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Loeb Measures in Practice: Recent Advances [[electronic resource] ] : EMS Lectures 1997 / / by Nigel J. Cutland
| Loeb Measures in Practice: Recent Advances [[electronic resource] ] : EMS Lectures 1997 / / by Nigel J. Cutland |
| Autore | Cutland Nigel J |
| Edizione | [1st ed. 2000.] |
| Pubbl/distr/stampa | Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer, , 2000 |
| Descrizione fisica | 1 online resource (CXXXII, 118 p.) |
| Disciplina | 510 |
| Collana | Lecture Notes in Mathematics |
| Soggetto topico |
Mathematical logic
Functions of real variables Probabilities Economics, Mathematical Mathematical Logic and Foundations Real Functions Probability Theory and Stochastic Processes Quantitative Finance |
| ISBN | 3-540-44531-5 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Loeb Measures: Introduction -- Nonstandard Analysis -- Construction of Loeb Measures -- Loeb Integration Theory -- Elementary Applications. Stochastic Fluid Mechanics: Introduction -- Solution of the Deterministic Navier-Stokes Equations -- Solution of the Stochastic Navier-Stokes Equations -- Stochastic Euler Equations -- Statistical Solutions -- Attractors for the Navier-Stokes Equations -- Measure Attractors for Stochastic Navier-Stokes Equations -- Stochastic Attractors for Navier-Stokes Equations -- Attractors for the 3-dimensional Stochastic Navier-Stokes Equations. Stochastic Calculus of Variations: Introduction -- Flat Integral Representation of Wiener Measure -- The Wiener Sphere -- Brownian Motion on the Wiener Sphere and the Infinite Dimensional Ornstein-Uhlenbeck Process -- Malliavin Calculus. Mathematical Finance Theory: Introduction -- The Cox-Ross-Rubinstein Models -- Options and Contingent Claims -- The Black-Scholes Model... The complete table of contents can be found on the Internet: http://www.springer.de. |
| Record Nr. | UNISA-996466375103316 |
Cutland Nigel J
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| Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer, , 2000 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. di Salerno | ||
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Loeb Measures in Practice: Recent Advances : EMS Lectures 1997 / / by Nigel J. Cutland
| Loeb Measures in Practice: Recent Advances : EMS Lectures 1997 / / by Nigel J. Cutland |
| Autore | Cutland Nigel J |
| Edizione | [1st ed. 2000.] |
| Pubbl/distr/stampa | Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer, , 2000 |
| Descrizione fisica | 1 online resource (CXXXII, 118 p.) |
| Disciplina | 510 |
| Collana | Lecture Notes in Mathematics |
| Soggetto topico |
Mathematical logic
Functions of real variables Probabilities Economics, Mathematical Mathematical Logic and Foundations Real Functions Probability Theory and Stochastic Processes Quantitative Finance |
| ISBN | 3-540-44531-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Loeb Measures: Introduction -- Nonstandard Analysis -- Construction of Loeb Measures -- Loeb Integration Theory -- Elementary Applications. Stochastic Fluid Mechanics: Introduction -- Solution of the Deterministic Navier-Stokes Equations -- Solution of the Stochastic Navier-Stokes Equations -- Stochastic Euler Equations -- Statistical Solutions -- Attractors for the Navier-Stokes Equations -- Measure Attractors for Stochastic Navier-Stokes Equations -- Stochastic Attractors for Navier-Stokes Equations -- Attractors for the 3-dimensional Stochastic Navier-Stokes Equations. Stochastic Calculus of Variations: Introduction -- Flat Integral Representation of Wiener Measure -- The Wiener Sphere -- Brownian Motion on the Wiener Sphere and the Infinite Dimensional Ornstein-Uhlenbeck Process -- Malliavin Calculus. Mathematical Finance Theory: Introduction -- The Cox-Ross-Rubinstein Models -- Options and Contingent Claims -- The Black-Scholes Model... The complete table of contents can be found on the Internet: http://www.springer.de. |
| Record Nr. | UNINA-9910144599703321 |
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Cutland Nigel J
