00850nam0-22003131i-450-9900010563504033210-914894-69-2000105635FED01000105635(Aleph)000105635FED0100010563520000920d1981----km-y0itay50------baengJewels of Formal Language TheoryArto SalomaaRockvilleComputer Science Press1981CiberneticaTeoria dei giochiTeoria degli automiIntelligenza artificiale510.78Salomaa,Arto25836ITUNINARICAUNIMARCBK9900010563504033218-16711985FI1FI1Jewels of Formal Language Theory340666UNINAING0101311nam a2200277 i 4500991002595089707536 9788859613916b14200533-39ule_instDip.to di Storia, Società e Studi sull'Uomoita945.084945.7084Manica, Giustina<1979- >476265Dalla questione meridionale alla questione nazionale :Leopoldo Franchetti, Sidney Sonnino e Jessie White Mario nei carteggi di Pasquale Villari, 1875-1917 (con documenti editi ed inediti) /Giustina Manica ; prefazione di Sandro RogariFirenze :Polistampa,2014XV, 184 p. ;24 cmCentro di Studi sulla Civiltà Toscana fra '800 e '900. Nuova serie ;69In testa al front.: Centro di studi sulla civiltà toscana fra '800 e '900Questione meridionaleStoriaFontiRogari, Sandro.b1420053309-10-1424-09-14991002595089707536LE023 945.084 MAN 1 112023000134337le023pE15.00-l- 01110.i1563620303-10-14Dalla questione meridionale alla questione nazionale258458UNISALENTOle02301-10-14ma -itait 0000682nam0-2200253 --450 991091549970332120241213115507.020241213h20162017kmuy0itay5050 baitaIT 001yy<<Il >>silenzio del mareFrancesco TerroneMilanoG. Miano2016stampa 201781 p.19 cmAlcyone 2000851.92022Terrone,Francesco609084ITUNINAREICATUNIMARCBK9910915499703321DAM L33.6 TERF 012024/9023FLFBCFLFBCSilenzio del mare1733939UNINA06010nam 2200889Ia 450 991082745510332120200520144314.09786613371805978111920662011192066269781283371803128337180497804706871920470687193(CKB)2550000000064852(EBL)564937(OCoLC)742332880(SSID)ssj0000534132(PQKBManifestationID)11364385(PQKBTitleCode)TC0000534132(PQKBWorkID)10511222(PQKB)10805940(Au-PeEL)EBL564937(CaPaEBR)ebr10510666(CaONFJC)MIL337180(PPN)170227502(OCoLC)794596633(OCoLC)ocn794596633 (OCoLC)457765263(FINmELB)ELB178997(CaSebORM)9780470684962(MiAaPQ)EBC564937(FR-PaCSA)45007618(FRCYB45007618)45007618(Perlego)1009928(EXLCZ)99255000000006485220091005d2010 uy 0engur|n|---|||||txtccrThe art of credit derivatives demystifying the black swan /Joao Garcia and Serge Goossens1st editionChichester, West Sussex Wileyc20101 online resource (266 p.)The Wiley Finance Series ;v.572Description based upon print version of record.9780470684962 0470684968 9780470747353 0470747358 Includes bibliographical references and index.The Art of Credit Derivatives: Demystifying the Black Swan; Contents; About the Authors; Acknowledgements; Preface; List of Tables; List of Figures; 1 Introduction; PART I MODELING FRAMEWORK; 2 Default Models; 2.1 Introduction; 2.2 Default; 2.3 Default Models; 3 Modeling Dependence with Copulas; 3.1 Introduction; 3.2 Copula; 3.3 Using Copulas in Practice and Factor Analysis; PART II SINGLE NAME CORPORATE CREDIT DERIVATIVES; 4 Credit Default Swaps; 4.1 Introduction; 4.2 Credit Default Swap: A Description; 4.3 Modeling CDSs; 4.4 Calibrating the Survival Probability; 4.5 2008 Auction Results4.6 The Big Bang Protocol5 Pricing Credit Spread Options: