localización Sección Estado ningún ejemplar Documentos electrónicos
Documento completoURL
Título : Quantitative Assessment of Securitisation Deals Tipo de documento: documento electrónico Autores: Francesca Campolongo ; SpringerLink (Online service) ; Henrik Jönsson ; Schoutens, Wim Editorial: Berlin, Heidelberg : Springer Berlin Heidelberg Fecha de publicación: 2013 Otro editor: Imprint: Springer Colección: SpringerBriefs in Finance, ISSN 2193-1720 Número de páginas: XXI, 112 p. 32 illus., 28 illus. in color Il.: online resource ISBN/ISSN/DL: 978-3-642-29721-2 Idioma : Inglés (eng) Palabras clave: Mathematics Finance Economics, Mathematical Quantitative Finance, general Clasificación: 51 Matemáticas Resumen: The book draws on current research on model risk and parameter sensitivity of securitisation ratings. It provides practical ideas and tools that can facilitate a more informed usage of securitisation ratings. We show how global sensitivity analysis techniques can be used to better analyse and to enhance the understanding of the uncertainties inherent in ratings due to uncertainty in the input parameters. The text introduces a novel global rating approach that takes the uncertainty in the ratings into account when assigning ratings to securitisation products. The book also covers new prepayment and default models that overcome flaws in current models Nota de contenido: Preface.-Introduction.-Introduction to Asset Backed Securities.-Cashflow modeling.-Deterministic Models -- Stochastic Models -- Model Risk and Parameter Sensitivity.-Global Sensitivity Analysis for ABS.-Summary.-A Large Homogeneous Portfolio Approximation -- A.1 The Gaussian One-Factor Model and the LHP Approximation.-A.2 Calibrating the Distribution.-Bibliography En línea: http://dx.doi.org/10.1007/978-3-642-29721-2 Link: https://biblioteca.cunef.edu/gestion/catalogo/index.php?lvl=notice_display&id=32500 Quantitative Assessment of Securitisation Deals [documento electrónico] / Francesca Campolongo ; SpringerLink (Online service) ; Henrik Jönsson ; Schoutens, Wim . - Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 2013 . - XXI, 112 p. 32 illus., 28 illus. in color : online resource. - (SpringerBriefs in Finance, ISSN 2193-1720) .
ISBN : 978-3-642-29721-2
Idioma : Inglés (eng)
Palabras clave: Mathematics Finance Economics, Mathematical Quantitative Finance, general Clasificación: 51 Matemáticas Resumen: The book draws on current research on model risk and parameter sensitivity of securitisation ratings. It provides practical ideas and tools that can facilitate a more informed usage of securitisation ratings. We show how global sensitivity analysis techniques can be used to better analyse and to enhance the understanding of the uncertainties inherent in ratings due to uncertainty in the input parameters. The text introduces a novel global rating approach that takes the uncertainty in the ratings into account when assigning ratings to securitisation products. The book also covers new prepayment and default models that overcome flaws in current models Nota de contenido: Preface.-Introduction.-Introduction to Asset Backed Securities.-Cashflow modeling.-Deterministic Models -- Stochastic Models -- Model Risk and Parameter Sensitivity.-Global Sensitivity Analysis for ABS.-Summary.-A Large Homogeneous Portfolio Approximation -- A.1 The Gaussian One-Factor Model and the LHP Approximation.-A.2 Calibrating the Distribution.-Bibliography En línea: http://dx.doi.org/10.1007/978-3-642-29721-2 Link: https://biblioteca.cunef.edu/gestion/catalogo/index.php?lvl=notice_display&id=32500 Ejemplares
Signatura Medio Ubicación Sub-localización Sección Estado ningún ejemplar Quantitative Energy Finance / SpringerLink (Online service) ; Fred Espen Benth ; Valery A. Kholodnyi ; Peter Laurence (2014)
