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Chen Model
In finance, the Chen model is a mathematical model describing the evolution of interest rates. It is a type of "three-factor model" (short-rate model) as it describes interest rate movements as driven by three sources of market risk. It was the first stochastic mean and stochastic volatility model and it was published in 1994 by Lin Chen, economist, theoretical physicist and former lecturer/professor at Beijing Institute of Technology, Yonsei University of Korea, and Nanyang Tech University of Singapore. The dynamics of the instantaneous interest rate are specified by the stochastic differential equations: : dr_t = \kappa(\theta_t-r_t)\,dt + \sqrt\,\sqrt\, dW_1, : d \theta_t = \nu(\zeta-\theta_t)\,dt + \alpha\,\sqrt\, dW_2, : d \sigma_t = \mu(\beta-\sigma_t)\,dt + \eta\,\sqrt\, dW_3. In an authoritative review of modern finance (''Continuous-Time Methods in Finance: A Review and an Assessment''), the Chen model is listed along with the models of Robert C. Merton, Oldrich Vasi ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Finance
Finance is the study and discipline of money, currency and capital assets. It is related to, but not synonymous with economics, the study of production, distribution, and consumption of money, assets, goods and services (the discipline of financial economics bridges the two). Finance activities take place in financial systems at various scopes, thus the field can be roughly divided into personal, corporate, and public finance. In a financial system, assets are bought, sold, or traded as financial instruments, such as currencies, loans, bonds, shares, stocks, options, futures, etc. Assets can also be banked, invested, and insured to maximize value and minimize loss. In practice, risks are always present in any financial action and entities. A broad range of subfields within finance exist due to its wide scope. Asset, money, risk and investment management aim to maximize value and minimize volatility. Financial analysis is viability, stability, and profitability asse ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Darrell Duffie
James Darrell Duffie (born May 23, 1954) is a Canadian financial economist and is Dean Witter Distinguished Professor of Finance at Stanford Graduate School of Business. He is the author of numerous research articles, and several books, including ''Futures Markets'', ''Dynamic Asset Pricing Theory'', and—with Kenneth Singleton—''Credit Risk''. Duffie has been on the finance faculty at Stanford since 1984. He is a Fellow and member of the Council of the Econometric Society, a Research Associate of the National Bureau of Economic Research, a member of the Financial Advisory Roundtable of the Federal Reserve Bank of New York, and a Fellow of The American Academy of Arts and Sciences. He was the President of The American Finance Association for 2009. He has served on the editorial board of many journals, including ''Econometrica''. In 2003, Duffie was awarded the SunGard/IAFE Financial Engineer of the Year Award from the International Association of Financial Engineers. He hol ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Fixed Income Analysis
Fixed income analysis is the process of determining the value of a debt security based on an assessment of its risk profile, which can include interest rate risk, risk of the issuer failing to repay the debt, market supply and demand for the security, call provisions and macroeconomic considerations affecting its value in the future. It also addresses the likely price behavior in hedging portfolios. Based on such an analysis, a fixed income analyst tries to reach a conclusion as to whether to buy, sell, hold, hedge or avoid the particular security. Fixed income products are generally bonds: debt instruments requiring the issuer (i.e. the debtor or borrower) to repay the lender the amount borrowed (principal) plus interest over a specified period of time (coupon payments) until maturity. They are issued by government treasuries, government agencies, companies or international organizations. Calculating Value To determine the value of a fixed income security, the analyst mus ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Interest Rates
An interest rate is the amount of interest due per period, as a proportion of the amount lent, deposited, or borrowed (called the principal sum). The total interest on an amount lent or borrowed depends on the principal sum, the interest rate, the compounding frequency, and the length of time over which it is lent, deposited, or borrowed. The annual interest rate is the rate over a period of one year. Other interest rates apply over different periods, such as a month or a day, but they are usually annualized. The interest rate has been characterized as "an index of the preference . . . for a dollar of present ncomeover a dollar of future income." The borrower wants, or needs, to have money sooner rather than later, and is willing to pay a fee—the interest rate—for that privilege. Influencing factors Interest rates vary according to: * the government's directives to the central bank to accomplish the government's goals * the currency of the principal sum lent or borrowed * ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Moorad Choudhry
Moorad Choudhry was formerly Head of Business Treasury, Global Banking and Markets at Royal Bank of Scotland. Education Choudhry attended Claremont Fan Court School. He graduated from the University of Westminster (known as Polytechnic of Central London at the time) with a First class degree in Economics. He graduated from the University of Reading with an MA. In 1998, he completed an MBA at Henley Management College. In 2008, he completed a PhD in Financial economics at Birkbeck, University of London. Choudhry is Visiting Professor at the Department of Economics, London Metropolitan University, a Visiting Research Fellow at the ICMA Centre, University of Reading, a Senior Fellow at the Centre for Mathematical Trading and Finance, Cass Business School, a Fellow of the Securities and Investment Institute and a Fellow of the Institute of Sales and Marketing Management. Career Choudhry was formerly Head of Business Treasury, Global Banking and Markets at Royal Bank of Scotl ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
