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1. |
Record Nr. |
UNINA9910139741303321 |
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Autore |
Huynh Huu Tue |
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Titolo |
Stochastic simulation and applications in finance with MATLAB programs [[electronic resource] /] / Huu Tue Huynh, Van Son Lai and Issouf Soumaré |
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Pubbl/distr/stampa |
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Chichester, England ; ; Hoboken, N.J., : John Wiley & Sons, c2008 |
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ISBN |
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1-283-37237-1 |
9786613372376 |
1-118-46737-X |
0-470-72213-4 |
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Descrizione fisica |
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1 online resource (356 p.) |
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Collana |
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Classificazione |
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DAT 306f |
MAT 605f |
QP 890 |
ST 601 M35 |
WIR 160f |
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Altri autori (Persone) |
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LaiVan Son |
SoumaréIssouf |
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Disciplina |
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Soggetti |
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Finance - Mathematical models |
Stochastic 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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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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Stochastic Simulation and Applications in Finance with MATLAB® Programs; Contents; Preface; 1 Introduction to Probability; 1.1 Intuitive Explanation; 1.1.1 Frequencies; 1.1.2 Number of Favorable Cases Over The Total Number of Cases; 1.2 Axiomatic Definition; 1.2.1 Random Experiment; 1.2.2 Event; 1.2.3 Algebra of Events; 1.2.4 Probability Axioms; 1.2.5 Conditional Probabilities; 1.2.6 Independent Events; 2 Introduction to Random Variables; 2.1 Random Variables; 2.1.1 Cumulative Distribution Function; 2.1.2 Probability Density Function |
2.1.3 Mean, Variance and Higher Moments of a Random Variable2.1.4 Characteristic Function of a Random Variable; 2.2 Random vectors; 2.2.1 Cumulative Distribution Function of a Random Vector; 2.2.2 |
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Probability Density Function of a Random Vector; 2.2.3 Marginal Distribution of a Random Vector; 2.2.4 Conditional Distribution of a Random Vector; 2.2.5 Mean, Variance and Higher Moments of a Random Vector; 2.2.6 Characteristic Function of a Random Vector; 2.3 Transformation of Random Variables; 2.4 Transformation of Random Vectors |
2.5 Approximation of the Standard Normal Cumulative Distribution Function3 Random Sequences; 3.1 Sum of Independent Random Variables; 3.2 Law of Large Numbers; 3.3 Central Limit Theorem; 3.4 Convergence of Sequences of Random Variables; 3.4.1 Sure Convergence; 3.4.2 Almost Sure Convergence; 3.4.3 Convergence in Probability; 3.4.4 Convergence in Quadratic Mean; 4 Introduction to Computer Simulation of Random Variables; 4.1 Uniform Random Variable Generator; 4.2 Generating Discrete Random Variables; 4.2.1 Finite Discrete Random Variables |
4.2.2 Infinite Discrete Random Variables: Poisson Distribution4.3 Simulation of Continuous Random Variables; 4.3.1 Cauchy Distribution; 4.3.2 Exponential Law; 4.3.3 Rayleigh Random Variable; 4.3.4 Gaussian Distribution; 4.4 Simulation of Random Vectors; 4.4.1 Case of a Two-Dimensional Random Vector; 4.4.2 Cholesky Decomposition of the Variance-Covariance Matrix; 4.4.3 Eigenvalue Decomposition of the Variance-Covariance Matrix; 4.4.4 Simulation of a Gaussian Random Vector with MATLAB; 4.5 Acceptance-Rejection Method; 4.6 Markov Chain Monte Carlo Method (MCMC) |
4.6.1 Definition of a Markov Process4.6.2 Description of the MCMC Technique; 5 Foundations of Monte Carlo Simulations; 5.1 Basic Idea; 5.2 Introduction to the Concept of Precision; 5.3 Quality of Monte Carlo Simulations Results; 5.4 Improvement of the Quality of Monte Carlo Simulations or Variance Reduction Techniques; 5.4.1 Quadratic Resampling; 5.4.2 Reduction of the Number of Simulations Using Antithetic Variables; 5.4.3 Reduction of the Number of Simulations Using Control Variates; 5.4.4 Importance Sampling; 5.5 Application Cases of Random Variables Simulations |
5.5.1 Application Case: Generation of Random Variables as a Function of the Number of Simulations |
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Sommario/riassunto |
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Stochastic Simulation and Applications in Finance with MATLAB Programs explains the fundamentals of Monte Carlo simulation techniques, their use in the numerical resolution of stochastic differential equations and their current applications in finance. Building on an integrated approach, it provides a pedagogical treatment of the need-to-know materials in risk management and financial engineering. The book takes readers through the basic concepts, covering the most recent research and problems in the area, including: the quadratic re-sampling technique, the Least Squared Method, the d |
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2. |
Record Nr. |
UNINA9911020133503321 |
