Rethinking Valuation and Pricing Models

Rethinking Valuation and Pricing Models, 1st Edition

Lessons Learned from the Crisis and Future Challenges

Rethinking Valuation and Pricing Models, 1st Edition,Carsten Wehn,Christian Hoppe,Greg Gregoriou,ISBN9780124158757

Wehn   &   Hoppe   &   Gregoriou   

Academic Press




235 X 191

Provides a single source of ways to improve financial modeling in the post-crisis environment

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Key Features

  • Highlights pre-crisis best classical practices, identifies post-crisis key issues, and examines emerging approaches to solving those issues
  • Singles out key factors one must consider when valuing or calculating risks in the post-crisis environment
  • Presents material in a homogenous, practical, clear, and not overly technical manner


It is widely acknowledged that many financial modelling techniques failed during the financial crisis, and in our post-crisis environment many techniques are being reconsidered.  This single volume provides a guide to lessons learned for practitioners and a reference for academics.  Including reviews of traditional approaches, real examples, and case studies, contributors consider portfolio theory; methods for valuing equities and equity derivatives, interest rate derivatives, and hybrid products; and techniques for calculating risks and implementing investment strategies.  Describing new approaches without losing sight of their classical antecedents, this collection of original articles presents a timely perspective on our post-crisis paradigm.


Addresses issues relevant for upper-division undergraduates, graduate students, and professionals worldwide working in asset management / trading / risk control of banks and insurance companies / consultancy firms  / auditing / regulation / applied mathematics and finance

Carsten Wehn

Head of the risk modelling team at DekaBank, Frankfurt, Germany. He is responsible for development and validation of internal portfolio models for measuring and managing credit risk.

Affiliations and Expertise

DeKaBank, Frankfurt, Germany

Christian Hoppe

Christian Hoppe is the Head of Credit Solutions at Commerzbank, Frankfurt, Germany, and the founder of Anleihen Finder GmbH.

Affiliations and Expertise

Commerzbank, Frankfurt, Germany

Greg Gregoriou

Greg N. Gregoriou is Professor of Finance, School of Business and Economics, State University of New York at Plattsburgh. He is Research Associate at the Caisse de dépôt et placement du Québec Endowed Chair in Portfolio Management at the University of Quebec at Montreal, as well as Lecturer in the School of Continuing Studies at McGill University. Professor Gregoriou has published several books with Elsevier including the two-volume Handbook of Asian Finance, Reconsidering Funds of Hedge Funds, Valuation and Pricing Models, and the Handbook of Short Selling, and is hedge fund editor and editorial board member of the Journal of Derivatives and Hedge Funds .

Affiliations and Expertise

School of Business and Economics, State University of New York, Plattsburgh, NY, USA

View additional works by Greg N. Gregoriou

Rethinking Valuation and Pricing Models, 1st Edition

40 original chapters divided into these sections:

1. Review of Traditional Approaches

2. Valuing Equities and Equity Derivatives--Calculating Risks

3. Valuing Interest Rate Derivatives and Debt Products--Calculating Risks

4. Valuing Hybrid Products, Alternative Investments--Calculating Risks

5. Investment Strategies and Asset Management--Combining the Results

6. Putting a Global Perspective on New Valuation Aspects

Quotes and reviews

"This reference is for financial professionals and advanced students and scholars working in asset management trading and risk control of banks and insurance companies. It looks at tensions revealed by the financial crisis between classical, well-established models and emerging issues in valuation models, derivatives pricing, risk calculation, and managing portfolios."--Reference & Research Book News, December 2013
"This book shows in a comprehensive way the influences and impacts of past crises. After guiding the reader through several investment styles and asset classes, the editors can present a deep comparison of governmental regulation on the one side and markets' tendencies toward self-regulation on the other. Their analytics identify leading indicators of future crises. A must-read for every financial market participant."--Christoph D. Kauter, Trigon Equity Partners
"In both our personal and professional lives, crises stimulate serious soul searching. The Global Financial Crisis was bound to have this effect on financial risk management. Rethinking Valuation and Pricing Models: Lessons Learned from the Crisis represents a major contribution to the collective soul searching currently under way in the world of quantitative finance. Particular attention is paid to the need for improved treatment of "higher order risks" such as basis risk, counterparty default risk, the instability of implied correlations and the shifting credit quality inherent in many interest rate indices. Also addressed is the realization that some risks are different in kind from those reflected in daily fluctuations of prices and rates (essentially the difference between risk and uncertainty in the Frank Knight sense). While not a volume for the quantitatively faint of heart, this book represents a significant contribution to the continuing reassessment of what we know about risk and how to quantify it."--David M. Rowe, David M. Rowe Risk Advisory

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