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| Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer, , 2000 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Market Microstructure and Nonlinear Dynamics : Keeping Financial Crisis in Context / / edited by Gilles Dufrénot, Fredj Jawadi, Waël Louhichi
| Market Microstructure and Nonlinear Dynamics : Keeping Financial Crisis in Context / / edited by Gilles Dufrénot, Fredj Jawadi, Waël Louhichi |
| Edizione | [1st ed. 2014.] |
| Pubbl/distr/stampa | Cham : , : Springer International Publishing : , : Imprint : Springer, , 2014 |
| Descrizione fisica | 1 online resource (322 p.) |
| Disciplina |
330
330.015195 332 519 |
| Soggetto topico |
Finance
Macroeconomics Economics, Mathematical Finance, general Macroeconomics/Monetary Economics//Financial Economics Quantitative Finance |
| ISBN | 3-319-05212-8 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Market Fragmentation and Market Quality: The European Experience -- Pre-trade Transparency and the Information Content of the Limit Order Book -- Trading Mechanisms in Financial Markets: A Comparison Between Auction and Dealership Markets -- News Trader, Liquidity and Transaction Cost -- What Moves Euro-Bund Futures Contracts on Eurex? Surprises!- Individual Investors' Trading Activities and Price Volatility -- Finance and Growth Causality: Empirical Evidence for Emerging Europe -- Anticipated Macroeconomic Fundamentals, Sovereign Spreads and Regime-Switching: The Case of the Euro Area -- Impact of Anti-crisis Measures on the Volatility of the Stock Market Stress Index in the Euro Zone (Application of ARCH/GARCH/EGARCH) -- Shift-Volatility Transmission in East Asian Equity Markets: New Indicators -- Transaction Costs and Nonlinear Modelling of Real Exchange Rate Deviations from Purchasing Power Parity: Evidence from the MENA Region. . |
| Record Nr. | UNINA-9910298559603321 |
| Cham : , : Springer International Publishing : , : Imprint : Springer, , 2014 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Market Timing with Moving Averages : The Anatomy and Performance of Trading Rules / / by Valeriy Zakamulin
| Market Timing with Moving Averages : The Anatomy and Performance of Trading Rules / / by Valeriy Zakamulin |
| Autore | Zakamulin Valeriy |
| Edizione | [1st ed. 2017.] |
| Pubbl/distr/stampa | Cham : , : Springer International Publishing : , : Imprint : Palgrave Macmillan, , 2017 |
| Descrizione fisica | 1 online resource (XXXII, 278 p. 64 illus.) |
| Disciplina | 332.6 |
| Collana | New Developments in Quantitative Trading and Investment |
| Soggetto topico |
Financial engineering
Investment banking Securities Economics, Mathematical Financial Engineering Investments and Securities Quantitative Finance |
| ISBN | 3-319-60970-X |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Chapter1 Introduction -- Chapter2 Moving Averages -- Chapter3 Trading Rules -- Chapter4 Anatomy of Trading Rules -- Chapter5 Case Study: Historical Performance of Trading Rules on Other -- Chapter6 Summary and Conclusions. |
| Record Nr. | UNINA-9910255044403321 |
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Zakamulin Valeriy
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| Cham : , : Springer International Publishing : , : Imprint : Palgrave Macmillan, , 2017 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Market-Consistent Actuarial Valuation / / by Mario V. Wüthrich
| Market-Consistent Actuarial Valuation / / by Mario V. Wüthrich |
| Autore | Wüthrich Mario V |
| Edizione | [3rd ed. 2016.] |
| Pubbl/distr/stampa | Cham : , : Springer International Publishing : , : Imprint : Springer, , 2016 |
| Descrizione fisica | 1 online resource (XII, 138 p. 10 illus., 9 illus. in color.) |
| Disciplina | 368.3201 |
| Collana | EAA Series |
| Soggetto topico |
Actuarial science
Economics, Mathematical Statistics Insurance Actuarial Sciences Quantitative Finance Statistics for Business, Management, Economics, Finance, Insurance |
| ISBN | 3-319-46636-4 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Introduction -- Stochastic discounting -- The valuation portfolio in life insurance -- Financial risks and solvency -- The valuation portfolio in non-life insurance -- References -- Index. |
