Info
- Utilizzare la checkbox di selezione a fianco di ciascun documento per attivare le funzionalità di stampa, invio email, download nei formati disponibili del (i) record.
Seminaire de Probabilites XXXV [[electronic resource] /] / edited by J. Azema, M. Emery, M. Ledoux, M. Yor
| Seminaire de Probabilites XXXV [[electronic resource] /] / edited by J. Azema, M. Emery, M. Ledoux, M. Yor |
| Edizione | [1st ed. 2001.] |
| Pubbl/distr/stampa | Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer, , 2001 |
| Descrizione fisica | 1 online resource (VIII, 384 p.) |
| Disciplina | 519.2 |
| Collana | Séminaire de Probabilités |
| Soggetto topico |
Probabilities
Applied mathematics Engineering mathematics Economics, Mathematical Probability Theory and Stochastic Processes Applications of Mathematics Quantitative Finance |
| ISBN | 3-540-44671-0 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Intro -- 1. Introduction -- 2. Pure-Jump Markov Processes -- 3. A Multiplicative Functional -- 4. The Renormalization of Multiplicative Functionals and Variational Principle -- References -- 1 Introduction -- 2 Boolean independence and convolution -- 3 Boolean Fock space, Brownian motion and Poisson process -- 4 Probabilistic interpretation of -- 5 Quantum stochastic processes in discrete time -- 6 Quantum stochastic calculus by time changes -- References -- 1. Généralités -- 1.1. Rappels et conventions -- 1.2. Équations de structure -- 1.3. Un critère d'unicité -- 2. Martingales d'Azéma asymétriques, présentation -- 2.1. Classification élémentaire -- 2.2. Marches aléatoires sous-jacentes -- 2.3. Dépassement -- 3. Comportements simples -- 3.1. Dépassements continus -- 3.2. Comportements découplables -- 3.3. Comportements semi-découplables -- 4. Comportements mélangeants -- 4.1. Équations de renouvellement (première forme) -- 4.2. Équations de renouvellement (seconde forme) -- 4.3. Vérification du principe d'assemblage -- 5. Propriétés et probIèmes -- 5.1. Invariance d'Échelle -- 5.2. Caractère markovien -- 5.3. Temps local -- Références -- 0. Introduction -- 1. Some path and local time properties -- 2. An extension of Ito's formula -- 3. Some applications of the extension of Ito's formula to Burkholder-Davis-Gundy's type inequalities -- References -- 1 Introduction et notations -- 2 Équations de structure vectorielles -- Martingales normales -- Tenseurs doublement symétriques et systèmes droits -- Propriétés des solutions d'une équation de structure -- Formule de compensation -- 3 Le cas bidimensionnel -- Généralités -- Martingales d'Azéma -- Détermination de systèmes droits -- 4 Semimartingales formellement à variation finie -- 5 Le théorème de caractérisation -- La condition est suffisante -- La condition est nécessaire -- Références.
