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Financial models with Lévy processes and volatility clustering [[electronic resource] /] / Svetlozar T. Rachev ... [et al.]
| Financial models with Lévy processes and volatility clustering [[electronic resource] /] / Svetlozar T. Rachev ... [et al.] |
| Pubbl/distr/stampa | Hoboken, NJ, : Wiley, c2011 |
| Descrizione fisica | 1 online resource (416 p.) |
| Disciplina |
332.0415015192
332/.0415015192 |
| Altri autori (Persone) | RachevS. T (Svetlozar Todorov) |
| Collana | The Frank J. Fabozzi series |
| Soggetto topico |
Capital assets pricing model
Lévy processes Finance - Mathematical models Probabilities |
| ISBN |
1-283-02564-7
9786613025647 1-118-26807-5 0-470-93716-5 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Financial Models with Levy Processes and Volatility Clustering; Contents; Preface; About the Authors; CHAPTER 1 Introduction; CHAPTER 2 Probability Distributions; CHAPTER 3 Stable and Tempered Stable Distributions; CHAPTER 4 Stochastic Processes in Continuous Time; CHAPTER 5 Conditional Expectation and Change of Measure; CHAPTER 6 Exponential Levy Models; CHAPTER 7 Option Pricing in Exponential L ́evy Models; CHAPTER 8 Simulation; CHAPTER 9 Multi-Tail t-Distribution; CHAPTER 10 Non-Gaussian Portfolio Allocation; CHAPTER 11 Normal GARCH models
CHAPTER 12 Smoothly Truncated Stable GARCH Models CHAPTER 13 Infinitely Divisible GARCH Models; CHAPTER 14 Option Pricing with Monte Carlo Methods; CHAPTER 15 American Option Pricing with Monte Carlo Methods; Index |
| Record Nr. | UNINA-9910139212303321 |
| Hoboken, NJ, : Wiley, c2011 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Financial models with Lévy processes and volatility clustering [[electronic resource] /] / Svetlozar T. Rachev ... [et al.]
| Financial models with Lévy processes and volatility clustering [[electronic resource] /] / Svetlozar T. Rachev ... [et al.] |
| Pubbl/distr/stampa | Hoboken, NJ, : Wiley, c2011 |
| Descrizione fisica | 1 online resource (416 p.) |
| Disciplina |
332.0415015192
332/.0415015192 |
| Altri autori (Persone) | RachevS. T (Svetlozar Todorov) |
| Collana | The Frank J. Fabozzi series |
| Soggetto topico |
Capital assets pricing model
Lévy processes Finance - Mathematical models Probabilities |
| ISBN |
1-283-02564-7
9786613025647 1-118-26807-5 0-470-93716-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Financial Models with Levy Processes and Volatility Clustering; Contents; Preface; About the Authors; CHAPTER 1 Introduction; CHAPTER 2 Probability Distributions; CHAPTER 3 Stable and Tempered Stable Distributions; CHAPTER 4 Stochastic Processes in Continuous Time; CHAPTER 5 Conditional Expectation and Change of Measure; CHAPTER 6 Exponential Levy Models; CHAPTER 7 Option Pricing in Exponential L ́evy Models; CHAPTER 8 Simulation; CHAPTER 9 Multi-Tail t-Distribution; CHAPTER 10 Non-Gaussian Portfolio Allocation; CHAPTER 11 Normal GARCH models
CHAPTER 12 Smoothly Truncated Stable GARCH Models CHAPTER 13 Infinitely Divisible GARCH Models; CHAPTER 14 Option Pricing with Monte Carlo Methods; CHAPTER 15 American Option Pricing with Monte Carlo Methods; Index |
| Record Nr. | UNINA-9910807814803321 |
| Hoboken, NJ, : Wiley, c2011 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Finding alpha [[electronic resource] ] : the search for alpha when risk and return break down / / Eric Falkenstein
| Finding alpha [[electronic resource] ] : the search for alpha when risk and return break down / / Eric Falkenstein |
| Autore | Falkenstein Eric <1965-> |
| Pubbl/distr/stampa | Hoboken, N.J., : Wiley, c2009 |
| Descrizione fisica | 1 online resource (307 p.) |
| Disciplina |
332
332.63/2042 |
| Collana | Wiley Finance |
| Soggetto topico |
Financial risk management
Rate of return Capital assets pricing model |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-282-12176-6
9786612121760 1-118-26693-5 0-470-49535-9 |
| Classificazione | 83.03 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
FINDING ALPHA: The Search for Alpha When Risk and Return Break Down; Contents; Chapter 1: Risk Uncorrelated with Returns; Chapter 2: The Creation of the Standard Risk-Return Model; Chapter 3: An Empirical Arc; Chapter 4: Volatility, Risk, and Returns; Chapter 5: Investors Do Not Mind Their Utility Functions; Chapter 6: Is The Equity Risk Premium Zero?; Chapter 7: Undiminished Praise of a Vacuous Theory; Chapter 8: Why Relative Utility Generates Zero-Risk Premiums; Chapter 9: Why We Are Inveterate Benchmarkers; Chapter 10: Alpha, Risk, and Hope; Chapter 11: Examples of Alpha
