High-Frequency Statistics with Asynchronous and Irregular Data / Ole Martin |
Autore | Martin, Ole |
Pubbl/distr/stampa | Wiesbaden, : Springer spektrum, 2019 |
Descrizione fisica | xiii, 323 p. : ill. ; 24 cm |
Soggetto topico |
60-XX - Probability theory and stochastic processes [MSC 2020]
62-XX - Statistics [MSC 2020] 91-XX - Game theory, economics, finance, and other social and behavioral sciences [MSC 2020] |
Soggetto non controllato |
Asynchronous data
Asynchronous observations Bootstrap Bootstrapping asymptotic laws Central limit theorems Common jumps Estimating quadratic covariation High-frequency statistics Irregular data Laws of large numbers Quadratic covariation Quantitative Finance Random observation schemes Random observations Test for common jumps Test for jumps |
Formato | Materiale a stampa |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Titolo uniforme | |
Record Nr. | UNICAMPANIA-VAN0126614 |
Martin, Ole | ||
Wiesbaden, : Springer spektrum, 2019 | ||
Materiale a stampa | ||
Lo trovi qui: Univ. Vanvitelli | ||
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In memoriam Paul-André Meyer : Séminaire de Probabilités XXXIX / Michel Emery, Marc Yor (eds.) |
Pubbl/distr/stampa | Berlin, : Springer, 2006 |
Descrizione fisica | VIII, 417 p. ; 24 cm |
Soggetto topico |
60Hxx - Stochastic analysis [MSC 2020]
60Jxx - Markov processes [MSC 2020] 60Gxx - Stochastic processes [MSC 2020] 91Gxx - Actuarial science and mathematical finance [MSC 2020] |
Soggetto non controllato |
Brownian Motions
Brownian bridge Calculus Diffusion Processes Dirichlet process Filtration Local martingale Lévy processes Martingales Mathematical Finance Ornstein-Uhlenbeck process Quantitative Finance Semimartingales Sets Stochastic Calculus |
ISBN | 978-35-403-0994-9 |
Formato | Materiale a stampa |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Titolo uniforme | |
Record Nr. | UNICAMPANIA-VAN0057413 |
Berlin, : Springer, 2006 | ||
Materiale a stampa | ||
Lo trovi qui: Univ. Vanvitelli | ||
|
Independent Random Sampling Methods / Luca Martino, David Luengo, Joaquín Míguez |
Autore | Martino, Luca |
Pubbl/distr/stampa | Cham, : Springer, 2018 |
Descrizione fisica | xii, 280 p. : ill. ; 24 cm |
Altri autori (Persone) |
Luengo, David
Míguez, Joaquín |
Soggetto topico | 65Cxx - Probabilistic methods, stochastic differential equations [MSC 2020] |
Soggetto non controllato |
Accept-reject methods
Adaptive rejection sampling Independent sampling Markov Chain Monte Carlo Multidimensional random sampling Quantitative Finance Random sampling Ratio-of-uniforms Rejection samplers |
Formato | Materiale a stampa |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Titolo uniforme | |
Record Nr. | UNICAMPANIA-VAN0124775 |
Martino, Luca | ||
Cham, : Springer, 2018 | ||
Materiale a stampa | ||
Lo trovi qui: Univ. Vanvitelli | ||
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Innovations in derivatives markets : fixed income modeling, valuation adjustments, risk management, and regulation / Kathrin Glau ... [et al.] editors |
Pubbl/distr/stampa | [Cham], : Springer Open, 2016 |
Descrizione fisica | X, 449 p. : ill. ; 24 cm |
Soggetto topico |
00B25 - Proceedings of conferences of miscellaneous specific interest [MSC 2020]
91-XX - Game theory, economics, finance, and other social and behavioral sciences [MSC 2020] 91G20 - Derivative securities (option pricing, hedging, etc.) [MSC 2020] 91G40 - Credit risk [MSC 2020] |
Soggetto non controllato |
Banking
Counterparty credit risk Derivatives markets Derivatives pricing Financial Engineering Fixed income modeling Interest-rate modeling Liquidity Multi-curve models Quantitative Finance Regulation Risk management Valuation adjustments |
Formato | Materiale a stampa |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Titolo uniforme | |
Record Nr. | UNICAMPANIA-VAN0114880 |
[Cham], : Springer Open, 2016 | ||
Materiale a stampa | ||
Lo trovi qui: Univ. Vanvitelli | ||
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Innovations in Quantitative Risk Management [[electronic resource] ] : TU München, September 2013 / / edited by Kathrin Glau, Matthias Scherer, Rudi Zagst |
Autore | Glau Kathrin |
Edizione | [1st ed. 2015.] |
Pubbl/distr/stampa | Cham, : Springer Nature, 2015 |
Descrizione fisica | 1 online resource (xi, 438 pages) : illustrations; digital, PDF file(s) |
Disciplina | 658.155 |
Collana | Springer Proceedings in Mathematics & Statistics |
Soggetto topico |
Economics, Mathematical
Game theory Finance Actuarial science Quantitative Finance Game Theory, Economics, Social and Behav. Sciences Finance, general Actuarial Sciences |