François-Serge Lhabitant
François-Serge Lhabitant is with a European family office where he directly oversees a multi-billion portfolio allocated primarily to hedge funds, private and public markets, and risk-controlled strategies. His portfolio has received several awards for its performance and risk-adjusted performance. François-Serge is a visiting professor of finance at the Hong Kong University of Science and Technology. He was a member of several advisory boards for large hedge funds active in the areas of credit and distressed securities. He was formerly a professor of finance at the Edhec Business School, at HEC Lausanne and at the Thunderbird School of Global Management. François-Serge is the author of several books and research papers on hedge funds, emerging markets and the modeling of interest rate contingent claims. He was a member of the European advisory board of the International Association of Financial Engineers (IAFE), of the Alternative Investment Management Association (AIMA) Inves ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Emanuel Derman
Emanuel Derman (born 1945) is a South African-born academic, businessman and writer. He is best known as a quantitative analyst, and author of the book ''My Life as a Quant: Reflections on Physics and Finance''. He is a co-author of Black–Derman–Toy model, one of the first interest-rate models, and the Derman–Kani local volatility or implied tree model, a model consistent with the volatility smile. Derman, who first came to the U.S. at age 21, in 1966, is currently a professor at Columbia University and Director of its program in financial engineering. Until recently he was also the Head of Risk and a partner at KKR Prisma Capital Partners, a fund of funds. His book ''My Life as a Quant: Reflections on Physics and Finance'', published by Wiley in September 2004, was one of Business Week's top ten books of the year for 2004. In 2011, he published ''Models.Behaving.Badly'', a book contrasting financial models with the theories of hard science, and also containing some autobio ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
John C
John is a common English name and surname: * John (given name) * John (surname) John may also refer to: New Testament Works * Gospel of John, a title often shortened to John * First Epistle of John, often shortened to 1 John * Second Epistle of John, often shortened to 2 John * Third Epistle of John, often shortened to 3 John People * John the Baptist (died c. AD 30), regarded as a prophet and the forerunner of Jesus Christ * John the Apostle (lived c. AD 30), one of the twelve apostles of Jesus * John the Evangelist, assigned author of the Fourth Gospel, once identified with the Apostle * John of Patmos, also known as John the Divine or John the Revelator, the author of the Book of Revelation, once identified with the Apostle * John the Presbyter, a figure either identified with or distinguished from the Apostle, the Evangelist and John of Patmos Other people with the given name Religious figures * John, father of Andrew the Apostle and Saint Peter * Pope Jo ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Mathematical Model
A mathematical model is a description of a system using mathematical concepts and language. The process of developing a mathematical model is termed mathematical modeling. Mathematical models are used in the natural sciences (such as physics, biology, earth science, chemistry) and engineering disciplines (such as computer science, electrical engineering), as well as in non-physical systems such as the social sciences (such as economics, psychology, sociology, political science). The use of mathematical models to solve problems in business or military operations is a large part of the field of operations research. Mathematical models are also used in music, linguistics, and philosophy (for example, intensively in analytic philosophy). A model may help to explain a system and to study the effects of different components, and to make predictions about behavior. Elements of a mathematical model Mathematical models can take many forms, including dynamical systems, statisti ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Robert C
The name Robert is an ancient Germanic given name, from Proto-Germanic "fame" and "bright" (''Hrōþiberhtaz''). Compare Old Dutch ''Robrecht'' and Old High German ''Hrodebert'' (a compound of '' Hruod'' ( non, Hróðr) "fame, glory, honour, praise, renown" and ''berht'' "bright, light, shining"). It is the second most frequently used given name of ancient Germanic origin. It is also in use as a surname. Another commonly used form of the name is Rupert. After becoming widely used in Continental Europe it entered England in its Old French form ''Robert'', where an Old English cognate form (''Hrēodbēorht'', ''Hrodberht'', ''Hrēodbēorð'', ''Hrœdbœrð'', ''Hrœdberð'', ''Hrōðberχtŕ'') had existed before the Norman Conquest. The feminine version is Roberta. The Italian, Portuguese, and Spanish form is Roberto. Robert is also a common name in many Germanic languages, including English, German, Dutch, Norwegian, Swedish, Scots, Danish, and Icelandic. It can be use ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Stochastic Differential Equations
A stochastic differential equation (SDE) is a differential equation in which one or more of the terms is a stochastic process, resulting in a solution which is also a stochastic process. SDEs are used to model various phenomena such as stock prices or physical systems subject to thermal fluctuations. Typically, SDEs contain a variable which represents random white noise calculated as the derivative of Brownian motion or the Wiener process. However, other types of random behaviour are possible, such as jump processes. Random differential equations are conjugate to stochastic differential equations. Background Stochastic differential equations originated in the theory of Brownian motion, in the work of Albert Einstein and Smoluchowski. These early examples were linear stochastic differential equations, also called 'Langevin' equations after French physicist Langevin, describing the motion of a harmonic oscillator subject to a random force. The mathematical theory of stochasti ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
