Rudiger Kiesel, etc – Alternative Investments & Strategies

Description

This book combines academic research and practical expertise on alternative assets and trading strategies in a unique way. The asset classes that are discussed include: credit risk, cross-asset derivatives, energy, private equity, freight agreements, alternative real assets (ARA), and socially responsible investments (SRI). The coverage on trading and investment strategies are directed at portfolio insurance, especially constant proportion portfolio insurance (CPPI) and constant proportion debt obligation (CPDO) strategies, robust portfolio optimization, and hedging strategies for exotic options.

 

Sample Chapter(s)

Chapter 1: Socially Responsible Investments (276 KB)

 

Contents:

Alternative Investments:

Socially Responsible Investments (S Hroβ et al.)

Listed Private Equity in a Portfolio Context (P Aigner et al.)

Alternative Real Assets in a Portfolio Context (W Mader et al.)

The Freight Market and Its Derivatives (R Kiesel & P Scherer)

On Forward Price Modeling in Power Markets (F E Benth)

Pricing Certificates Under Issuer Risk (B Götz et al.)

Asset Allocation with Credit Instruments (B Menzinger et al.)

Cross Asset Portfolio Derivatives (S Höcht et al.)

Alternative Strategies:

Dynamic Portfolio Insurance Without Options (D Dersch)

How Good are Portfolio Insurance Strategies? (S Balder & A Mahayni)

Portfolio Insurances, CPPI and CPDO, Truth or Illusion? (E Joossens & W Schoutens)

On the Benefits of Robust Asset Allocation for CPPI Strategies (K Schöttle & R Werner)

Robust Asset Allocation Under Model Risk (P Barrieu & S Tobelem)

Semi-Static Hedging Strategies for Exotic Options (H Albrecher & P Mayer)

Discrete-Time Variance-Optimal Hedging in Affine Stochastic Volatility Models (J Kallsen et al.)

 

Readership: Advanced undergraduates and graduate students in the fields of finance and mathematical finance. Practitioners of the financial industry involved in portfolio selection and investment decisions.

 

Rüdiger Kiesel heads the chair for “Energy Trading and Financial Services” at the University Duisburg-Essen. Previously he has been Director of the Institute for Mathematical Finance at the University of Ulm. He also held positions as Lecturer and Reader for actuarial science and financial mathematics at Birkbeck College, University of London and the London School of Economics, where he is still a Visiting Professor. He is also a Visiting Professor at the Center of Applied Mathematics, Oslo University. His main research areas are currently design and analysis of credit risk models, valuation and hedging of derivatives (interest-rate, credit- and energy-related), methods of risk transfer and structuring of risk (securitization), risk management for power utility companies and the stochastic modelling of financial markets using Lévy-type processes. He is co-author of the Springer Finance monograph Risk-Neutral Valuation (now in its second edition). Professor Kiesel also consults financial institutions and regulators on (credit- and energy-) risk management, derivative pricing models and asset allocation.

 

 

Matthias Scherer is Senior Researcher at the HVB-Institute for Mathematical Finance at the Technische Universität München. With a doctorate from the University of Ulm, he coordinates the elite-graduate programme, “Finance and Information Management” and teaches various courses in mathematical finance. His research focus lies on credit-risk modelling, multivariate models, and dependence concepts.

 

 

Rudi Zagst is Professor of Mathematical Finance, Director of the Center of Mathematics and Head of the Institute for Mathematical Finance at TUM (Technische Universität München). He is also President of risklab germany, a German-based consulting company offering advanced asset management solutions. He is a consultant and a professional trainer to a number of leading institutions. His current research interests are in financial engineering, credit risk modelling and quantitative asset management. Prior to his current positions he headed the Product Development group in the Institutional Investment Management at Hypovereinsbank, the Consulting group at Allfonds International Asset Management GmbH and was Managing Director of the RiskLab GmbH — Private Research Institute for Financial Studies. He was awarded “Professor of the Year 2007” in Germany by the magazine Unicum Beruf for linking practice and education in an outstanding way. He is author of the book Interest Rate Management with Springer Finance and co-author of the books Zertifikate spielend beherrschen and Zu nah an der Sonne — Die gröβten Pleiten der Finanzgeschichte with Finanzbuch Verlag. He holds a PhD in Natural Sciences from the University of Ulm, Germany.