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1. |
Record Nr. |
UNINA9910139077203321 |
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Autore |
Kienitz Joerg |
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Titolo |
Financial modelling [[electronic resource] ] : theory, implementation and practice (with Matlab source) / / Joerg Kienitz, Daniel Wetterau |
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Pubbl/distr/stampa |
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Hoboken, N.J., : Wiley, 2012 |
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ISBN |
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1-118-41329-6 |
1-118-81856-3 |
1-283-59301-7 |
9786613905468 |
1-118-41331-8 |
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Descrizione fisica |
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1 online resource (735 p.) |
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Collana |
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Altri autori (Persone) |
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Disciplina |
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Soggetti |
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Finance - Mathematical models |
Numerical analysis |
Finance - Mathematical models - Computer programs |
Numerical analysis - Computer programs |
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Lingua di pubblicazione |
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Formato |
Materiale a stampa |
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Livello bibliografico |
Monografia |
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Note generali |
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Description based upon print version of record. |
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Nota di bibliografia |
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Includes bibliographical references and index. |
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Nota di contenuto |
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Financial Modelling; Contents; Introduction; 1 Introduction and Management Summary; 2 Why We Have Written this Book; 3 Why You Should Read this Book; 4 The Audience; 5 The Structure of this Book; 6 What this Book Does Not Cover; 7 Credits; 8 Code; PART I FINANCIAL MARKETS AND POPULAR MODELS; 1 Financial Markets - Data, Basics and Derivatives; 1.1 Introduction and Objectives; 1.2 Financial Time-Series, Statistical Properties of Market Data and Invariants; 1.2.1 Real World Distribution; 1.3 Implied Volatility Surfaces and Volatility Dynamics; 1.3.1 Is There More than just a Volatility? |
1.3.2 Implied Volatility 1.3.3 Time-Dependent Volatility; 1.3.4 Stochastic Volatility; 1.3.5 Volatility from Jumps; 1.3.6 Traders' Rule of Thumb; 1.3.7 The Risk Neutral Density; 1.4 Applications; 1.4.1 Asset Allocation; 1.4.2 Pricing, Hedging and Risk Management; 1.5 General Remarks on Notation; 1.6 Summary and Conclusions; 1.7 Appendix - Quotes; 2 Diffusion Models; 2.1 Introduction and Objectives; 2.2 Local Volatility Models; 2.2.1 The Bachelier and the Black-Scholes Model; |
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2.2.2 The Hull-White Model; 2.2.3 The Constant Elasticity of Variance Model; 2.2.4 The Displaced Diffusion Model |
2.2.5 CEV and DD Models 2.3 Stochastic Volatility Models; 2.3.1 Pricing European Options; 2.3.2 Risk Neutral Density; 2.3.3 The Heston Model (and Extensions); 2.3.4 The SABR Model; 2.3.5 SABR - Further Remarks; 2.4 Stochastic Volatility and Stochastic Rates Models; 2.4.1 The Heston-Hull-White Model; 2.5 Summary and Conclusions; 3 Models with Jumps; 3.1 Introduction and Objectives; 3.2 Poisson Processes and Jump Diffusions; 3.2.1 Poisson Processes; 3.2.2 The Merton Model; 3.2.3 The Bates Model; 3.2.4 The Bates-Hull-White Model; 3.3 Exponential Lévy Models; 3.3.1 The Variance Gamma Model |
3.3.2 The Normal Inverse Gaussian Model 3.4 Other Models; 3.4.1 Exponential Lévy Models with Stochastic Volatility; 3.4.2 Stochastic Clocks; 3.5 Martingale Correction; 3.6 Summary and Conclusions; 4 Multi-Dimensional Models; 4.1 Introduction and Objectives; 4.2 Multi-Dimensional Diffusions; 4.2.1 GBM Baskets; 4.2.2 Libor Market Models; 4.3 Multi-Dimensional Heston and SABR Models; 4.3.1 Stochastic Volatility Models; 4.4 Parameter Averaging; 4.4.1 Applications to CMS Spread Options; 4.5 Markovian Projection; 4.5.1 Baskets with Local Volatility |
4.5.2 Markovian Projection on Local Volatility and Heston Models 4.5.3 Markovian Projection onto DD SABR Models; 4.6 Copulae; 4.6.1 Measures of Concordance and Dependency; 4.6.2 Examples; 4.6.3 Elliptical Copulae; 4.6.4 Archimedean Copulae; 4.6.5 Building New Copulae from Given Copulae; 4.6.6 Asymmetric Copulae; 4.6.7 Applying Copulae to Option Pricing; 4.6.8 Applying Copulae to Asset Allocation; 4.7 Multi-Dimensional Variance Gamma Processes; 4.8 Summary and Conclusions; PART II NUMERICAL METHODS AND RECIPES; 5 Option Pricing by Transform Techniques and Direct Integration |
5.1 Introduction and Objectives |
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Sommario/riassunto |
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Financial Modelling - Theory, Implementation and Practice is a unique combination of quantitative techniques, the application to financial problems and programming using Matlab. The book enables the reader to model, design and implement a wide range of financial models for derivatives pricing and asset allocation, providing practitioners with complete financial modelling workflow, from model choice, deriving prices and Greeks using (semi-) analytic and simulation techniques, and calibration even for exotic options. The book is split into three parts. The first part considers |