| Record Nr. | UNINA-9910254093003321 |
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Wüthrich Mario V
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| Cham : , : Springer International Publishing : , : Imprint : Springer, , 2016 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Mathematical and Statistical Methods for Actuarial Sciences and Finance : MAF 2016 / / edited by Marco Corazza, Florence Legros, Cira Perna, Marilena Sibillo
| Mathematical and Statistical Methods for Actuarial Sciences and Finance : MAF 2016 / / edited by Marco Corazza, Florence Legros, Cira Perna, Marilena Sibillo |
| Edizione | [1st ed. 2017.] |
| Pubbl/distr/stampa | Cham : , : Springer International Publishing : , : Imprint : Springer, , 2017 |
| Descrizione fisica | 1 online resource (VIII, 169 p. 19 illus., 8 illus. in color.) |
| Disciplina | 368.01 |
| Soggetto topico |
Actuarial science
Economics, Mathematical Statistics Macroeconomics Finance Actuarial Sciences Quantitative Finance Statistics for Business, Management, Economics, Finance, Insurance Macroeconomics/Monetary Economics//Financial Economics Finance, general |
| ISBN | 3-319-50234-4 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | 1 The effects of credit rating announcements on bond liquidity: An event study -- 2 The effect of credit rating events on the emerging CDS market -- 3 A generalised linear model approach to predict the result of research evaluation -- 4 Projecting dynamic life tables using Data Cloning -- 5 Markov switching GARCH models: Filtering, approximations and duality -- 6 A network approach to risk theory and portfolio selection -- 7 A PSO-based approach for improving simple trading systems -- 8 Provisions for outstanding claims with distance-based generalized linear models -- 9 Profitability vs. attractiveness within a performance analysis of a life annuity business -- 10 Uncertainty in historical Value-at-Risk: an alternative quantile-based risk measure -- 11 Modeling volatility risk premium -- 12 Covered call writing and framing: A cumulative prospect theory approach -- 13 Optimal portfolio selection for an investor with asymmetric attitude to gains and losses. |
| Record Nr. | UNINA-9910254306103321 |
| Cham : , : Springer International Publishing : , : Imprint : Springer, , 2017 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Mathematical and Statistical Methods for Actuarial Sciences and Finance / / edited by Marco Corazza, Claudio Pizzi
| Mathematical and Statistical Methods for Actuarial Sciences and Finance / / edited by Marco Corazza, Claudio Pizzi |
| Edizione | [1st ed. 2014.] |
| Pubbl/distr/stampa | Cham : , : Springer International Publishing : , : Imprint : Springer, , 2014 |
| Descrizione fisica | 1 online resource (312 p.) |
| Disciplina |
368.01
368/.01 |
| Soggetto topico |
Economics, Mathematical
Actuarial science Statistics Finance Macroeconomics Quantitative Finance Actuarial Sciences Statistics for Business, Management, Economics, Finance, Insurance Finance, general Macroeconomics/Monetary Economics//Financial Economics |
| ISBN | 3-319-02499-X |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Weak form efficiency of selected European stock markets: alternative testing approaches (G. Albano, M. La Rocca, C. Perna) -- An empirical comparison of variable selection methods in competing risks model (A. Amendola, M. Restaino, L. Sensini) -- A comparison between different numerical schemes for the valuation of unit-linked contracts embedding a surrender option (A.R. Bacinello, P. Millossovich, A. Montealegre) -- Dynamic tracking error with shortfall control using stochastic programming (D. Barro, E. Canestrelli) -- Firm’s volatility risk under microstructure noise (F. Barsotti, S. Sanfelici) -- Socially responsible mutual funds: an efficiency comparison among the European countries (A. Basso, S. Funari) -- Fitting financial returns distributions: a mixture normality approach (R. Bramante, D. Zappa) -- Single-name concentration