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Case Studies

In: The Art of Quantitative Finance Vol. 3

Author

Listed:
  • Gerhard Larcher

    (Johannes Kepler University of Linz)

Abstract

In this chapter we present a selection of examples of projects carried out by the author (and partly by members of his research group) in his capacity as a court-appointed expert and privately hired expert appraiser, as well as examples from his work as an analyst and consultant for various asset management, financial software, and fund management companies. A few select cases from his own research work are also included. In choosing these examples, we ensured that they align with the knowledge that readers have acquired in the course of this book. Altogether we give 14 such case studies. Some topics handled with in these case studies, for example, are financial software based on machine learning, churning, pricing of interest swaps, callable range accrual swaps, analysis of put-write strategies, EUR CHF stop-loss order fiasco, portfolio selection based on sustainability parameters, basket derivatives, liquidity risk, ….

Suggested Citation

  • Gerhard Larcher, 2023. "Case Studies," Springer Texts in Business and Economics, in: The Art of Quantitative Finance Vol. 3, chapter 3, pages 169-368, Springer.
    • Handle: RePEc:spr:sptchp:978-3-031-23867-3_3
    DOI: 10.1007/978-3-031-23867-3_3
    as

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