Autor/Autorin: Krekel Martin
Martin Krekel holds a diploma and a Ph.D in financialnmathematics. From 2000 to 2005 he was working in the financialnmathematics department at the Fraunhofer ITWM in Kaiserlautern asnscientific researcher and banking industry consultant (2004-2005:nHead of department). Since 2005, he is working at UniCredit asnsenior financial engineer.
The main two areas of financial mathematics areportfolio optimization and option pricing. Portfoliooptimization deals with the determination of the bestinvestment strategy under certain constraints (e.g.risk, liquidity or budget constraints). Optionpricing is concerned with valuation of derivativecontracts with complex payoffs, dependent on tradableassets. The first part of the book deals with realisticproblems of portfolio optimization. Thereby, theexpected outcome of a utility function underconstraints is maximised. For instance, the portfoliois optimized with fixed income and consumptionconstraints. The borrower rates of an investor dependon his debt-ratio, but usually they are assumed to bedebt-independent. The author shows, how debt-ratiodependent borrower rates can be incorporated intoportfolio optimization and how they affect theoptimal trading strategy. In the second part of thebook, some efficient methods to price Asian andaverage options are introduced. This book is adressed to quantitative researchers andportfolio managers in insurance companies andinvestment banks, as well as students of economicsand financial mathematics.
The main two areas of financial mathematics areportfolio optimization and option pricing. Portfoliooptimization deals with the determination of the bestinvestment strategy under certain constraints (e.g.risk, liquidity or budget constraints). Optionpricing is concerned with valuation of derivativecontracts with complex payoffs, dependent on tradableassets.The first part of the book deals with realisticproblems of portfolio optimization. Thereby, theexpected outcome of a utility function underconstraints is maximised. For instance, the portfoliois optimized with fixed income and consumptionconstraints. The borrower rates of an investor dependon his debt-ratio, but usually they are assumed to bedebt-independent. The author shows, how debt-ratiodependent borrower rates can be incorporated intoportfolio optimization and how they affect theoptimal trading strategy. In the second part of thebook, some efficient methods to price Asian andaverage options are introduced.This book is adressed to quantitative researchers andportfolio managers in insurance companies andinvestment banks, as well as students of economicsand financial mathematics.
Krekel MartinnMartin Krekel holds a diploma and a Ph.D in financialmathematics. From 2000 to 2005 he was working in the financialmathematics department at the Fraunhofer ITWM in Kaiserlautern asscientific researcher and banking industry consultant (2004-2005:Head of department). Since 2005, he is working at UniCredit assenior financial engineer.
Über den Autor
Martin Krekel holds a diploma and a Ph.D in financial
mathematics. From 2000 to 2005 he was working in the financial
mathematics department at the Fraunhofer ITWM in Kaiserlautern as
scientific researcher and banking industry consultant (2004-2005:
Head of department). Since 2005, he is working at UniCredit as
senior financial engineer.
Klappentext
The main two areas of financial mathematics are
portfolio optimization and option pricing. Portfolio
optimization deals with the determination of the best
investment strategy under certain constraints (e.g.
risk, liquidity or budget constraints). Option
pricing is concerned with valuation of derivative
contracts with complex payoffs, dependent on tradable
assets.
The first part of the book deals with realistic
problems of portfolio optimization. Thereby, the
expected outcome of a utility function under
constraints is maximised. For instance, the portfolio
is optimized with fixed income and consumption
constraints. The borrower rates of an investor depend
on his debt-ratio, but usually they are assumed to be
debt-independent. The author shows, how debt-ratio
dependent borrower rates can be incorporated into
portfolio optimization and how they affect the
optimal trading strategy. In the second part of the
book, some efficient methods to price Asian and
average options are introduced.
This book is adressed to quantitative researchers and
portfolio managers in insurance companies and
investment banks, as well as students of economics
and financial mathematics.