Chapter 12: Alpha GamesChapter 13: Alpha Seeking Applications; Conclusion; Notes; Index |
| Record Nr. | UNINA-9910143128003321 |
Falkenstein Eric <1965->
|
||
| Hoboken, N.J., : Wiley, c2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Finding alpha [[electronic resource] ] : the search for alpha when risk and return break down / / Eric Falkenstein
| Finding alpha [[electronic resource] ] : the search for alpha when risk and return break down / / Eric Falkenstein |
| Autore | Falkenstein Eric <1965-> |
| Pubbl/distr/stampa | Hoboken, N.J., : Wiley, c2009 |
| Descrizione fisica | 1 online resource (307 p.) |
| Disciplina |
332
332.63/2042 |
| Collana | Wiley Finance |
| Soggetto topico |
Financial risk management
Rate of return Capital assets pricing model |
| ISBN |
1-282-12176-6
9786612121760 1-118-26693-5 0-470-49535-9 |
| Classificazione | 83.03 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
FINDING ALPHA: The Search for Alpha When Risk and Return Break Down; Contents; Chapter 1: Risk Uncorrelated with Returns; Chapter 2: The Creation of the Standard Risk-Return Model; Chapter 3: An Empirical Arc; Chapter 4: Volatility, Risk, and Returns; Chapter 5: Investors Do Not Mind Their Utility Functions; Chapter 6: Is The Equity Risk Premium Zero?; Chapter 7: Undiminished Praise of a Vacuous Theory; Chapter 8: Why Relative Utility Generates Zero-Risk Premiums; Chapter 9: Why We Are Inveterate Benchmarkers; Chapter 10: Alpha, Risk, and Hope; Chapter 11: Examples of Alpha
Chapter 12: Alpha GamesChapter 13: Alpha Seeking Applications; Conclusion; Notes; Index |
| Record Nr. | UNINA-9910829807603321 |
|
Falkenstein Eric <1965->
|
||
| Hoboken, N.J., : Wiley, c2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Finding alpha [[electronic resource] ] : the search for alpha when risk and return break down / / Eric Falkenstein
| Finding alpha [[electronic resource] ] : the search for alpha when risk and return break down / / Eric Falkenstein |
| Autore | Falkenstein Eric <1965-> |
| Pubbl/distr/stampa | Hoboken, N.J., : Wiley, c2009 |
| Descrizione fisica | 1 online resource (307 p.) |
| Disciplina |
332
332.63/2042 |
| Collana | Wiley Finance |
| Soggetto topico |
Financial risk management
Rate of return Capital assets pricing model |
| ISBN |
1-282-12176-6
9786612121760 1-118-26693-5 0-470-49535-9 |
| Classificazione | 83.03 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
FINDING ALPHA: The Search for Alpha When Risk and Return Break Down; Contents; Chapter 1: Risk Uncorrelated with Returns; Chapter 2: The Creation of the Standard Risk-Return Model; Chapter 3: An Empirical Arc; Chapter 4: Volatility, Risk, and Returns; Chapter 5: Investors Do Not Mind Their Utility Functions; Chapter 6: Is The Equity Risk Premium Zero?; Chapter 7: Undiminished Praise of a Vacuous Theory; Chapter 8: Why Relative Utility Generates Zero-Risk Premiums; Chapter 9: Why We Are Inveterate Benchmarkers; Chapter 10: Alpha, Risk, and Hope; Chapter 11: Examples of Alpha
Chapter 12: Alpha GamesChapter 13: Alpha Seeking Applications; Conclusion; Notes; Index |
| Record Nr. | UNINA-9910841401603321 |
|
Falkenstein Eric <1965->
|
||
| Hoboken, N.J., : Wiley, c2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Incomplete information and heterogeneous beliefs in continous-time finance / Alexandre Ziegler
| Incomplete information and heterogeneous beliefs in continous-time finance / Alexandre Ziegler |
| Autore | Ziegler, Alexandre |
| Pubbl/distr/stampa | Berlin : Springer, 2003 |
| Descrizione fisica | xiii, 198 p. ; 24 cm |
| Disciplina | 332.63228 |
| Collana | Springer finance |
| Soggetto topico |
Portafoglio - Criteri di scelta - Modelli matematici
Capital assets pricing model |
| ISBN | 3540003444 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNISALENTO-991003787319707536 |
|
Ziegler, Alexandre
|
||
| Berlin : Springer, 2003 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. del Salento | ||
| ||
Investors and markets [[electronic resource] ] : portfolio choices, asset prices, and investment advice / / William F. Sharpe
| Investors and markets [[electronic resource] ] : portfolio choices, asset prices, and investment advice / / William F. Sharpe |