Références -- Notation and preliminaries -- Two simple instances of chaotic representation property -- Another, less simple, case of chaotic representation property -- References -- 1 Main results -- 2 Preliminaries from stochastic calculus -- 3 Proof of Theorem 1.1 -- 4 Key lemma -- 5 Final comments -- References -- 1. Introduction -- 2. No-arbitrage criteria -- 3. Auxiliary results -- References -- References -- References -- 1 Introduction -- 2 Proof of the main result -- References -- 1. General results and known facts -- 2. General correlation inequalities -- 3. Spectral gaps for some families of potentials -- 4. Marginal distributions -- 5. Logarithmic Sobolev inequalities -- 6. Logarithmic Sobolev inequalities for spin systems -- References -- 1. Introduction -- 2. Existence -- 3. Uniqueness -- References -- References -- 1 Introduction -- 2 Notations'and basic data -- 3 An intrinsic measure on -- 4 Diffusions on and on -- 4.1 The diffusions on and on -- 4.2 νʹ as an invariant measure -- 4.3 π2(ξtઠ) is the Φ-diffusion -- 5. Exit measure of the Φ-diffusion if δ< d/2 -- References -- Introduction -- I. Approximation by Lipschitz functions -- II. Some properties of approximation with delay in ODE -- III. Some properties of approximation with delay in SDE -- IV. Weak solution and L2-approximation -- References -- Introduction -- Notations -- 1 Geometry of G and G-martingales -- 1.1 Choice of a connection -- 1.2 G-valued martingales -- 1.3. The stochastic exponential and logarithm -- 2 G-martingale with prescribed terminal value -- 2.1 Example: the Heisenberg group -- 2.2 Existence and uniqueness -- case of a (Γ)-group -- 2.3 Existence and uniqueness -- case of a nilpotent Lie group -- 3 BSDE -- 3.1 BSDE with drift depending only on time: existence and uniqueness -- 3.2 BSDE with bounded drift F: case of a Γ-group -- References -- Introduction. Définition d'une filtration quotient -- Références -- Introduction -- Notation and definitions -- Vershik's standardness criterion: Preliminary notions -- Vershik's standardness criterion: First level -- Vershik's standardness criterion: Second level -- Vershik's theorem on lacunary isomorphism -- Study of an example -- Other forms of cosiness -- Vershik's Example 3 -- On a question by von Weizsäcker -- References -- I. Introduction -- II. Examples of weak convergences of filtrations -- Weak convergence of filtrations and extended convergence -- III. Stability of processes under convergence of filtrations -- IV. Stability of backward equations under convergence of filtrations -- References -- 1 - Introduction -- 2 - Proof of Theorem 1 -- References -- 1 Introduction -- 2 A characterization of processes with cyclic exchangeable increments -- 3 Lévy processes and bridges are CEL -- 4 Applications -- References -- 1 Introduction -- 1. Existence of the principal values -- 2. An extension of Itôs formula -- 2 Basic Definitions and Facts -- 1. Local times -- 2. Bessel processes -- 3. Bessel Bridges -- 3 Existence of the Principal Values -- 1. The results -- 2. The proofs -- 3. Comparison of Theorems 3.1 and 3.2. -- 4 An Extension of Itô's Formula -- 1. Itô's formula and its known -- 2. An extension based on the principal values -- 3. Comparison of different extensions -- 5 Properties of the Principal Values -- 1. Continuity -- 2. Energy -- 3. Additivity -- 4. Convergence to the principal value -- References -- Introduction -- 1. Preliminaries -- 2. From Tanaka Formula to Ito Formula -- 3. Local times and the occupation density formula -- References -- Note from the Rédaction -- 1 - Introduction and notations -- 2 - Preliminaries -- 3 - Proofs -- References -- 1. Introduction -- 2. Main Result -- 3. Proof of Theorem 2.1. 4. Schrödinger Operators with Morse Potentials -- 5. Maass Laplacian -- 6. Further Applications of Theorem 2.1 -- References -- 1 Introduction -- 2 Proof -- 2.1 Two classes of paths -- 2.2 The path transform -- References -- 1 - Introduction -- 2 - Proof -- References. |
