World financial markets have experienced tremendous growth in recent years. New financial instruments have been developed, the volume of transactions within individual markets has skyrocketed, and capital flows across countries have risen dramatically. While these developments have made financial markets more efficient, they have also increased the risk that events at one institution or in one ...

The fair valuation of complex financial products for credit risk transfer (CRT) can provide a good basis for sustained growth of these markets and their recovery after the current financial crisis. Therefore, the risks of these structured credit securities (such as Collateralized Debt Obligations (CDO) and Credit Default Swap-Index tranches) have to be known as well as the investor’s current ri...

World financial markets have experienced tremendous growth in recent years. New financial instruments have been developed, the volume of transactions within individual markets has skyrocketed, and capital flows across countries have risen dramatically. While these developments have made financial markets more efficient, they have also increased the risk that events at one institution or in one ...

The core principles of Islam lay great emphasis on social justice, inclusion, and sharing of resources between the haves and the have nots. Islamic finance addresses the issue of “financial inclusion” or “access to finance” from two directions — one through promoting risk-sharing contracts that provide a viable alternative to conventional debt-based financing, and the other through specific ins...

Loan securitization has become a widely used method for consolidating collections of loans into financial instruments with sufficiently stable statistical properties that they can be freely traded. In recent years the concept has been generally extended, creating a class of asset backed securities, financial instruments which are created from a wide variety of loan sources, including credit car...

The market turbulence that began in July 2007 stemmed initially from credit prospects deteriorating in U.S. subprime mortgages, but quickly spread to other markets. Growing uncertainty surrounding the valuation of structured credit instruments affected their liquidity, leading to difficulties in the asset-backed commercial paper (ABCP) market, where these instruments were partly funded. Illiqui...

Based on these targets, and assuming that these targets will be met in a linear fashion (i.e., equal capacity installation per year), using forecasted costs of renewable technologies, this would require approximately $189 billion of additional investment, including $132 billion of debt and $57 billion of equity. Among technologies, solar energy would require approximately $131 billion, wind ene...

Derivative assets analysis usually takes a model of the underlying price process as given and attempts to value derivative securities relative to that model. This paper studies the following “inverse” problem: given a valuation formula for a derivative asset, what can be inferred about the underlying asset price process? Assuming continuous sample paths, we show that a sufficiently regular pric...

Increasing complexity of the modern market dynamics requires new quantitative frameworks for the discovery of stable portfolio strategies. Important requirements include the ability of the coupled and self-consistent optimization of the dynamic strategies and asset allocations as well as robust built-in mechanisms for the strategy complexity control to ensure acceptable out-of-sample performanc...