| Autore | Sharpe William F |
| Edizione | [Course Book] |
| Pubbl/distr/stampa | Princeton, N.J., : Princeton University Press, 2008 |
| Descrizione fisica | 1 online resource (232 p.) |
| Disciplina | 332.6 |
| Collana | Princeton lectures in finance |
| Soggetto topico |
Portfolio management
Securities - Prices Capital assets pricing model Investment analysis Investments |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-282-53140-9
9786612531408 1-4008-3018-4 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Frontmatter -- Contents -- Preface -- One. Introduction -- Two. Equilibrium -- Three. Preferences -- Four. Prices -- Five. Positions -- Six. Predictions -- Seven. Protection -- Eight. Advice -- References -- Index |
| Record Nr. | UNINA-9910456819803321 |
|
Sharpe William F
|
||
| Princeton, N.J., : Princeton University Press, 2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Investors and markets [[electronic resource] ] : portfolio choices, asset prices, and investment advice / / William F. Sharpe
| Investors and markets [[electronic resource] ] : portfolio choices, asset prices, and investment advice / / William F. Sharpe |
| Autore | Sharpe William F |
| Edizione | [Course Book] |
| Pubbl/distr/stampa | Princeton, N.J., : Princeton University Press, 2008 |
| Descrizione fisica | 1 online resource (232 p.) |
| Disciplina | 332.6 |
| Collana | Princeton lectures in finance |
| Soggetto topico |
Portfolio management
Securities - Prices Capital assets pricing model Investment analysis Investments |
| ISBN |
1-282-53140-9
9786612531408 1-4008-3018-4 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Frontmatter -- Contents -- Preface -- One. Introduction -- Two. Equilibrium -- Three. Preferences -- Four. Prices -- Five. Positions -- Six. Predictions -- Seven. Protection -- Eight. Advice -- References -- Index |
| Record Nr. | UNINA-9910781065003321 |
|
Sharpe William F
|
||
| Princeton, N.J., : Princeton University Press, 2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Investors and markets : portfolio choices, asset prices, and investment advice / / William F. Sharpe
| Investors and markets : portfolio choices, asset prices, and investment advice / / William F. Sharpe |
| Autore | Sharpe William F |
| Edizione | [Course Book] |
| Pubbl/distr/stampa | Princeton, N.J., : Princeton University Press, 2008 |
| Descrizione fisica | 1 online resource (232 p.) |
| Disciplina | 332.6 |
| Collana | Princeton lectures in finance |
| Soggetto topico |
Portfolio management
Securities - Prices Capital assets pricing model Investment analysis Investments |
| ISBN |
1-282-53140-9
9786612531408 1-4008-3018-4 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Frontmatter -- Contents -- Preface -- One. Introduction -- Two. Equilibrium -- Three. Preferences -- Four. Prices -- Five. Positions -- Six. Predictions -- Seven. Protection -- Eight. Advice -- References -- Index |
| Record Nr. | UNINA-9910809039003321 |
|
Sharpe William F
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||
| Princeton, N.J., : Princeton University Press, 2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Machine learning in asset pricing / / Stefan Nagel [[electronic resource]]
| Machine learning in asset pricing / / Stefan Nagel [[electronic resource]] |
| Autore | Nagel Stefan <1973-> |
| Pubbl/distr/stampa | Princeton : , : Princeton University Press, , [2021] |
| Descrizione fisica | 1 online resource (1 online resource 157 p..) |
| Disciplina | 332.632220285631 |
| Collana |
Princeton lectures in finance
Princeton scholarship online |
| Soggetto topico |
Capital assets pricing model
Machine learning Artificial intelligence - Financial applications |
| ISBN | 0-691-21871-4 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Frontmatter -- CONTENTS -- Preface -- Machine Learning in Asset Pricing -- Chapter 1 Introduction -- Chapter 2 Supervised Learning -- Chapter 3 Supervised Learning in Asset Pricing -- Chapter 4 ML in Cross-Sectional Asset Pricing -- Chapter 5 ML as Model of Investor Belief Formation -- Chapter 6 A Research Agenda -- Bibliography -- Index |
| Record Nr. | UNINA-9910554251103321 |
|
Nagel Stefan <1973->
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| Princeton : , : Princeton University Press, , [2021] | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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