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1. |
Record Nr. |
UNINA9910711272003321 |
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Autore |
Sandholzer Marjorie W |
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Titolo |
Tests on flammable sweaters / / Marjorie W. Sandholzer |
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Pubbl/distr/stampa |
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Gaithersburg, MD : , : U.S. Dept. of Commerce, National Institute of Standards and Technology, , 1952 |
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Descrizione fisica |
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Collana |
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Altri autori (Persone) |
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Soggetti |
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Flammable fabrics - Fire testing |
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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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1952. |
Contributed record: Metadata reviewed, not verified. Some fields updated by batch processes. |
Title from PDF title page. |
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Nota di bibliografia |
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Includes bibliographical references. |
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2. |
Record Nr. |
UNINA9910778598703321 |
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Autore |
Maruhn Jan H |
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Titolo |
Robust static super-replication of barrier options [[electronic resource] /] / Jan H. Maruhn |
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Pubbl/distr/stampa |
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Berlin ; ; New York, : Walter de Gruyter, c2009 |
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ISBN |
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1-282-29646-9 |
9786612296468 |
3-11-916585-9 |
3-11-020851-2 |
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Descrizione fisica |
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1 online resource (209 p.) |
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Collana |
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Radon series on computational and applied mathematics, , 1865-3707 ; ; 7 |
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Classificazione |
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Disciplina |
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Soggetti |
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Options (Finance) - Mathematical models |
Hedging (Finance) - Mathematical models |
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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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"RICAM, Johann Radon Institute for Computational and Applied Mathematics". |
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Nota di bibliografia |
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Includes bibliographical references (p. [187]-191) and index. |
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Nota di contenuto |
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Frontmatter -- Contents -- 1. Theoretical Background -- 2. Static Hedging of Barrier Options -- 3. An Optimization Approach to Static Super-Replication -- 4. Reformulation as a Semi-Infinite Problem -- 5. Eliminating Model Parameter Uncertainty -- 6. Modifications and Extensions -- 7. Avoiding Model Errors -- 8. Empirical Hedge Performance -- 9. Summary and Outlook -- A. General Existence Theorem -- B. Source Code -- Backmatter |
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Sommario/riassunto |
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Static hedge portfolios for barrier options are very sensitive with respect to changes of the volatility surface. To prevent potentially significant hedging losses this book develops a static super-replication strategy with market-typical robustness against volatility, skew and liquidity risk as well as model errors. Empirical results and various numerical examples confirm that the static superhedge successfully eliminates the risk of a changing volatility surface. Combined with associated sub-replication strategies this leads to robust price bounds for barrier options which are also relevant in the context of dynamic hedging. The mathematical techniques used to prove appropriate existence, duality and convergence results range from financial |
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mathematics, stochastic and semi-infinite optimization, convex analysis and partial differential equations to semidefinite programming. |
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3. |
Record Nr. |
UNINA9910626147203321 |
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Titolo |
IEEE journal of robotics and automation |
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Pubbl/distr/stampa |
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New York, NY, : Institute of Electrical and Electronics Engineers, ©1985-©1988 |
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ISSN |
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Disciplina |
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Soggetti |
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Robotics |
Automatic control |
Automation |
Commande automatique |
Automatisation |
Robotique |
Robots |
Automatisering |
Periodicals. |
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Lingua di pubblicazione |
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Formato |
Materiale a stampa |
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Livello bibliografico |
Periodico |
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Note generali |
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