| Record Nr. | UNISA-996466380303316 |
| Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer, , 2001 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. di Salerno | ||
| ||
Seminaire de Probabilites XXXV / / edited by J. Azema, M. Emery, M. Ledoux, M. Yor
| Seminaire de Probabilites XXXV / / edited by J. Azema, M. Emery, M. Ledoux, M. Yor |
| Edizione | [1st ed. 2001.] |
| Pubbl/distr/stampa | Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer, , 2001 |
| Descrizione fisica | 1 online resource (VIII, 384 p.) |
| Disciplina | 519.2 |
| Collana | Séminaire de Probabilités |
| Soggetto topico |
Probabilities
Applied mathematics Engineering mathematics Economics, Mathematical Probability Theory and Stochastic Processes Applications of Mathematics Quantitative Finance |
| ISBN | 3-540-44671-0 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Intro -- 1. Introduction -- 2. Pure-Jump Markov Processes -- 3. A Multiplicative Functional -- 4. The Renormalization of Multiplicative Functionals and Variational Principle -- References -- 1 Introduction -- 2 Boolean independence and convolution -- 3 Boolean Fock space, Brownian motion and Poisson process -- 4 Probabilistic interpretation of -- 5 Quantum stochastic processes in discrete time -- 6 Quantum stochastic calculus by time changes -- References -- 1. Généralités -- 1.1. Rappels et conventions -- 1.2. Équations de structure -- 1.3. Un critère d'unicité -- 2. Martingales d'Azéma asymétriques, présentation -- 2.1. Classification élémentaire -- 2.2. Marches aléatoires sous-jacentes -- 2.3. Dépassement -- 3. Comportements simples -- 3.1. Dépassements continus -- 3.2. Comportements découplables -- 3.3. Comportements semi-découplables -- 4. Comportements mélangeants -- 4.1. Équations de renouvellement (première forme) -- 4.2. Équations de renouvellement (seconde forme) -- 4.3. Vérification du principe d'assemblage -- 5. Propriétés et probIèmes -- 5.1. Invariance d'Échelle -- 5.2. Caractère markovien -- 5.3. Temps local -- Références -- 0. Introduction -- 1. Some path and local time properties -- 2. An extension of Ito's formula -- 3. Some applications of the extension of Ito's formula to Burkholder-Davis-Gundy's type inequalities -- References -- 1 Introduction et notations -- 2 Équations de structure vectorielles -- Martingales normales -- Tenseurs doublement symétriques et systèmes droits -- Propriétés des solutions d'une équation de structure -- Formule de compensation -- 3 Le cas bidimensionnel -- Généralités -- Martingales d'Azéma -- Détermination de systèmes droits -- 4 Semimartingales formellement à variation finie -- 5 Le théorème de caractérisation -- La condition est suffisante -- La condition est nécessaire -- Références.
Références -- Notation and preliminaries -- Two simple instances of chaotic representation property -- Another, less simple, case of chaotic representation property -- References -- 1 Main results -- 2 Preliminaries from stochastic calculus -- 3 Proof of Theorem 1.1 -- 4 Key lemma -- 5 Final comments -- References -- 1. Introduction -- 2. No-arbitrage criteria -- 3. Auxiliary results -- References -- References -- References -- 1 Introduction -- 2 Proof of the main result -- References -- 1. General results and known facts -- 2. General correlation inequalities -- 3. Spectral gaps for some families of potentials -- 4. Marginal distributions -- 5. Logarithmic Sobolev inequalities -- 6. Logarithmic Sobolev inequalities for spin systems -- References -- 1. Introduction -- 2. Existence -- 3. Uniqueness -- References -- References -- 1 Introduction -- 2 Notations'and basic data -- 3 An intrinsic measure on -- 4 Diffusions on and on -- 4.1 The diffusions on and on -- 4.2 νʹ as an invariant measure -- 4.3 π2(ξtઠ) is the Φ-diffusion -- 5. Exit measure of the Φ-diffusion if δ< d/2 -- References -- Introduction -- I. Approximation by Lipschitz functions -- II. Some properties of approximation with