risk measurements in credit portfolios (R. Calabrese, F. Porro) -- Bifactorial pricing models: light and shadows in correlation role (R. Cocozza, A. De Simone) -- Dynamic strategies for Defined Benefit pension plans risk management (I. Colivicchi, G. Piscopo, E. Vannucci) -- Particle Swarm Optimization for preference disaggregation in multicriteria credit scoring problems (M. Corazza, S. Funari, R. Gusso) -- Time series clustering on lower tail dependence for portfolio selection (G. De Luca, P. Zuccolotto) -- Solvency Analysis of Defined Benefit pension schemes (P. Devolder, G. Piscopo) -- Stochastic actuarial valuations in double-indexed pension annuity assessment (E. Di Lorenzo, A. Orlando, M. Sibillo) -- Testing for Normality when the sampled distribution is Extended Skew-Normal (C. Franceschini, N. Loperfido) -- On the RODEO method for variable selection (F. Giordano, M.L. Parrella) -- Portfolio allocation using Omega function: an empirical analysis (A. Hitaj, F. Martinelli, G. Zambruno) -- Investment rankings via an objective measure of riskiness: a case study (M.E. Marina, M. Resta) -- A squared rank assessment of the difference between US and European firm valuation ratios (M. Marozzi) -- A behavioural approach to the pricing of European options (M. Nardon, P. Pianca) -- Threshold structures in economic and financial time series (M. Niglio, C.D. Vitale) -- Intelligent algorithms for trading the Euro-Dollar in the foreign exchange market (D. Pelusi, M. Tivegna, P. Ippoliti) -- Risk management and capital allocation for Non-Life insurance companies (M. Pirra, S. Forte, M. Ialenti) -- Modelling asymmetric behaviour in time series: identification through PSO (C. Pizzi, F. Parpinel) -- Valuation of collateralized funds of hedge fund obligations: a Basket Option pricing approach (G.L. Tassinari, C. Corradi) -- Valuation of R&D investment opportunities using the Least-Squares Monte Carlo method (G. Villani) -- The determinants of interbank contagion: do patterns matter? (S. Zedda, G. Cannas, C. Galliani). |
| Record Nr. | UNINA-9910299969003321 |
| Cham : , : Springer International Publishing : , : Imprint : Springer, , 2014 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Mathematical and Statistical Methods for Actuarial Sciences and Finance / / edited by Cira Perna, Marilena Sibillo
| Mathematical and Statistical Methods for Actuarial Sciences and Finance / / edited by Cira Perna, Marilena Sibillo |
| Edizione | [1st ed. 2014.] |
| Pubbl/distr/stampa | Cham : , : Springer International Publishing : , : Imprint : Springer, , 2014 |
| Descrizione fisica | 1 online resource (190 p.) |
| Disciplina | 368.01 |
| Soggetto topico |
Actuarial science
Economics, Mathematical Statistics Finance Actuarial Sciences Quantitative Finance Statistical Theory and Methods Finance, general |
| ISBN | 3-319-05014-1 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | 1 I. Albarrn, P. Alonso, A.Arribas-Gil and A. Gran: Can personal dependency paths help to estimate life expectancy free of dependency? -- 2 A. Amendola and V. Candila: Evaluation of volatility forecasts in a VaR framework -- 3 A. Amendola and M. Restaino: Optimal cut-off points for multiple causes of business failure models -- 4 R. Baragona, F. Battaglia and D. Cucina: Maximum empirical likelihood inference for outliers in autoregressive time series -- 5 A. Basso and S. Funari: The role of fund size and returns to scale in the performance of mutual funds -- 6 M. Biancardi and G. Villani: A robustness analysis of least-squares monte carlo for r&d real options valuation -- 7 G. Bimonte and P. Spennati: The common pool problem of intergovernmental interactions and fiscal discipline: a Stackelberg approach -- 8 S. Boffelli and G. Urga: High -and low-frequency correlations in European government bond spreads and their macroeconomic drivers -- 9 S. Bonini and G. Caivano: Probability of default: a modern calibration approach -- 10 S. Bonini and G. Caivano: Development of a LGD model Basel2 compliant: a case study -- 11 S. Capecchi and D. Piccolo: Modelling the latent components of personal happiness -- 