Título : Quantitative Energy Finance : Modeling, Pricing, and Hedging in Energy and Commodity Markets Tipo de documento: documento electrónico Autores: SpringerLink (Online service) ; Fred Espen Benth ; Valery A. Kholodnyi ; Peter Laurence Editorial: New York, NY : Springer New York Fecha de publicación: 2014 Otro editor: Imprint: Springer Número de páginas: XVIII, 308 p. 85 illus., 67 illus. in color Il.: online resource ISBN/ISSN/DL: 978-1-4614-7248-3 Idioma : Inglés (eng) Palabras clave: Finance Energy policy and state Economics, Mathematical Statistics Finance, general Quantitative for Business/Economics/Mathematical Finance/Insurance Policy, Economics Management Clasificación: 658 Empresas. Organización de empresas Resumen: Finance and energy markets have been an active scientific field for some time, even though the development and applications of sophisticated quantitative methods in these areas are relatively new—and referred to in a broader context as energy finance. Energy finance is often viewed as a branch of mathematical finance, yet this area continues to provide a rich source of issues that are fuelling new and exciting research developments. Based on a special thematic year at the Wolfgang Pauli Institute (WPI) in Vienna, Austria, this edited collection features cutting-edge research from leading scientists in the fields of energy and commodity finance. Topics discussed include modeling and analysis of energy and commodity markets, derivatives hedging and pricing, and optimal investment strategies and modeling of emerging markets, such as power and emissions. The book also confronts the challenges one faces in energy markets from a quantitative point of view, as well as the recent advances in solving these problems using advanced mathematical, statistical and numerical methods. By addressing the emerging area of quantitative energy finance, this volume will serve as a valuable resource for graduate-level students and researchers studying financial mathematics, risk management, or energy finance Nota de contenido: A review of optimal investment rules in electricity generation -- A Survey of Commodity Markets and Structural Models for Electricity Prices -- Fourier based valuation methods in mathematical finance -- Mathematics of Swing Options: A Survey -- Inference for Markov-regime switching models of electricity spot prices -- Modelling electricity day–ahead prices by multivariate Lévy semistationary processes -- Modelling Power Forward Prices -- An analysis of the main determinants of electricity forward prices and forward risk premia -- A Dynamic Lévy Copula Model for the Spark Spread -- Constrained density estimation -- Electricity Options and Additional Information En línea: http://dx.doi.org/10.1007/978-1-4614-7248-3 Link: https://biblioteca.cunef.edu/gestion/catalogo/index.php?lvl=notice_display&id=35900 Quantitative Energy Finance : Modeling, Pricing, and Hedging in Energy and Commodity Markets [documento electrónico] / SpringerLink (Online service) ; Fred Espen Benth ; Valery A. Kholodnyi ; Peter Laurence . - New York, NY : Springer New York : Imprint: Springer, 2014 . - XVIII, 308 p. 85 illus., 67 illus. in color : online resource.
ISBN : 978-1-4614-7248-3
Idioma : Inglés (eng)
Palabras clave: Finance Energy policy and state Economics, Mathematical Statistics Finance, general Quantitative for Business/Economics/Mathematical Finance/Insurance Policy, Economics Management Clasificación: 658 Empresas. Organización de empresas Resumen: Finance and energy markets have been an active scientific field for some time, even though the development and applications of sophisticated quantitative methods in these areas are relatively new—and referred to in a broader context as energy finance. Energy finance is often viewed as a branch of mathematical finance, yet this area continues to provide a rich source of issues that are fuelling new and exciting research developments. Based on a special thematic year at the Wolfgang Pauli Institute (WPI) in Vienna, Austria, this edited collection features cutting-edge research from leading scientists in the fields of energy and commodity finance. Topics discussed include modeling and analysis of energy and commodity markets, derivatives hedging and pricing, and optimal investment strategies and modeling of emerging markets, such as power and emissions. The book also confronts the challenges one faces in energy markets from a quantitative point of view, as well as the recent advances in solving these problems using advanced mathematical, statistical and numerical methods. By addressing the emerging area of quantitative energy finance, this volume will serve as a valuable resource for graduate-level students and researchers studying financial mathematics, risk management, or energy finance Nota de contenido: A review of optimal investment rules in electricity generation -- A Survey of Commodity Markets and Structural