delay in ODE -- III. Some properties of approximation with delay in SDE -- IV. Weak solution and L2-approximation -- References -- Introduction -- Notations -- 1 Geometry of G and G-martingales -- 1.1 Choice of a connection -- 1.2 G-valued martingales -- 1.3. The stochastic exponential and logarithm -- 2 G-martingale with prescribed terminal value -- 2.1 Example: the Heisenberg group -- 2.2 Existence and uniqueness -- case of a (Γ)-group -- 2.3 Existence and uniqueness -- case of a nilpotent Lie group -- 3 BSDE -- 3.1 BSDE with drift depending only on time: existence and uniqueness -- 3.2 BSDE with bounded drift F: case of a Γ-group -- References -- Introduction. Définition d'une filtration quotient -- Références -- Introduction -- Notation and definitions -- Vershik's standardness criterion: Preliminary notions -- Vershik's standardness criterion: First level -- Vershik's standardness criterion: Second level -- Vershik's theorem on lacunary isomorphism -- Study of an example -- Other forms of cosiness -- Vershik's Example 3 -- On a question by von Weizsäcker -- References -- I. Introduction -- II. Examples of weak convergences of filtrations -- Weak convergence of filtrations and extended convergence -- III. Stability of processes under convergence of filtrations -- IV. Stability of backward equations under convergence of filtrations -- References -- 1 - Introduction -- 2 - Proof of Theorem 1 -- References -- 1 Introduction -- 2 A characterization of processes with cyclic exchangeable increments -- 3 Lévy processes and bridges are CEL -- 4 Applications -- References -- 1 Introduction -- 1. Existence of the principal values -- 2. An extension of Itôs formula -- 2 Basic Definitions and Facts -- 1. Local times -- 2. Bessel processes -- 3. Bessel Bridges -- 3 Existence of the Principal Values -- 1. The results -- 2. The proofs -- 3. Comparison of Theorems 3.1 and 3.2. -- 4 An Extension of Itô's Formula -- 1. Itô's formula and its known -- 2. An extension based on the principal values -- 3. Comparison of different extensions -- 5 Properties of the Principal Values -- 1. Continuity -- 2. Energy -- 3. Additivity -- 4. Convergence to the principal value -- References -- Introduction -- 1. Preliminaries -- 2. From Tanaka Formula to Ito Formula -- 3. Local times and the occupation density formula -- References -- Note from the Rédaction -- 1 - Introduction and notations -- 2 - Preliminaries -- 3 - Proofs -- References -- 1. Introduction -- 2. Main Result -- 3. Proof of Theorem 2.1. 4. Schrödinger Operators with Morse Potentials -- 5. Maass Laplacian -- 6. Further Applications of Theorem 2.1 -- References -- 1 Introduction -- 2 Proof -- 2.1 Two classes of paths -- 2.2 The path transform -- References -- 1 - Introduction -- 2 - Proof -- References. |
| Record Nr. | UNINA-9910144599203321 |
| Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer, , 2001 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Set optimization and applications - the state of the art [[electronic resource] ] : from set relations to set-valued risk measures / / edited by Andreas H Hamel, Frank Heyde, Andreas Löhne, Birgit Rudloff, Carola Schrage
| Set optimization and applications - the state of the art [[electronic resource] ] : from set relations to set-valued risk measures / / edited by Andreas H Hamel, Frank Heyde, Andreas Löhne, Birgit Rudloff, Carola Schrage |
| Edizione | [1st ed. 2015.] |
| Pubbl/distr/stampa | Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer, , 2015 |
| Descrizione fisica | 1 online resource (333 p.) |
| Disciplina | 510 |
| Collana | Springer Proceedings in Mathematics & Statistics |
| Soggetto topico |
Calculus of variations
Economics, Mathematical Algebra Ordered algebraic structures Mathematical optimization Calculus of Variations and Optimal Control; Optimization Quantitative Finance Order, Lattices, Ordered Algebraic Structures Continuous Optimization |