12 M. Caporin, L. Corazzini and M. Costola: Measuring the impact of behavioural choices on the market prices -- 13 M. Cardin: A note on natural risk statistics, OWA operators and generalized Gini functions -- 14 R. Cerchiara and V. Magatti: The estimation of standard deviation of premium risk under solvency 2. - 15 M. Coppola and V. D'Amato: The solvency capital requirement management for an insurance company -- 16 M. Corduas: Direct multi-step estimation and time series classification. - 17 V. D'Amato, S. Haberman, G. Piscopo and M. Russolillo: Alternative Assessments of the Longevity Trends -- 18 G. H. Dash, Jr. and N. Kajiji: Combinatorial nonlinear goal programming for ESG portfolio optimization and dynamic hedge management -- 19 A. Di Crescenzo, B. Martinucci and S. Zacks: On the geometric Brownian motion with alternating trend -- 20 E. Di Lorenzo, M. La Rocca, A. Orlando, C. Perna and M. Sibillo: Empirical evidences on predictive accuracy of survival models -- 21 R. Donati and M. Corazza: RedESTM, a risk measure in a Pareto-Levy stable framework with clustering -- 22 N. Ettore D'Ortona and G. Melisi: Run-off error in the outstanding claims reserves evaluation -- 23 S. Ferrando, A. Gonzalez, I. Degano, and M. Rahsepar: Trajectory based market models. Arbitrage and pricing intervals -- 24 G. Fig-Talamanca: A statistical test for the Heston model -- 25 F. Giordano, M. Niglio and C. Damiano Vitale: Threshold Random Walk structures in finance -- 26 J. Gogola: Stochastic mortality models. Application to CR mortality data -- 27 M. Harcek: Risk adjusted dynamic hedging strategies -- 28 A. Klani and F. Quittard-Pinon: Pricing and hedging variable annuities -- 29 D. G. Konstantinides and C. E. Kountzakis: Monetary risk functionals on Orlicz spaces produced by set-valued risk maps and random measures -- 30 N. Loperfido: A probability inequality related to Mardia's kurtosis -- 31 G. M. Mantovani, G. Coro, P. Gurisatti and M. Mestroni: Integrating industrial and financial analysis into a rating methodology for corporate risk detection: the case of the Vicenza manufacturing firms -- 32 L. Mercuri and E. Rroji: Risk measurement using the mixed tempered stable distribution -- 33 M. Mestroni, E. Basilico and G. Max Mantovani: Corporate finance... what else? The case of the productive chain networks in north-east Italy and the scaffolding finance adopted by their leader -- 34 A. Naccarato and P. Andrea: BEKK element-by-element estimation of a volatility matrix. A portfolio simulation -- 35 M. Nardon and P. Pianca: The effects of curvature and elevation of the probability weighting function on options prices -- 36 A. Ntamjokouen, S. Haberman and G. Consigli: A multivariate approach to project the long run relationship of mortality indices between Canadian provinces -- 37 A. Orlando, G. di Lorenzo and M. Politano: Measuring and managing the longevity risk: an empirical evidence from the Italian pension market -- 38 T. Paletta, A. Leccadito and R. Tunaru: Pricing and hedging basket options under shifted asymmetric jump-diffusion process -- 39 M. Resta: On a data mining framework for the identification of frequent pattern trends -- 40 D. Teneng and K. Parna: Risk processes with normal inverse gaussian claims and premiums -- 41 T. Uratani: A portfolio model for the risk management in public pension -- 42 R. Yves: Black Scholes option sensitivity using high order greeks. |
| Record Nr. | UNINA-9910300142603321 |
| Cham : , : Springer International Publishing : , : Imprint : Springer, , 2014 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Mathematical Financial Economics : A Basic Introduction / / by Igor V. Evstigneev, Thorsten Hens, Klaus Reiner Schenk-Hoppé
| Mathematical Financial Economics : A Basic Introduction / / by Igor V. Evstigneev, Thorsten Hens, Klaus Reiner Schenk-Hoppé |
| Autore | Evstigneev Igor V |
| Edizione | [1st ed. 2015.] |
| Pubbl/distr/stampa | Cham : , : Springer International Publishing : , : Imprint : Springer, , 2015 |
| Descrizione fisica | 1 online resource (IX, 224 p. 21 illus., 3 illus. in color.) |
| Disciplina | 650.01513 |