Models for Electricity Prices -- Fourier based valuation methods in mathematical finance -- Mathematics of Swing Options: A Survey -- Inference for Markov-regime switching models of electricity spot prices -- Modelling electricity day–ahead prices by multivariate Lévy semistationary processes -- Modelling Power Forward Prices -- An analysis of the main determinants of electricity forward prices and forward risk premia -- A Dynamic Lévy Copula Model for the Spark Spread -- Constrained density estimation -- Electricity Options and Additional Information En línea: http://dx.doi.org/10.1007/978-1-4614-7248-3 Link: https://biblioteca.cunef.edu/gestion/catalogo/index.php?lvl=notice_display&id=35900 Ejemplares
Signatura Medio Ubicación Sub-localización Sección Estado ningún ejemplar
Título : Applied Quantitative Finance Tipo de documento: documento electrónico Autores: SpringerLink (Online service) ; Wolfgang Karl Härdle ; Nikolaus Hautsch ; Ludger Overbeck Editorial: Berlin, Heidelberg : Springer Berlin Heidelberg Fecha de publicación: 2008 Número de páginas: XXVI, 447 p Il.: online resource ISBN/ISSN/DL: 978-3-540-69179-2 Idioma : Inglés (eng) Palabras clave: Mathematics Finance Economics, Mathematical Statistics Quantitative for Business/Economics/Mathematical Finance/Insurance Finance, general Clasificación: 51 Matemáticas Resumen: Recent years have witnessed a growing importance of quantitative methods in both financial research and industry. This development requires the use of advanced techniques on a theoretical and applied level, especially when it comes to the quantification of risk and the valuation of modern financial products. Applied Quantitative Finance (2nd edition) provides a comprehensive and state-of-the-art treatment of cutting-edge topics and methods. It provides solutions to and presents theoretical developments in many practical problems such as risk management, pricing of credit derivatives, quantification of volatility and copula modelling. The synthesis of theory and practice supported by computational tools is reflected in the selection of topics as well as in a finely tuned balance of scientific contributions on practical implementation and theoretical concepts. This linkage between theory and practice offers theoreticians insights into considerations of applicability and, vice versa, provides practitioners comfortable access to new techniques in quantitative finance. Themes that are dominant in current research and which are presented in this book include among others the valuation of Collaterized Debt Obligations (CDOs), the high-frequency analysis of market liquidity, the pricing of Bermuda options and realized volatility. All Quantlets for the calculation of the given examples are downloadable from the Springer web pages Nota de contenido: Value at Risk -- Modeling Dependencies with Copulae -- Quantification of Spread Risk by Means of Historical Simulation -- A Copula-Based Model of the Term Structure of CDO Tranches -- VaR in High Dimensional Systems – a Conditional Correlation Approach -- Credit Risk -- Rating Migrations -- Cross- and Autocorrelation in Multi-Period Credit Portfolio Models -- Risk Measurement with Spectral Capital Allocation -- Valuation and VaR Computation for CDOs Using Stein’s Method -- Implied Volatility -- Least Squares Kernel Smoothing of the Implied Volatility Smile -- Numerics of Implied Binomial Trees -- Application of Extended Kalman Filter to SPD Estimation -- Stochastic Volatility Estimation Using Markov Chain Simulation -- Measuring and Modeling Risk Using High-Frequency Data -- Valuation of Multidimensional Bermudan Options -- Econometrics -- Multivariate Volatility Models -- The Accuracy of Long-term Real Estate Valuations -- Locally Time Homogeneous Time Series Modelling -- Simulation Based Option Pricing -- High-Frequency Volatility and Liquidity -- Statistical Process Control in Asset Management -- Canonical Dynamics Mechanism of Monetary Policy and Interest Rate En línea: http://dx.doi.org/10.1007/978-3-540-69179-2 Link: https://biblioteca.cunef.edu/gestion/catalogo/index.php?lvl=notice_display&id=34322 Applied Quantitative Finance [documento electrónico] / SpringerLink (Online service) ; Wolfgang Karl Härdle ; Nikolaus Hautsch ; Ludger Overbeck . - Berlin, Heidelberg : Springer Berlin Heidelberg, 2008 . - XXVI, 447 p : online resource.