| ISBN | 3-662-48670-9 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910300251703321 |
| Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer, , 2015 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Solutions to Financial Economics [[electronic resource] ] : Exercises on Classical and Behavioral Finance / / by Thorsten Hens, Marc Oliver Rieger
| Solutions to Financial Economics [[electronic resource] ] : Exercises on Classical and Behavioral Finance / / by Thorsten Hens, Marc Oliver Rieger |
| Autore | Hens Thorsten |
| Edizione | [1st ed. 2019.] |
| Pubbl/distr/stampa | Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer, , 2019 |
| Descrizione fisica | 1 online resource (vii, 213 pages) : illustrations |
| Disciplina | 332 |
| Collana | Springer Texts in Business and Economics |
| Soggetto topico |
Macroeconomics
Finance Microeconomics Economic theory Operations research Decision making Economics, Mathematical Macroeconomics/Monetary Economics//Financial Economics Finance, general Economic Theory/Quantitative Economics/Mathematical Methods Operations Research/Decision Theory Quantitative Finance |
| ISBN | 3-662-59889-2 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Part I: Exercises -- Introduction -- Decision Theory -- Two-Period Model: Mean-Variance Approach -- Two-Period Model: State-Preference Approach -- Multiple-Periods Model -- Theory of the Firm -- Information Asymmetries on Financial Markets -- Time-Continuous Model -- Part II: Solutions -- Introduction -- Decision Theory.-Two-Period Model: Mean-Variance Approach -- Two-Period Model: State-Preference Approach -- Multiple-Periods Model -- Theory of the Firm -- Information Asymmetries on Financial Markets -- Time-Continuous Model -- References. |
| Record Nr. | UNINA-9910349538503321 |
Hens Thorsten
|
||
| Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer, , 2019 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Statistical Analysis of Financial Data in R [[electronic resource] /] / by René Carmona
| Statistical Analysis of Financial Data in R [[electronic resource] /] / by René Carmona |
| Autore | Carmona René |
| Edizione | [2nd ed. 2014.] |
| Pubbl/distr/stampa | New York, NY : , : Springer New York : , : Imprint : Springer, , 2014 |
| Descrizione fisica | 1 online resource (XVII, 588 p. 187 illus., 37 illus. in color.) : online resource |
| Disciplina | 332.015195 |
| Collana | Springer Texts in Statistics |
| Soggetto topico |
Statistics
Economics, Mathematical R (Computer program language) Statistics for Business, Management, Economics, Finance, Insurance Statistical Theory and Methods Quantitative Finance |
| ISBN | 1-4614-8788-9 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Univariate Data Distributions -- Heavy Tail Distributions -- Dependence and Multivariate Data Exploration -- Parametric Regression -- Local and Nonparametric Regression -- Time Series Models -- Multivariate Time Series, Linear Systems and Kalman Filtering -- Nonlinear Time Series: Models and Simulation -- Appendices -- Indices. |
| Record Nr. | UNINA-9910299961203321 |
|
Carmona René
|
||
| New York, NY : , : Springer New York : , : Imprint : Springer, , 2014 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Statistical Inference for Financial Engineering / / by Masanobu Taniguchi, Tomoyuki Amano, Hiroaki Ogata, Hiroyuki Taniai
| Statistical Inference for Financial Engineering / / by Masanobu Taniguchi, Tomoyuki Amano, Hiroaki Ogata, Hiroyuki Taniai |
| Autore | Taniguchi Masanobu |
| Edizione | [1st ed. 2014.] |
| Pubbl/distr/stampa | Cham : , : Springer International Publishing : , : Imprint : Springer, , 2014 |
| Descrizione fisica | 1 online resource (125 p.) |
| Disciplina | 332.015195 |
| Collana | SpringerBriefs in Statistics |
| Soggetto topico |
Statistics
Economics, Mathematical Macroeconomics Statistics for Business, Management, Economics, Finance, Insurance Quantitative Finance Macroeconomics/Monetary Economics//Financial Economics |