Soggetto non controllato |
Quantitative Finance
Game Theory, Economics, Social and Behav. Sciences Finance/Investment/Banking Actuarial Sciences |
ISBN |
9783319091143 (ebook)
9783319091136 (hardback) |
Formato | Materiale a stampa |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Nota di contenuto | Part I Markets, Regulation, and Model Risk -- A Random Holding Period Approach for Liquidity-Inclusive Risk Management -- Regulatory Developments in Risk Management: Restoring Confidence in Internal Models -- Model Risk in Incomplete Markets with Jumps -- Part II Financial Engineering -- Bid-Ask Spread for Exotic Options Under Conic Finance -- Derivative Pricing Under the Possibility of Long Memory in the supOU Stochastic Volatility Model -- A Two-Sided BNS Model for Multicurrency FX Markets -- Modeling the Price of Natural Gas with Temperature and Oil Price as Exogenous Factors -- Copula-Specific Credit Portfolio Modeling -- Implied Recovery Rates—Auctions and Models -- Upside and Downside Risk Exposures of Currency Carry Trades via Tail Dependence -- Part III Insurance Risk and Asset Management -- Participating Life Insurance Contracts Under Risk Based Solvency Frameworks: How to Increase Capital Efficiency by Product Design -- Reducing Surrender Incentives Through Fee Structure in Variable Annuities -- A Variational Approach for Mean-Variance-Optimal Deterministic Consumption and Investment -- Risk Control in Asset Management: Motives and Concepts -- Worst-Case Scenario Portfolio Optimization Given the Probability of a Crash -- Improving Optimal Terminal Value Replicating Portfolios -- Part IV Computational Methods for Risk Management -- Risk and Computation -- Extreme Value Importance Sampling for Rare Event Risk Measurement -- A Note on the Numerical Evaluation of the Hartman–Watson Density and Distribution Function -- Computation of Copulas by Fourier Methods -- Part V Dependence Modelling -- Goodness-of-fit Tests for Archimedean Copulas in High Dimensions -- Duality in Risk Aggregation -- Some Consequences of the Markov Kernel Perspective of Copulas -- Copula Representations for Invariant Dependence Functions -- Nonparametric Copula Density Estimation Using a Petrov–Galerkin Projection. |
Record Nr. | UNINA-9910132289903321 |
Glau Kathrin | ||
Cham, : Springer Nature, 2015 | ||
Materiale a stampa | ||
Lo trovi qui: Univ. Federico II | ||
|
Innovations in Quantitative Risk Management [[electronic resource] ] : TU München, September 2013 / / edited by Kathrin Glau, Matthias Scherer, Rudi Zagst |
Autore | Glau Kathrin |
Edizione | [1st ed. 2015.] |
Pubbl/distr/stampa | Cham, : Springer Nature, 2015 |
Descrizione fisica | 1 online resource (xi, 438 pages) : illustrations; digital, PDF file(s) |
Disciplina | 658.155 |
Collana | Springer Proceedings in Mathematics & Statistics |
Soggetto topico |
Economics, Mathematical
Game theory Finance Actuarial science Quantitative Finance Game Theory, Economics, Social and Behav. Sciences Finance, general Actuarial Sciences |
Soggetto non controllato |
Quantitative Finance
Game Theory, Economics, Social and Behav. Sciences Finance/Investment/Banking Actuarial Sciences |
ISBN |
9783319091143 (ebook)
9783319091136 (hardback) |
Formato | Materiale a stampa |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Nota di contenuto | Part I Markets, Regulation, and Model Risk -- A Random Holding Period Approach for Liquidity-Inclusive Risk Management -- Regulatory Developments in Risk Management: Restoring Confidence in Internal Models -- Model Risk in Incomplete Markets with Jumps -- Part II Financial Engineering -- Bid-Ask Spread for Exotic Options Under Conic Finance -- Derivative Pricing Under the Possibility of Long Memory in the supOU Stochastic Volatility Model -- A Two-Sided BNS Model for Multicurrency FX Markets -- Modeling the Price of Natural Gas with Temperature and Oil Price as Exogenous Factors -- Copula-Specific Credit Portfolio Modeling -- Implied Recovery Rates—Auctions and Models -- Upside and Downside Risk Exposures of Currency Carry Trades via Tail Dependence -- Part III Insurance Risk and Asset Management -- Participating Life Insurance Contracts Under Risk Based Solvency Frameworks: How to Increase Capital Efficiency by Product Design -- Reducing Surrender Incentives Through Fee Structure in Variable Annuities -- A Variational Approach for Mean-Variance-Optimal Deterministic Consumption and Investment -- Risk Control in Asset Management: Motives and Concepts -- Worst-Case Scenario