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Autore |
Smithers Andrew |
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Titolo |
Wall Street revalued : imperfect markets and inept central bankers / / Andrew Smithers |
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Pubbl/distr/stampa |
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Chichester, West Sussex ; ; Hoboken, NJ, : John Wiley & Sons, 2009 |
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ISBN |
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9786612291609 |
9780470685105 |
0470685107 |
9781119207016 |
1119207010 |
9781282291607 |
1282291602 |
9780470682692 |
0470682698 |
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Descrizione fisica |
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1 online resource (289 p.) |
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Disciplina |
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Soggetti |
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Capital market - United States |
Monetary policy - United States |
Finance - United States |
Banks and banking, Central - United States |
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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 contenuto |
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WALL STREET REVALUED: Imperfect Markets and Inept Central Bankers; Contents; Foreword; 1: Introduction; 2: Synopsis; 3: Interest Rate Levels and the Stock Market; 4: Interest Rate Changes and Share Price Changes; 5: Household Savings and the Stock Market; 6: A Moderately Rather than a Perfectly Efficient Market; 7: The Efficient Market Hypothesis; 8: Testing the Imperfectly Efficient Market Hypothesis; 9: Other Claims for Valuing Equities; 10: Forecasting Returns without Using Value; 11: Valuing Stock Markets by Hindsight Combined with Subsequent Returns; 12: House Prices |
13: The Price of Liquidity - The Return for Holding Illiquid Assets14: |
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The Return on Equities and the Return on Equity Portfolios; 15: The General Undesirability of Leveraging Equity Portfolios; 16: A Rare Exception to the Rule Against Leverage; 17: Profits are Overstated; 18: Intangibles; 19: Accounting Issues; 20: The Impact on q; 21: Problems with Valuing the Markets of Developing Economies; 22: Central Banks' Response to Asset Prices; 23: The Response to Asset Prices from Investors, Fund Managers and Pension Consultants; 24: International Imbalances; 25: Summing Up |
Appendix 1: Sources and ObligationsAppendix 2: Glossary of Terms; Appendix 3: Interest Rates, Profits and Share Prices; Appendix 4: Examples of the Current (Trailing) and Next Year's (Prospective) PEs Giving Misleading Guides to Value; Appendix 5: Real Returns from 17 International Equity Markets Comparing 1899-1954 with 1954-2008 and Showing Their Variance Compression; Appendix 6: Errors in Inflation Expectations and the Impact on Bond Returns; Appendix 7: An Algebraic Demonstration that Negative Serial Correlation can make the Leverage of an Equity Portfolio Unattractive |
Appendix 8: Correlations between International Stock MarketsBibliography; Index; colour plates |
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Sommario/riassunto |
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In 2000 one of the world's foremost economists, Andrew Smithers, showed that the US stock market was widely over-priced at its peak and correctly advised investors to sell. He also argued that central bankers should adjust their policies not only in light of expected inflation but also if stock prices reach excessive levels. At the time, few economists agreed with him, today it is hard to find those who would disagree. In the past central bankers have denied that markets can be valued and that it did not matter if they fell. These two intellectual mistakes are the fundamentals cause of t |
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3. |
Record Nr. |
UNIORUON00400995 |
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Autore |
CANTEMIR, Dimitrie |
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Titolo |
Descrierea Moldovei = Descriptio antiqui et hodierni status Moldaviae : Ad fidem Codicum duorum in Bibliotheca Academiae Mosquitanae Scientiarum servatorum post Alexandrum Papiu-Ilarian iterum edita / Dimitrie Cantemir ; Traducere dupa originalul latin de Gh. Gutu ; Introducere de Maria Holban ; Comentariu istoric de N. Stoicescu ; Studiu cartografic de Vintila Mihailescu ; Indice de Ioana Constantinescu ; cu o nota auspra editiei de D. M. Pippidi |
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Pubbl/distr/stampa |
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400 p., tav., carte rip. ; 24 cm |
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Edizione |
[Bucuresti : Editura Academiei Republicii Socialiste Romania] |
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Descrizione fisica |
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frontespizio parallelo in latino |
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Disciplina |
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Soggetti |
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Letteratura romena Antica e Pre-Moderna |
MOLDAVIA - Storia |
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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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