| ISBN | 3-319-03497-9 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Preface -- Features of Financial Data -- Empirical Likelihood Approaches for Financial Returns -- Various Methods for Financial Engineering -- Some Techniques for ARCH Financial Time Series -- Index. |
| Record Nr. | UNINA-9910300150703321 |
|
Taniguchi Masanobu
|
||
| Cham : , : Springer International Publishing : , : Imprint : Springer, , 2014 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Statistical Methods and Applications in Insurance and Finance : CIMPA School, Marrakech and Kelaat M’gouna, Morocco, April 2013 / / edited by M'hamed Eddahbi, El Hassan Essaky, Josep Vives
| Statistical Methods and Applications in Insurance and Finance : CIMPA School, Marrakech and Kelaat M’gouna, Morocco, April 2013 / / edited by M'hamed Eddahbi, El Hassan Essaky, Josep Vives |
| Edizione | [1st ed. 2016.] |
| Pubbl/distr/stampa | Cham : , : Springer International Publishing : , : Imprint : Springer, , 2016 |
| Descrizione fisica | 1 online resource (226 p.) |
| Disciplina | 368.01 |
| Collana | Springer Proceedings in Mathematics & Statistics |
| Soggetto topico |
Economics, Mathematical
Statistics Risk management Insurance Quantitative Finance Statistics for Business, Management, Economics, Finance, Insurance Risk Management |
| ISBN | 3-319-30417-8 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | 1 Frederi Viens: A didactic introduction to risk management via hedging in discrete and continuous time -- 2 M’hamed Eddahbi and Sidi Mohamed Lalaoui Ben Cherif: Sensitivity analysis for time–inhomogeneous L´evy process: A Malliavin calculus approach and numeric -- 3 Nicolas Privault and Dichuan Yang: Variance-GGC asset price models and their sensitivity analysis -- 4 Josep Vives: Decomposition of the pricing formula for stochastic volatility models based on Malliavin-Skorohod type calculus -- 5 Boualem Djehiche: Statistical estimation techniques in life and disability insurance -A short overview -- 6 AbdulRahman Al-Hussein: Necessary and sufficient conditions of optimal control for infinite dimensional SDEs -- 7 AbdulRahman Al-Hussein and Boulakhras Gherbal: Sufficient conditions of optimality for forward-backward doubly SDEs with jumps -- 8 Mohsine Benabdallah, Siham Bouhadou, Youssef Ouknine: On the pathwise uniqueness of solutions of one-dimensional stochastic differential equations with jumps -- 9 E. H. Essaky and M. Hassani: BSDE Approach for Dynkin Game and American Game Option. |
| Record Nr. | UNINA-9910254075503321 |
| Cham : , : Springer International Publishing : , : Imprint : Springer, , 2016 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Statistical Tools for Finance and Insurance [[electronic resource] /] / edited by Pavel Cizek, Wolfgang Karl Härdle, Rafał Weron
| Statistical Tools for Finance and Insurance [[electronic resource] /] / edited by Pavel Cizek, Wolfgang Karl Härdle, Rafał Weron |
| Edizione | [1st ed. 2005.] |
| Pubbl/distr/stampa | Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer, , 2005 |
| Descrizione fisica | 1 online resource (IV, 518 p.) |
| Disciplina | 330.015195 |
| Soggetto topico |
Statistics
Economics, Mathematical Statistics for Business, Management, Economics, Finance, Insurance Quantitative Finance |
| ISBN |
1-280-30608-4
9786610306084 3-540-27395-6 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Finance -- Stable Distributions -- Extreme Value Analysis and Copulas -- Tail Dependence -- Pricing of Catastrophe Bonds -- Common Functional Implied Volatility Analysis -- Implied Trinomial Trees -- Heston's Model and the Smile -- FFT-based Option Pricing -- Valuation of Mortgage Backed Securities: from Optimality to Reality -- Predicting Bankruptcy with Support Vector Machines -- Econometric and Fuzzy Modelling of Indonesian Money Demand -- Nonparametric Productivity Analysis -- Insurance -- Loss Distributions -- Modeling of the Risk Process -- Ruin Probabilities in Finite and Infinite Time -- Stable Diffusion Approximation of the Risk Process -- Risk Model of Good and Bad Periods -- Premiums in the Individual and Collective Risk Models -- Pure Risk Premiums under Deductibles -- Premiums, Investments, and Reinsurance -- General -- Working with the XQC. |