Portfolio Optimization Given the Probability of a Crash -- Improving Optimal Terminal Value Replicating Portfolios -- Part IV Computational Methods for Risk Management -- Risk and Computation -- Extreme Value Importance Sampling for Rare Event Risk Measurement -- A Note on the Numerical Evaluation of the Hartman–Watson Density and Distribution Function -- Computation of Copulas by Fourier Methods -- Part V Dependence Modelling -- Goodness-of-fit Tests for Archimedean Copulas in High Dimensions -- Duality in Risk Aggregation -- Some Consequences of the Markov Kernel Perspective of Copulas -- Copula Representations for Invariant Dependence Functions -- Nonparametric Copula Density Estimation Using a Petrov–Galerkin Projection. |
Record Nr. | UNISA-996213775103316 |
Glau Kathrin | ||
Cham, : Springer Nature, 2015 | ||
Materiale a stampa | ||
Lo trovi qui: Univ. di Salerno | ||
|
Innovations in quantitative risk management : TU München, september 2013 / Kathrin Glau, Matthias Scherer, Rudi Zagst editors |
Pubbl/distr/stampa | [Cham], : Springer, 2015 |
Descrizione fisica | XI, 438 p. : ill. ; 24 cm |
Soggetto topico |
91B05 - Risk models (general) [MSC 2020]
91B24 - Microeconomic theory (price theory and economic markets) [MSC 2020] 91B82 - Statistical methods; economic indices and measures [MSC 2020] 91G30 - Interest rates, asset pricing, etc. (stochastic models) [MSC 2020] |
Soggetto non controllato |
Credit risk
Dependence modeling Interest-rate modeling Model risk Quantitative Finance Risk management |
Formato | Materiale a stampa |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Titolo uniforme | |
Record Nr. | UNICAMPANIA-VAN0113256 |
[Cham], : Springer, 2015 | ||
Materiale a stampa | ||
Lo trovi qui: Univ. Vanvitelli | ||
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Inspired by finance : the Musiela festschrift / Yuri Kabanov, Marek Rutkowski, Thaleia Zariphopoulou editors |
Pubbl/distr/stampa | Cham, : Springer, 2014 |
Descrizione fisica | XXIII, 543 p. : ill. ; 24 cm |
Soggetto topico | 91Gxx - Actuarial science and mathematical finance [MSC 2020] |
Soggetto non controllato |
Arbitrage pricing
Credit risk Exotic Options Financial derivatives Portfolio optimization Quantitative Finance |
Formato | Materiale a stampa |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Titolo uniforme | |
Record Nr. | UNICAMPANIA-VAN0103224 |
Cham, : Springer, 2014 | ||
Materiale a stampa | ||
Lo trovi qui: Univ. Vanvitelli | ||
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Interest rate modeling : post-crisis challenges and approaches / Zorana Grbac, Wolfgang J. Runggaldier |
Autore | Grbac, Zorana |
Pubbl/distr/stampa | [Cham], : Springer, 2015 |
Descrizione fisica | XIII, 140 p. : ill. ; 24 cm |
Altri autori (Persone) | Runggaldier, Wolfgang J. |
Soggetto topico |
60H30 - Applications of stochastic analysis (to PDEs, etc.) [MSC 2020]
91G20 - Derivative securities (option pricing, hedging, etc.) [MSC 2020] 91G30 - Interest rates, asset pricing, etc. (stochastic models) [MSC 2020] 91G40 - Credit risk [MSC 2020] |
Soggetto non controllato |
Affine term structure methodology
Clean valuation Interest rate models and derivatives Multicurve models Post-crisis interbank risk Quantitative Finance |
Formato | Materiale a stampa |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Titolo uniforme | |
Record Nr. | UNICAMPANIA-VAN0113875 |
Grbac, Zorana | ||
[Cham], : Springer, 2015 | ||
Materiale a stampa | ||
Lo trovi qui: Univ. Vanvitelli | ||
|
Introduction to Central Banking |
Autore | Bindseil Ulrich |
Pubbl/distr/stampa | Springer Nature, 2021 |
Descrizione fisica | 1 online resource (145 pages) |
Altri autori (Persone) | FotiaAlessio |
Collana | SpringerBriefs in Quantitative Finance |
Soggetto topico |
Macroeconomics
Economic theory & philosophy |
Soggetto non controllato |
Macroeconomics/Monetary Economics//Financial Economics
Economic Theory/Quantitative Economics/Mathematical Methods Financial Economics Macroeconomics and Monetary Economics Quantitative Economics monetary policy implementation of monetary policy financial stability central bank flow of funds International monetary frameworks open access Quantitative Finance Macroeconomics Monetary economics Economic theory & philosophy |
ISBN | 3-030-70884-5 |
Formato | Materiale a stampa |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Record Nr. | UNINA-9910482868603321 |
Bindseil Ulrich | ||
Springer Nature, 2021 | ||
Materiale a stampa | ||
Lo trovi qui: Univ. Federico II | ||
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