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Extreme Value Hedging

Extreme Value Hedging
Author: Ronald D. Orol
Publisher: John Wiley & Sons
Total Pages: 400
Release: 2008-01-18
Genre: Business & Economics
ISBN: 0470198915

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Activist hedge fund managers represent a small part of the $1.5 trillion hedge fund industry, but their approach is causing a stir among traditional managers and the investment community because they are shaking up the corporate establishment and making money for their investors. These types of managers are here to stay and Extreme Value Hedging tells the story of their rise to power in the U.S. and how they are spreading their influential gospel around the globe to places like China, Ukraine, South Korea and Sweden. Author Ronald D. Orol has a unique understanding of this world and through this book he shares his unparalleled insights in an easy to comprehend manner. He discusses everything from activist investor efforts to breakup the clubby insider world of corporate boardrooms to their deal-making or breaking pressure tactics and courtroom battles. Orol skillfully makes his case for each subject by offering revelations and examples from insiders like Ralph Whitworth, (Relational Investors), Guy Wyser-Pratte, (Wyser-Pratte Management), Mark Schwarz, (Newcastle Capital Group LLC), Robert Chapman (Chapman Capital), Phillip Goldstein (Opportunity Partners), Jeffrey Ubben (ValueAct Capital), Jeffrey M. Solomon (Ramius Capital Group LLC), Michael Van Biema (Van Biema Value Partners), Eric Rosenfeld (Crescendo Partners), Lars Förberg (Cevian Capital) and Emanuel Pearlman (Liberation Investment Group), among many, many others.


Tail Risk of Hedge Funds

Tail Risk of Hedge Funds
Author: Gregor Aleksander Gawron
Publisher: Cuvillier Verlag
Total Pages: 150
Release: 2007
Genre:
ISBN: 386727441X

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Extreme Events in Finance

Extreme Events in Finance
Author: Francois Longin
Publisher: John Wiley & Sons
Total Pages: 638
Release: 2016-10-17
Genre: Business & Economics
ISBN: 1118650190

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A guide to the growing importance of extreme value risk theory, methods, and applications in the financial sector Presenting a uniquely accessible guide, Extreme Events in Finance: A Handbook of Extreme Value Theory and Its Applications features a combination of the theory, methods, and applications of extreme value theory (EVT) in finance and a practical understanding of market behavior including both ordinary and extraordinary conditions. Beginning with a fascinating history of EVTs and financial modeling, the handbook introduces the historical implications that resulted in the applications and then clearly examines the fundamental results of EVT in finance. After dealing with these theoretical results, the handbook focuses on the EVT methods critical for data analysis. Finally, the handbook features the practical applications and techniques and how these can be implemented in financial markets. Extreme Events in Finance: A Handbook of Extreme Value Theory and Its Applications includes: Over 40 contributions from international experts in the areas of finance, statistics, economics, business, insurance, and risk management Topical discussions on univariate and multivariate case extremes as well as regulation in financial markets Extensive references in order to provide readers with resources for further study Discussions on using R packages to compute the value of risk and related quantities The book is a valuable reference for practitioners in financial markets such as financial institutions, investment funds, and corporate treasuries, financial engineers, quantitative analysts, regulators, risk managers, large-scale consultancy groups, and insurers. Extreme Events in Finance: A Handbook of Extreme Value Theory and Its Applications is also a useful textbook for postgraduate courses on the methodology of EVTs in finance.


Algorithms for Worst-Case Design and Applications to Risk Management

Algorithms for Worst-Case Design and Applications to Risk Management
Author: Berç Rustem
Publisher: Princeton University Press
Total Pages: 405
Release: 2009-02-09
Genre: Mathematics
ISBN: 1400825113

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Recognizing that robust decision making is vital in risk management, this book provides concepts and algorithms for computing the best decision in view of the worst-case scenario. The main tool used is minimax, which ensures robust policies with guaranteed optimal performance that will improve further if the worst case is not realized. The applications considered are drawn from finance, but the design and algorithms presented are equally applicable to problems of economic policy, engineering design, and other areas of decision making. Critically, worst-case design addresses not only Armageddon-type uncertainty. Indeed, the determination of the worst case becomes nontrivial when faced with numerous--possibly infinite--and reasonably likely rival scenarios. Optimality does not depend on any single scenario but on all the scenarios under consideration. Worst-case optimal decisions provide guaranteed optimal performance for systems operating within the specified scenario range indicating the uncertainty. The noninferiority of minimax solutions--which also offer the possibility of multiple maxima--ensures this optimality. Worst-case design is not intended to necessarily replace expected value optimization when the underlying uncertainty is stochastic. However, wise decision making requires the justification of policies based on expected value optimization in view of the worst-case scenario. Conversely, the cost of the assured performance provided by robust worst-case decision making needs to be evaluated relative to optimal expected values. Written for postgraduate students and researchers engaged in optimization, engineering design, economics, and finance, this book will also be invaluable to practitioners in risk management.


