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Calcolo stocastico per la finanza / / by Andrea Pascucci
| Calcolo stocastico per la finanza / / by Andrea Pascucci |
| Autore | Pascucci Andrea |
| Edizione | [1st ed. 2008.] |
| Pubbl/distr/stampa | Milano : , : Springer Milan : , : Imprint : Springer, , 2008 |
| Descrizione fisica | 1 online resource (527 p.) |
| Disciplina |
332.645301515353
500 |
| Collana | La Matematica per il 3+2 |
| Soggetto topico |
Public finance
Mathematical analysis Analysis (Mathematics) Applied mathematics Engineering mathematics Economics, Mathematical Partial differential equations Mathematical models Public Economics Analysis Applications of Mathematics Quantitative Finance Partial Differential Equations Mathematical Modeling and Industrial Mathematics |
| ISBN | 88-470-0601-5 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | ita |
| Nota di contenuto | Derivati e arbitraggi -- Elementi di probabilità ed equazione del calore -- Modelli di mercato a tempo discreto -- Processi stocastici a tempo continuo -- Integrale stocastico -- Equazioni paraboliche a coefficienti variabili: unicità -- Modello di Black&Scholes -- Equazioni paraboliche a coefficienti variabili: esistenza -- Equazioni differenziali stocastiche -- Modelli di mercato a tempo continuo -- Opzioni Americane -- Metodi numerici -- Introduzione al calcolo di Malliavin. |
| Record Nr. | UNINA-9910484395603321 |
Pascucci Andrea
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| Milano : , : Springer Milan : , : Imprint : Springer, , 2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Causal Inference in Econometrics / / edited by Van-Nam Huynh, Vladik Kreinovich, Songsak Sriboonchitta
| Causal Inference in Econometrics / / edited by Van-Nam Huynh, Vladik Kreinovich, Songsak Sriboonchitta |
| Edizione | [1st ed. 2016.] |
| Pubbl/distr/stampa | Cham : , : Springer International Publishing : , : Imprint : Springer, , 2016 |
| Descrizione fisica | 1 online resource (XI, 638 p. 106 illus., 15 illus. in color.) |
| Disciplina | 330.015195 |
| Collana | Studies in Computational Intelligence |
| Soggetto topico |
Computational intelligence
Economics, Mathematical Quality control Reliability Industrial safety Computational Intelligence Quantitative Finance Quality Control, Reliability, Safety and Risk |
| ISBN | 3-319-27284-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Intro -- Preface -- Contents -- Part I Fundamental Theory -- Validating Markov Switching VAR Through Spectral Representations -- 1 Introduction -- 2 Spectra of Markov Switching VAR -- 2.1 The Case of Hidden Markov Process -- 2.2 The Case of MS VAR(p) -- 3 Frequency Variability in Real Data -- 4 Conclusion -- References -- Rapid Optimal Lag Order Detection and Parameter Estimation of Standard Long Memory Time Series -- 1 Introduction -- 2 Preliminaries -- 2.1 Fractionally Differenced Long Memory Processes -- 3 State Space Representation of an ARFIMA Time Series -- 3.1 State Space Representation of ARFIMA Model -- 3.2 KF and Estimation Process -- 4 Simulation Results -- 5 Empirical Evidence -- 6 Concluding Remarks -- References -- Spatial Econometric Analysis: Potential Contribution to the Economic Analysis of Smallholder Development -- 1 Introduction -- 2 Advances in Data to Capture Spatial Heterogeneity -- 2.1 GIS and GPS Mapping -- 2.2 Big Data -- 2.3 Increased Availability of Panel Data Sets -- 3 Review of Existing Literature on Spatial Econometric Analysis of Smallholder Development -- 3.1 Recent Progress in Spatial Econometric Modelling -- 3.2 Use of Spatial Econometric Analysis to Study Spillovers and Spatial Interaction -- 3.3 Environmental and Land Use Applications -- 3.4 Accounting for Space in Analyses of Technology Adoption and Productivity -- 4 Potential Areas for Analysis Using Spatial Econometric Methods: Examples from the Philippines -- 4.1 Spatial Heterogeneity in the Rural Sector of the Philippines: Example of Rice Ecosystems -- 4.2 Assessment of Smallholder Response to Rural Development Interventions -- 4.3 Measuring, Decomposing and Explaining TFP Growth in Smallholder Farming -- 5 Prospects and Conclusions -- References -- Consistent Re-Calibration in Yield Curve Modeling: An Example -- 1 Introduction.