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2. |
Record Nr. |
UNINA9910707432103321 |
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Autore |
Cameron Cornelia C. <1911-1994, > |
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Titolo |
Studies in peat Peat deposits of northeastern Pennsylvania / / by Cornelia C. Cameron |
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Pubbl/distr/stampa |
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[Washington, D.C.] : , : United States Department of the Interior, Geological Survey, , 1970 |
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Washington : , : United States Government Printing Office |
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Descrizione fisica |
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1 online resource (iv, 90 pages) : illustrations |
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Collana |
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Geological Survey bulletin ; ; 1317-A |
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Soggetti |
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Geology - Pennsylvania |
Peat - Pennsylvania |
Peat |
Pennsylvania |
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Lingua di pubblicazione |
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Formato |
Materiale a stampa |
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Livello bibliografico |
Monografia |
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Note generali |
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Title from title screen (viewed September 15, 2014). |
"The use of physical characteristics of peat and geologic setting of the deposits as guides to peat resources." |
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Nota di bibliografia |
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Includes bibliographical references (pages 46-47) and index. |
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3. |
Record Nr. |
UNINA9910694594403321 |
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Titolo |
Allegations of waste, fraud and abuse at the new U.S. embassy in Iraq : joint hearing before the Subcommittee on National Security and Foreign Affairs and the Committee on Oversight and Government Reform, House of Representatives, One Hundred Tenth Congress, first session, July 26, 2007 |
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Descrizione fisica |
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1 online resource (iii, 169 p.) : ill |
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Soggetti |
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Embassy buildings - Iraq - Costs |
Waste in government spending - United States |
Public contracts - Iraq |
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Lingua di pubblicazione |
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Formato |
Materiale a stampa |
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Livello bibliografico |
Monografia |
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4. |
Record Nr. |
UNINA9910677811503321 |
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Autore |
Rehm Hans-Jürgen |
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Titolo |
Biotechnology, Bio-transformations II |
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Pubbl/distr/stampa |
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[Place of publication not identified], : Wiley VCH Imprint, 2000 |
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ISBN |
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Descrizione fisica |
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1 online resource (xii, 533 pages) |
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Disciplina |
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Soggetti |
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Biotransformation (Metabolism) |
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Lingua di pubblicazione |
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Formato |
Materiale a stampa |
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Livello bibliografico |
Monografia |
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Note generali |
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Bibliographic Level Mode of Issuance: Monograph |
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Nota di bibliografia |
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Includes bibliographical references and indexes. |
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Sommario/riassunto |
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Biotransformations have developed into an important tool of organic synthesis and most synthetic sequences will benefit from the use of a biotransformation step. This volume completes the collection of biotransformations presented in the Biotechnology series. Volumes 8 a |
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and b provide a comprehensive guide to the established and emerging uses of enzymes, each chapter is devoted to a single class of transformation. |
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