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Scope: Security Models (per security and aggregated valuation and cashflow models), Market and Macro models for forward simulation, Capital plan models (actual, implied optimized, and forward models), Balance sheet models ( actual and forward simulated). Tools, testing, and prototyping will be covered as well.

People: Andrew LoWilmott, Marco, Shreve, Duffie, Turnbull, Hull, …

Valuation model papers: Black Scholes 2014

Jarrow, R. and van Deventer, D. (1998), “The arbitrage‐free valuation and hedging of
demand deposits and credit card loans”, Journal of Banking & Finance, 22, 249‐272

Explanatories:

Cashflow model papers:

Martin Schneider, Borrowing Constraints in a Dynamic Model Of Bank Asset and Liability Management, 2001, here.

FDIC, Liquidity and Funds Management, here.

Helena von Feilitzen, Modeling Non–Maturing Liabilities. 2011,  here.

Lo has a credit card model paper.

Expected Market data  model papers:

LMM – BGM – Brace Gatarek Museila Model

  • Brace, A., Gatarek, D. et Musiela, M. (1997): “The Market Model of Interest Rate Dynamics”, Mathematical Finance, 7(2), 127-154.
  • Miltersen, K., Sandmann, K. et Sondermann, D., (1997): „Closed Form Solutions for Term Structure Derivates with Log-Normal Interest Rates“, Journal of Finance, 52(1), 409-430.

HJM

Expected Econometric data model papers:

Open Problems:

  1. Time and space tradeoff in NIMo simulation of cashflow models of retail deposits and loans.
  2. Deposit cashflow model
  3. Cards cashflow model

Bibliography v 0.0:

CIR.

Hayre, L. (2001). Guide to Mortgage-Backed and Asset-Backed Securities. John Wiley & Sons.

Ito, K., & McKean, H. P. (2008). Diffusion Processes and their Sample Paths. NY: Springer-Verlag.

Jarrow, R., & van Deventer, D. (1998). The arbitrage‐free valuation and hedging of demand deposits and credit card loans. Journal of Banking & Finance , 22, 249-272.

Lo, A. A Non-Random Walk Down Wall Street.

Malkiel. A Random Walk Down Wall Street.

Rebanato.

Sandberg, J. (2014). Black Scholes 2014. Retrieved from Pink Iguana: https://pinkiguana2.files.wordpress.com/2013/12/black-scholes-2014.pdf

Shreve, S. E. Stochastic Calculus for Finance 1, 2.

Wilmott, P. On Quantitative FInance.

 

 

 

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