Mathematical Finance with Applications

• Autore: Wong Wing-Keung
• Pubblicazione: Basel, Switzerland, : MDPI - Multidisciplinary Digital Publishing Institute, 2020
• Descrizione fisica: 1 electronic resource (232 p.)
• Soggetto topico: Coins, banknotes, medals, seals (numismatics)
• Soggetto non controllato: cluster analysis; equity index networks; machine learning; copulas; dependence structures; quotient of random variables; density functions; distribution functions; multi-factor model; risk factors; OLS and ridge regression model; python; chi-square test; quantile; VaR; quadrangle; CVaR; conditional value-at-risk; expected shortfall; ES; superquantile; deviation; risk; error; regret; minimization; CVaR estimation; regression; linear regression; linear programming; portfolio safeguard; PSG; equity option pricing; factor models; stochastic volatility; jumps; mathematics; probability; statistics; finance; applications; investment home bias (IHB); bivariate first-degree stochastic dominance (BFSD); keeping up with the Joneses (KUJ); correlation loving (CL); return spillover; volatility spillover; optimal weights; hedge ratios; US financial crisis; Chinese stock market crash; stock price prediction; auto-regressive integrated moving average; artificial neural network; stochastic process-geometric Brownian motion; financial models; firm performance; causality tests; leverage; long-term debt; capital structure; shock spillover
• Persona (resp. second.): GuoXu; LozzaSergio Ortobelli; WongWing-Keung
• Sommario/riassunto: Mathematical finance plays a vital role in many fields within finance and provides the theories and tools that have been widely used in all areas of finance. Knowledge of mathematics, probability, and statistics is essential to develop finance theories and test their validity through the analysis of empirical, real-world data. For example, mathematics, probability, and statistics could help to develop pricing models for financial assets such as equities, bonds, currencies, and derivative securities.
• Titolo autorizzato: Mathematical Finance with Applications
• Formato: Materiale a stampa
• Livello bibliografico: Monografia
• Lingua di pubblicazione: Inglese
• Record Nr.: 9910557703703321
• Lo trovi qui: Univ. Federico II