ISBN : 978-3-540-69179-2
Idioma : Inglés (eng)
Palabras clave: Mathematics Finance Economics, Mathematical Statistics Quantitative for Business/Economics/Mathematical Finance/Insurance Finance, general Clasificación: 51 Matemáticas Resumen: Recent years have witnessed a growing importance of quantitative methods in both financial research and industry. This development requires the use of advanced techniques on a theoretical and applied level, especially when it comes to the quantification of risk and the valuation of modern financial products. Applied Quantitative Finance (2nd edition) provides a comprehensive and state-of-the-art treatment of cutting-edge topics and methods. It provides solutions to and presents theoretical developments in many practical problems such as risk management, pricing of credit derivatives, quantification of volatility and copula modelling. The synthesis of theory and practice supported by computational tools is reflected in the selection of topics as well as in a finely tuned balance of scientific contributions on practical implementation and theoretical concepts. This linkage between theory and practice offers theoreticians insights into considerations of applicability and, vice versa, provides practitioners comfortable access to new techniques in quantitative finance. Themes that are dominant in current research and which are presented in this book include among others the valuation of Collaterized Debt Obligations (CDOs), the high-frequency analysis of market liquidity, the pricing of Bermuda options and realized volatility. All Quantlets for the calculation of the given examples are downloadable from the Springer web pages Nota de contenido: Value at Risk -- Modeling Dependencies with Copulae -- Quantification of Spread Risk by Means of Historical Simulation -- A Copula-Based Model of the Term Structure of CDO Tranches -- VaR in High Dimensional Systems – a Conditional Correlation Approach -- Credit Risk -- Rating Migrations -- Cross- and Autocorrelation in Multi-Period Credit Portfolio Models -- Risk Measurement with Spectral Capital Allocation -- Valuation and VaR Computation for CDOs Using Stein’s Method -- Implied Volatility -- Least Squares Kernel Smoothing of the Implied Volatility Smile -- Numerics of Implied Binomial Trees -- Application of Extended Kalman Filter to SPD Estimation -- Stochastic Volatility Estimation Using Markov Chain Simulation -- Measuring and Modeling Risk Using High-Frequency Data -- Valuation of Multidimensional Bermudan Options -- Econometrics -- Multivariate Volatility Models -- The Accuracy of Long-term Real Estate Valuations -- Locally Time Homogeneous Time Series Modelling -- Simulation Based Option Pricing -- High-Frequency Volatility and Liquidity -- Statistical Process Control in Asset Management -- Canonical Dynamics Mechanism of Monetary Policy and Interest Rate En línea: http://dx.doi.org/10.1007/978-3-540-69179-2 Link: https://biblioteca.cunef.edu/gestion/catalogo/index.php?lvl=notice_display&id=34322 Ejemplares
Signatura Medio Ubicación Sub-localización Sección Estado ningún ejemplar
Título : A Benchmark Approach to Quantitative Finance Tipo de documento: documento electrónico Autores: Eckhard Platen ; SpringerLink (Online service) ; David Heath Editorial: Berlin, Heidelberg : Springer Berlin Heidelberg Fecha de publicación: 2006 Colección: Springer Finance, ISSN 1616-0533 Número de páginas: XVI, 700 p. 199 illus Il.: online resource ISBN/ISSN/DL: 978-3-540-47856-0 Idioma : Inglés (eng) Palabras clave: Economics, Mathematical Probabilities Statistics Public finance Economics Quantitative Finance Probability Theory and Stochastic Processes for Business/Economics/Mathematical Finance/Insurance Clasificación: 51 Matemáticas Resumen: The benchmark approach provides a general framework for financial market modeling, which extends beyond the standard risk neutral pricing theory. It permits a unified treatment of portfolio optimization, derivative pricing, integrated risk management and insurance risk modeling. The existence of an equivalent risk-neutral pricing measure is not required. Instead, it leads to pricing formulae with respect to the real world probability measure. This yields important modeling freedom which turns out to be necessary for the derivation of