Deposits of clastic carbonate-dominated (calciclastic) sedimentary slope systems in the rock record have been identified mostly as linearly-consistent carbonate apron deposits, even though most ancient clastic carbonate slope deposits fit the submarine fan systems better. Calciclastic submarine fans are consequently rarely described and are poorly understood. Subsequently, very little is known especially in mud-dominated calciclastic submarine fan systems. Presented in this study are a sedimentological core and petrographic characterisation of samples from eleven boreholes from the Lower Carboniferous of Bowland Basin (Northwest England) that reveals a >250 m thick calciturbidite complex deposited in a calciclastic submarine fan setting. Seven facies are recognised from core and thin section characterisation and are grouped into three carbonate turbidite sequences. They include: 1) Calciturbidites, comprising mostly of highto low-density, wavy-laminated bioclast-rich facies; 2) low-density densite mudstones which are characterised by planar laminated and unlaminated muddominated facies; and 3) Calcidebrites which are muddy or hyper-concentrated debrisflow deposits occurring as poorly-sorted, chaotic, mud-supported floatstones. These

Phd by thesis

This book provides the most comprehensive treatment of the theoretical concepts and modelling techniques of quantitative risk management. Whether you are a financial risk analyst, actuary, regulator or student of quantitative finance, Quantitative Risk Management gives you the practical tools you need to solve real-world problems. Describing the latest advances in the field, Quantitative Risk Management covers the methods for market, credit and operational risk modelling. It places standard industry approaches on a more formal footing and explores key concepts such as loss distributions, risk measures and risk aggregation and allocation principles. The book's methodology draws on diverse quantitative disciplines, from mathematical finance and statistics to econometrics and actuarial mathematics. A primary theme throughout is the need to satisfactorily address extreme outcomes and the dependence of key risk drivers. Proven in the classroom, the book also covers advanced topics like credit derivatives. Fully revised and expanded to reflect developments in the field since the financial crisis Features shorter chapters to facilitate teaching and learning Provides enhanced coverage of Solvency II and insurance risk management and extended treatment of credit risk, including counterparty credit risk and CDO pricing Includes a new chapter on market risk and new material on risk measures and risk aggregation

/pdf/quantitative-risk-management-concepts-techniques-and-tools-afazrwn4wm.pdf

Quantitative Risk Management: Concepts, Techniques, and Tools

Stable non-Gaussian random processes , by G. Samorodnitsky and M. S. Taqqu. Pp. 632. £49.50. 1994. ISBN 0-412-05171-0 (Chapman and Hall).

Preface to the revised edition Remarks on notation 1. Basic examples 2. Characterization and existence 3. Stable processes and their extensions 4. The Levy-Ito decomposition of sample functions 5. Distributional properties of Levy processes 6. Subordination and density transformation 7. Recurrence and transience 8. Potential theory for Levy processes 9. Wiener-Hopf factorizations 10. More distributional properties Supplement Solutions to exercises References and author index Subject index.

Lévy processes and infinitely divisible distributions

Thank you very much for reading methods of modern mathematical physics. Maybe you have knowledge that, people have look numerous times for their favorite novels like this methods of modern mathematical physics, but end up in harmful downloads. Rather than reading a good book with a cup of tea in the afternoon, instead they are facing with some infectious virus inside their desktop computer. methods of modern mathematical physics is available in our digital library an online access to it is set as public so you can download it instantly. Our books collection saves in multiple countries, allowing you to get the most less latency time to download any of our books like this one. Merely said, the methods of modern mathematical physics is universally compatible with any devices to read.

Methods Of Modern Mathematical Physics

Three expressions are provided for the first hitting time density of an Ornstein-Uhlenbeck process to reach a fixed level. The first hinges on an eigenvalue expansion involving zeros of the parabolic cylinder functions. The second is an integral representation involving some special functions whereas the third is given in terms of a functional of a 3-dimensional Bessel bridge. The expressions are used for approximating the density. 1Research supported by RiskLab, Switzerland, funded by Credit Suisse Group, Swiss Re and UBS AG. The third author was supported by a Steno grant from the Danish Natural Science Research Council.