| Record Nr. | UNISA-996218160203316 |
| Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer, , 2005 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. di Salerno | ||
| ||
Statistical Tools for Finance and Insurance / / edited by Pavel Cizek, Wolfgang Karl Härdle, Rafał Weron
| Statistical Tools for Finance and Insurance / / edited by Pavel Cizek, Wolfgang Karl Härdle, Rafał Weron |
| Edizione | [1st ed. 2005.] |
| Pubbl/distr/stampa | Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer, , 2005 |
| Descrizione fisica | 1 online resource (IV, 518 p.) |
| Disciplina | 330.015195 |
| Soggetto topico |
Statistics
Economics, Mathematical Statistics for Business, Management, Economics, Finance, Insurance Quantitative Finance |
| ISBN |
1-280-30608-4
9786610306084 3-540-27395-6 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Finance -- Stable Distributions -- Extreme Value Analysis and Copulas -- Tail Dependence -- Pricing of Catastrophe Bonds -- Common Functional Implied Volatility Analysis -- Implied Trinomial Trees -- Heston's Model and the Smile -- FFT-based Option Pricing -- Valuation of Mortgage Backed Securities: from Optimality to Reality -- Predicting Bankruptcy with Support Vector Machines -- Econometric and Fuzzy Modelling of Indonesian Money Demand -- Nonparametric Productivity Analysis -- Insurance -- Loss Distributions -- Modeling of the Risk Process -- Ruin Probabilities in Finite and Infinite Time -- Stable Diffusion Approximation of the Risk Process -- Risk Model of Good and Bad Periods -- Premiums in the Individual and Collective Risk Models -- Pure Risk Premiums under Deductibles -- Premiums, Investments, and Reinsurance -- General -- Working with the XQC. |
| Record Nr. | UNINA-9910678531103321 |
| Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer, , 2005 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Statistics of Financial Markets : Exercises and Solutions / / by Szymon Borak, Wolfgang Karl Härdle, Brenda López-Cabrera
| Statistics of Financial Markets : Exercises and Solutions / / by Szymon Borak, Wolfgang Karl Härdle, Brenda López-Cabrera |
| Autore | Borak Szymon |
| Edizione | [2nd ed. 2013.] |
| Pubbl/distr/stampa | Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer, , 2013 |
| Descrizione fisica | 1 online resource (265 p.) |
| Disciplina | 332.015195 |
| Collana | Universitext |
| Soggetto topico |
Statistics
Economics, Mathematical Finance Statistics for Business, Management, Economics, Finance, Insurance Quantitative Finance Finance, general |
| ISBN | 3-642-33929-8 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Part I Option Pricing: Derivatives -- Introduction to Option Management -- Basic Concepts of Probability Theory -- Stochastic Processes in Discrete Time -- Stochastic Integrals and Di erential Equations -- Black-Scholes Option Pricing Model -- Binomial Model for European Options -- American Options -- Models for the Interest Rate and Interest Rate Derivatives -- Part II Statistical Model of Financial Time Series: Financial Time Series Models -- ARIMA Time Series Models -- Time Series with Stochastic Volatility -- Part III Selected Financial Applications: Value at Risk and Backtesting -- Copulae and Value at Risk -- Statistics of Extreme Risks -- Volatility Risk of Option Portfolios -- Portfolio Credit Risk -- References. |
| Record Nr. | UNINA-9910438143703321 |
|
Borak Szymon
|
||
| Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer, , 2013 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Soggetto topico
-
Economics, Mathematical
(222)
- Quantitative Finance (222)
- Probabilities (68)
- Probability Theory and Stochastic Processes (68)
- Statistics (62)