realistic, parsimonious market models. The first part of the book describes the necessary tools from probability theory, statistics, stochastic calculus and the theory of stochastic differential equations with jumps. The second part is devoted to financial modeling under the benchmark approach. Various quantitative methods for the fair pricing and hedging of derivatives are explained. The general framework is used to provide an understanding of the nature of stochastic volatility. The book is intended for a wide audience that includes quantitative analysts, postgraduate students and practitioners in finance, economics and insurance. It aims to be a self-contained, accessible but mathematically rigorous introduction to quantitative finance for readers that have a reasonable mathematical or quantitative background. Finally, the book should stimulate interest in the benchmark approach by describing some of its power and wide applicability Nota de contenido: Preliminaries from Probability Theory -- Statistical Methods -- Modeling via Stochastic Processes -- Diffusion Processes -- Martingales and Stochastic Integrals -- The Itô Formula -- Stochastic Differential Equations -- to Option Pricing -- Various Approaches to Asset Pricing -- Continuous Financial Markets -- Portfolio Optimization -- Modeling Stochastic Volatility -- Minimal Market Model -- Markets with Event Risk -- Numerical Methods -- Solutions for Exercises En línea: http://dx.doi.org/10.1007/978-3-540-47856-0 Link: https://biblioteca.cunef.edu/gestion/catalogo/index.php?lvl=notice_display&id=35001 A Benchmark Approach to Quantitative Finance [documento electrónico] / Eckhard Platen ; SpringerLink (Online service) ; David Heath . - Berlin, Heidelberg : Springer Berlin Heidelberg, 2006 . - XVI, 700 p. 199 illus : online resource. - (Springer Finance, ISSN 1616-0533) .
ISBN : 978-3-540-47856-0
Idioma : Inglés (eng)
Palabras clave: Economics, Mathematical Probabilities Statistics Public finance Economics Quantitative Finance Probability Theory and Stochastic Processes for Business/Economics/Mathematical Finance/Insurance Clasificación: 51 Matemáticas Resumen: The benchmark approach provides a general framework for financial market modeling, which extends beyond the standard risk neutral pricing theory. It permits a unified treatment of portfolio optimization, derivative pricing, integrated risk management and insurance risk modeling. The existence of an equivalent risk-neutral pricing measure is not required. Instead, it leads to pricing formulae with respect to the real world probability measure. This yields important modeling freedom which turns out to be necessary for the derivation of realistic, parsimonious market models. The first part of the book describes the necessary tools from probability theory, statistics, stochastic calculus and the theory of stochastic differential equations with jumps. The second part is devoted to financial modeling under the benchmark approach. Various quantitative methods for the fair pricing and hedging of derivatives are explained. The general framework is used to provide an understanding of the nature of stochastic volatility. The book is intended for a wide audience that includes quantitative analysts, postgraduate students and practitioners in finance, economics and insurance. It aims to be a self-contained, accessible but mathematically rigorous introduction to quantitative finance for readers that have a reasonable mathematical or quantitative background. Finally, the book should stimulate interest in the benchmark approach by describing some of its power and wide applicability Nota de contenido: Preliminaries from Probability Theory -- Statistical Methods -- Modeling via Stochastic Processes -- Diffusion Processes -- Martingales and Stochastic Integrals -- The Itô Formula -- Stochastic Differential Equations -- to Option Pricing -- Various Approaches to Asset Pricing -- Continuous Financial Markets -- Portfolio Optimization -- Modeling Stochastic Volatility -- Minimal Market Model -- Markets with Event Risk -- Numerical Methods -- Solutions for Exercises En línea: http://dx.doi.org/10.1007/978-3-540-47856-0 Link: https://biblioteca.cunef.edu/gestion/catalogo/index.php?lvl=notice_display&id=35001 Ejemplares
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