Representations of the first hitting time density of an Ornstein-Uhlenbeck process

In this paper we study the hedging of derivatives in illiquid markets. More specifically we consider a model where the implementation of a hedging strategy affects the price of the underlying security. Following earlier work we characterize perfect hedging strategies by a nonlinear version of the Black-Scholes PDE. The core of the paper consists of a simulation study. We present numerical results on the impact of market illiquidity on hedge cost and Greeks of derivatives. We go on and offer a new explanation of the smile pattern of implied volatility related to the lack of market liquidity. Finally we present simulations on the performance of different hedging strategies in illiquid markets.

/pdf/risk-management-for-derivatives-in-illiquid-markets-a-4co1texs9o.pdf

Risk Management for Derivatives in Illiquid Markets: A Simulation Study

The question of the measurement of strategic long-term financial risks is of considerable importance. Existing modelling instruments allow for a good measurement of market risks of trading books over relatively small time intervals. However, these approaches may have severe deficiencies if they are routinely applied to longer time periods. In this paper we give an overview on methodologies that can be used to model the evolution of risk factors over a one-year horizon. Different models are tested on financial time series data by performing backtesting on their expected shortfall predictions.

/pdf/strategic-long-term-financial-risks-single-risk-factors-10yt4np7ve.pdf

Strategic Long-Term Financial Risks: Single Risk Factors

We first introduce and derive some basic properties of a two-parameters ( α , γ ) family of one-sided Levy processes, with 1 α 2 and γ > − α . Their Laplace exponents are given in terms of the Pochhammer symbol as follows ψ ( γ ) ( λ ) = c ( ( λ + γ ) α − ( γ ) α ) , λ ⩾ 0 , where c is a positive constant, ( λ ) α = Γ ( λ + α ) Γ ( λ ) stands for the Pochhammer symbol and Γ for the Gamma function. These are a generalization of the Brownian motion, since in the limit case α → 2 , we end up to the Laplace exponent of a Brownian motion with drift γ + 1 2 . Then, we proceed by computing the density of the law of the exponential functional associated to some elements of this family (and their dual) and some transformations of these elements. More precisely, we shall consider the Levy processes which admit the following Laplace exponent, for any δ > α − 1 α , ψ ( 0 , δ ) ( λ ) = ψ ( 0 ) ( λ ) − α δ λ + α − 1 ψ ( 0 ) ( λ ) , λ ⩾ 0 . These densities are expressed in terms of the Wright hypergeometric functions. By means of probabilistic arguments, we derive some interesting properties enjoyed by these functions. On the way, we also characterize explicitly the semi-group of the family of self-similar continuous state branching processes with immigration.

/pdf/exponential-functional-of-a-new-family-of-levy-processes-and-54dbik4plu.pdf

Exponential functional of a new family of Lévy processes and self-similar continuous state branching processes with immigration

Let X be a spectrally negative self-similar Markov process with 0 as an absorbing state. In this paper, we show that the distribution of the absorption time is absolutely continuous with an infinitely continuously differentiable density. We provide a power series and a contour integral representation of this density. Then, by means of probabilistic arguments, we deduce some interesting analytical properties satisfied by these functions, which include, for instance, several types of hypergeometric functions. We also give several characterizations of the Kesten’s constant appearing in the study of the asymptotic tail distribution of the absorbtion time. We end the paper by detailing some known and new examples. In particular, we offer an alternative proof of the recent result obtained by Bernyk, Dalang and Peskir [Ann. Probab. 36 (2008) 1777–1789] regarding the law of the maximum of spectrally positive Levy stable processes.

/pdf/law-of-the-absorption-time-of-some-positive-self-similar-221iyhngjd.pdf

Pierre Patie

Papers

Representations of the first hitting time density of an Ornstein-Uhlenbeck process

Risk Management for Derivatives in Illiquid Markets: A Simulation Study

Strategic Long-Term Financial Risks: Single Risk Factors

Exponential functional of a new family of Lévy processes and self-similar continuous state branching processes with immigration

Law of the absorption time of some positive self-similar Markov processes