| Collana | Springer Texts in Business and Economics |
| Soggetto topico |
Macroeconomics
Economics, Mathematical Finance Macroeconomics/Monetary Economics//Financial Economics Quantitative Finance Finance, general |
| ISBN | 3-319-16571-2 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Mean-Variance Portfolio Analysis: Portfolio Selection: Introductory Comments -- Mean-Variance Portfolio Analysis: The Markowitz Model -- Solution to the Markowitz Optimization Problem -- Properties of Efficient Portfolios -- The Markowitz Model with a Risk-Free Asset -- Efficient Portfolios in a Market with a Risk-Free Asset -- Capital Asset Pricing Model (CAPM) -- CAPM Continued -- Factor Models and the Ross-Huberman APT -- Problems and Exercises I -- Derivative Securities Pricing: Dynamic Securities Market Model -- Risk-Neutral Pricing -- The Cox-Ross-Rubinstein Binomial Model -- American Derivative Securities -- From Binomial Model to Black-Scholes Formula -- Problems and Exercises II -- Growth and Equilibrium: Capital Growth Theory: Continued -- General Equilibrium Analysis of Financial Markets -- Behavioral Equilibrium and Evolutionary Dynamics -- Problems and Exercises III -- Mathematical Appendices: Facts from Linear Algebra -- Convexity and Optimization -- Sources. |
| Record Nr. | UNINA-9910298489703321 |
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Evstigneev Igor V
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| Cham : , : Springer International Publishing : , : Imprint : Springer, , 2015 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Mathematical Risk Analysis : Dependence, Risk Bounds, Optimal Allocations and Portfolios / / by Ludger Rüschendorf
| Mathematical Risk Analysis : Dependence, Risk Bounds, Optimal Allocations and Portfolios / / by Ludger Rüschendorf |
| Autore | Rüschendorf Ludger |
| Edizione | [1st ed. 2013.] |
| Pubbl/distr/stampa | Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer, , 2013 |
| Descrizione fisica | 1 online resource (413 p.) |
| Disciplina | 520 |
| Collana | Springer Series in Operations Research and Financial Engineering |
| Soggetto topico |
Probabilities
Economics, Mathematical Actuarial science Applied mathematics Engineering mathematics Operations research Management science Statistics Probability Theory and Stochastic Processes Quantitative Finance Actuarial Sciences Applications of Mathematics Operations Research, Management Science Statistics for Business, Management, Economics, Finance, Insurance |
| ISBN | 3-642-33590-X |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Preface.-Part I: Stochastic Dependence and Extremal Risk.-1 Copulas, Sklar's Theorem, and Distributional Transform -- 2 Fréchet Classes, Risk Bounds, and Duality Theory -- 3 Convex Order, Excess of Loss, and Comonotonicity -- 4 Bounds for the Distribution Function and Value at Risk of the Joint Portfolio -- 5 Restrictions on the Dependence Structure -- 6 Dependence Orderings of Risk Vectors and Portfolios -- Part II: Risk Measures and Worst Case Portfolios -- 7 Risk Measures for Real Risks -- 8 Risk Measures for Portfolio Vectors -- 9 Law Invariant Convex Risk Measures on L_d^p and Optimal Mass Transportation -- Part III: Optimal Risk Allocation -- 10 Optimal Allocations and Pareto Equilibrium -- 11 Characterization and Examples of Optimal Risk Allocations for Convex Risk Functionals -- 12 Optimal Contingent Claims and (Re)Insurance Contracts -- Part IV: Optimal Portfolios and Extreme Risks -- 13 Optimal Portfolio Diversification w.r.t. Extreme Risks -- 14 Ordering of Multivariate Risk Models with Respect to Extreme Portfolio Losses -- References -- List of Symbols -- Index. |
| Record Nr. | UNINA-9910438156703321 |
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Rüschendorf Ludger
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| Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer, , 2013 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Soggetto topico
-
Economics, Mathematical
(197)
- Quantitative Finance (197)
- Probabilities (59)
- Probability Theory and Stochastic Processes (59)
- Statistics (55)