Worldwide Asset and Liability Modeling: 10 (Publications of the Newton Institute, Series Number 10) - Hardcover

Hardcover

ISBN 10: 0521571871 ISBN 13: 9780521571876

Publisher: Cambridge University Press, 1998

Synopsis

The underlying theme of this volume is how to invest assets over time to achieve satisfactory returns subject to uncertainties, various constraints and liability commitments. Most investors, be they individuals or institutions, do not diversify properly across markets nor across time. The papers utilize several approaches and integrate a number of techniques as well as discussing a variety of models that have either been implemented, are close to being implemented, or represent new innovative approaches that may lead to future novel applications. Other issues address the future of asset-liability management modeling. This includes models for individuals, and various financial institutions such as banks and insurance companies. This will lead to custom products, that is, financial engineering. All in all, this will be essential reading for all involved in analysing the financial markets.

About this title

Review

'The book should have great appeal to those who responsibility it is to solve ALM [Asset Liability Management] modeling problems. In addition, it is an excellent introduction for those outside the field to both the strategic and the technical issues facing ALM modelers today.' Financial Engineering News

Book Description

These papers discuss how to invest assets over time to achieve satisfactory returns subject to uncertainties, various constraints and liability commitments. They integrate a number of techniques and discuss various models that may lead to future novel applications, i.e. financial engineering.

Edition details

• Publisher: Cambridge University Press
• Publication date: 1998
• Language: English
• ISBN 10: 0521571871
• ISBN 13: 9780521571876
• Binding: Hardcover
• Number of pages: 680
• Editor: Ziemba William T., Mulvey John M.