A 2-factor HW-BK Algorithm; 5.1 Introduction; 5.2 The Credit Event Process; 5.3 Credit Spread Options; 5.4 Hull-White and Black-Karazinsky Models; 5.5 Results; 5.6 Conclusion; 6 Counterparty Risk and Credit Valuation Adjustment; 6.1 Introduction; 6.2 Valuation of the CVA; 6.3 Monte Carlo Simulation for CVA on CDS; 6.4 Semi-analytic Correlation Model; 6.5 Numerical Results; 6.6 CDS with Counterparty Risk; 6.7 Counterparty Risk Mitigation; 6.8 Conclusions; PART III MULTINAME CORPORATE CREDIT DERIVATIVES; 7 Collateralized Debt Obligations7.1 Introduction7.2 A Brief Overview of CDOs; 7.3 Cash versus Synthetic CDOs; 7.4 Synthetic CDOs and Leverage; 7.5 Concentration, Correlation and Diversification; 8 Standardized Credit Indices; 8.1 Introduction; 8.2 Credit Default Swap Indices; 8.3 Standardization; 8.4 iTraxx, CDX and their Tranches; 8.5 Theoretical Fair Spread of Indices; 9 Pricing Synthetic CDO Tranches; 9.1 Introduction; 9.2 Generic 1-Factor Model; 9.3 Implied Compound and Base Correlation; 10 Historical Study of Lévy Base Correlation; 10.1 Introduction; 10.2 Historical Study; 10.3 Base Correlation; 10.4 Hedge Parameters10.5 Conclusions11 Base Expected Loss and Base Correlation Smile; 11.1 Introduction; 11.2 Base Correlation and Expected Loss: Intuition; 11.3 Base Correlation and Interpolation; 11.4 Base Expected Loss; 11.5 Interpolation; 11.6 Numerical Results; 11.7 Conclusions; 12 Base Correlation Mapping; 12.1 Introduction; 12.2 Correlation Mapping for Bespoke Portfolios; 12.3 Numerical Results; 12.4 Final Comments; 13 Correlation from Collateral to Tranches; 13.1 Introduction; 13.2 Generic 1-Factor Model; 13.3 Monte Carlo Simulation and Importance Sampling; 13.4 Gaussian Copula Tranche Loss Correlations13.5 Lévy Copula Tranche Loss Correlations13.6 Marshall-Olkin Copula Tranche Loss Correlations; 13.7 Conclusions; 14 Cash Flow CDOs; 14.1 Introduction; 14.2 The Waterfall of a Cash Flow CDO; 14.3 BET Methodology; 14.4 Results; 14.5 AIG and BET; 14.6 Conclusions; 15 Structured Credit Products: CPPI and CPDO; 15.1 Introduction; 15.2 Multivariate VG Modeling; 15.3 Swaptions on Credit Indices; 15.4 Model Calibration; 15.5 CPPI; 15.6 CPDO; 15.7 Conclusion; PART IV ASSET BACKED SECURITIES; 16 ABCDS and PAUG; 16.1 Introduction; 16.2 ABCDSs versus Corporate CDSs; 16.3 ABCDS Pay As You Go: PAUG16.4 ConclusionCredit derivatives have been instrumental in the recent increase in securitization activity. The complex nature and the size of the market have given rise to very complex counterparty credit risks. The Lehman failure has shown that these issues can paralyse the financial markets, and the need for detailed understanding has never been greater. The Art of Credit Derivatives shows practitioners how to put a framework in place which will support the securitization activity. By showing the models that support this activity and linking them with very practical examples, the autWiley finance series.Credit derivativesPortfolio managementSecuritiesCredit derivatives.Portfolio management.Securities.332.63/2Garcia Joao1698230Goossens Serge1698231MiAaPQMiAaPQMiAaPQBOOK9910827455103321The art of credit derivatives4079545UNINA