Extreme Values in Finance, Telecommunications, and the Environment

Extreme Values in Finance, Telecommunications, and the Environment
Author: Barbel Finkenstadt
Publisher: CRC Press
Total Pages: 422
Release: 2003-07-28
Genre: Mathematics
ISBN: 0203483359

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Because of its potential to ...predict the unpredictable,... extreme value theory (EVT) and methodology is currently receiving a great deal of attention from statistical and mathematical researchers. This book brings together world-recognized authorities in their respective fields to provide expository chapters on the applications, use, and theory


Decision & Control in Management Science

Decision & Control in Management Science
Author: Georges Zaccour
Publisher: Springer Science & Business Media
Total Pages: 419
Release: 2013-04-17
Genre: Business & Economics
ISBN: 1475735618

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Decision & Control in Management Science analyzes emerging decision problems in the management and engineering sciences. It is divided into five parts. The first part explores methodological issues involved in the optimization of deterministic and stochastic dynamical systems. The second part describes approaches to the model energy and environmental systems and draws policy implications related to the mitigation of pollutants. The third part applies quantitative techniques to problems in finance and economics, such as hedging of options, inflation targeting, and equilibrium asset pricing. The fourth part considers a series of problems in production systems. Optimization methods are put forward to provide optimal policies in areas such as inventory management, transfer-line, flow-shop and other industrial problems. The last part covers game theory. Chapters range from theoretical issues to applications in politics and interactions in franchising systems. Decision & Control in Management Science is an excellent reference covering methodological issues and applications in operations research, optimal control, and dynamic games.


Alternative Investments

Alternative Investments
Author: Donald R. Chambers
Publisher: John Wiley & Sons
Total Pages: 928
Release: 2020-03-16
Genre: Business & Economics
ISBN: 1119604176

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Alternative Investments: CAIA Level I, 4th Edition is the curriculum book for the Chartered Alternative Investment Analyst (CAIA) Level I professional examination. Covering the fundamentals of the alternative investment space, this book helps you build a foundation in alternative investment markets. You'll look closely at the different types of hedge fund strategies and the range of statistics used to define investment performance as you gain a deep familiarity with alternative investment terms and develop the computational ability to solve investment problems. From strategy characteristics to portfolio management strategies, this book contains the core material you will need to succeed on the CAIA Level I exam. This updated fourth edition tracks to the latest version of the exam and is accompanied by the following ancillaries: a workbook, study guide, learning objectives, and an ethics handbook.


How to Hedge Metals

How to Hedge Metals
Author: Lesley Campbell
Publisher: CRC Press
Total Pages: 137
Release: 2024-08-30
Genre: Business & Economics
ISBN: 104009600X

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How to Hedge Metals is an important resource for all traders, whether new graduates or seasoned directors, and is written in simple, precise, and clear terms. It is engaging and accessible – a good read rather than a reference book – and provides solutions to the problems caused by metal price volatility. It walks through the entire hedging process, starting long before the first futures trade, with a discussion on risk tolerance and appetite. It explains how the world’s major futures exchanges work; but more importantly, it explains how futures and options can solve physical trading problems. Written entirely from a hedger’s perspective, How to Hedge Metals answers questions on issues such as Quotational Periods, option premiums, and backwardations. The aim of the book is not to promote hedging; some companies will learn how to minimise risk by changing their physical contracts, while others may conclude that the level of risk they face is acceptable. For those who decide to hedge there is a step-by-step guide to preparation, implementation, and evaluation of a hedging strategy, as well as case studies to illustrate how strategies have gone wrong in the past. Whatever their business model and knowledge of commodity markets, metal producers, fabricators and traders will understand what they can realistically achieve with a hedging program, and how to achieve it. This book deals with real world problems – contracts that are not in convenient 25 tons multiples, customers, and suppliers who change their minds, shipments that are delayed and markets that inexplicably move in ways that seem to defy the laws of supply and demand. Written by a respected industry expert who has worked for trading companies, banks, brokers, and the London Metal Exchange (LME), it uses simple language and engaging graphics to show how futures and options can offer protection from the increasing volatility of metal prices.


Extreme Values and Financial Risk

Extreme Values and Financial Risk
Author: Saralees Nadarajah
Publisher: MDPI
Total Pages: 115
Release: 2019-01-15
Genre: Business
ISBN: 3038974390

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This book is a printed edition of the Special Issue "Extreme Values and Financial Risk" that was published in JRFM