2 Hull--White Extended Discrete-Time Vasiček Model -- 2.1 Discrete-Time (One-Factor) Vasiček Model -- 2.2 Hull--White Extended Version of the Vasiček Model -- 2.3 Calibration of Hull--White Extension -- 3 Consistent Re-Calibration Models -- 3.1 Consistent Re-Calibration Algorithm -- 3.2 Heath-Jarrow-Morton Representation of the CRC Algorithm -- 4 Real World Dynamics and Market-Price of Risk -- 5 Choice of Parameter Process -- 5.1 Pricing Model Approach Interpretation -- 5.2 Historical Calibration of the Prediction Model -- 5.3 Continuous-Time Modeling Motivated Inference -- 6 Conclusions -- 7 Swiss Currency CHF Example -- References -- Autoregressive Conditional Duration Model with an Extended Weibull Error Distribution -- 1 Introduction -- 2 Extended Weibull Distribution -- 2.1 Properties of EW Distribution -- 3 ACD Model with EW Distribution -- 4 Bayesian Estimation Methodology -- 5 Simulation Study -- 5.1 Random Variates Generation -- 5.2 Simulation -- 6 Empirical Analysis -- 6.1 Trade Duration Data -- 6.2 Daily Range Data -- 7 Conclusion -- References -- Across-the-Board Spending Cuts Are Very Inefficient: A Proof -- 1 Formulation of the Problem: Are Across-the-Board Spending Cuts Economically Reasonable -- 2 Let Us Formulate the Problem in Precise Terms -- 3 Analysis of the Problem -- References -- Invariance Explains Multiplicative and Exponential Skedactic Functions -- 1 Why Are Multiplicative and Exponential Skedactic Functions Empirically Successful: Formulation of the Problem -- 2 Natural Invariances -- 3 Case of Scale Invariance: Definitions and the Main Result -- 4 Case of Shift-Invariance: Definitions and the Main Result -- 5 General Case -- 6 Proofs -- References -- Why Some Families of Probability Distributions Are Practically Efficient: A Symmetry-Based Explanation -- 1 Formulation of the Problem -- 2 Our Main Idea. 3 Which Objective Functions Are Invariant? -- 4 Which Constraints Are Invariant? -- 5 Invariant Objective Functions and Constraints: Summary -- 6 Resulting Distributions -- 6.1 All Constraints Are Both Shift- and Scale-Invariant, Objective Function is Entropy -- 6.2 All Constraints Are Both Shift- and Scale-Invariant, Objective Function is Generalized Entropy -- 6.3 All Constraints Are Scale-Invariant Relative to the Same Value x0, Objective Function is Entropy -- 6.4 All Constraints Are Shift-Invariant, Objective Function Is Entropy -- 6.5 All Constraints Are Shift-Invariant, Objective Function Is Generalized Entropy -- 6.6 Different Constraints Have Different Symmetries, Objective Function Is Entropy -- 6.7 Different Constraints Have Different Symmetries, Objective Function is Generalized Entropy -- 7 Conclusion -- References -- The Multivariate Extended Skew Normal Distribution and Its Quadratic Forms -- 1 Introduction -- 2 The Multivariate Extended Skew Normal Distribution -- 3 Extended Noncentral Skew Chi-Square Distributions -- 4 The Distribution of Quadratic Form of Y -- References -- Multiple Copula Regression Function and Directional Dependence Under Multivariate Non-exchangeable Copulas -- 1 Introduction -- 2 Multivariate Copula Based Directional Dependence -- 2.1 Multivariate Non-exchangeable Copulas -- 2.2 Directional Dependence Using Copula-Based Multiple Regression -- 3 Multivariate Non-exchangeable Copulas and Their Application to Directional Dependence -- 3.1 Skew Normal Copulas -- 3.2 Multivariate Non-exchangeable Generalized FGM Copula -- References -- On Consistency of Estimators Based on Random Set Vector Observations -- 1 Introduction -- 2 Characterization of the Joint Belief Function of Discrete Random Set Vector -- 3 Bivariate CAR Models -- 4 The Likelihood Function of Random Set Vector Observations -- References. Brief Introduction to Causal Compositional Models -- 1 Introduction -- 2 Notation and Basic Concepts -- 3 Compositional Models -- 4 Causal Models -- 5 Intervention -- 6 Hidden Variables -- 7 Conclusions -- References -- A New Proposal to Predict Corporate Bankruptcy in Italy During the 2008 Economic Crisis -- 1 Introduction -- 2 The Algorithm -- 3 Experimental Results -- 3.1 The Data -- 3.2 Performance Assessment -- 3.3 Results -- 4 Conclusions -- References -- Part II Applications -- The Inflation Hedging Ability of Domestic Gold in Malaysia -- 1 Introduction -- 2 Gold investment in Malaysia -- 3 Literature Review -- 4 Data and Methodology -- 5 Results -- References -- To Determine the Key Factors for Citizen in Selecting a Clinic/Division in Thailand -- 1 Introduction -- 2 Literature Review -- 2.1 Decision Customers Make Before Going to Clinic/Hospital -- 2.2 Grey Relational Analysis (GRA) -- 3 Questionnaire Design -- 4 Analysis Results -- 5 Conclusion -- References -- ARIMA Versus Artificial Neural Network for Thailand's Cassava Starch Export Forecasting -- 1 Introduction -- 2 Literature Review -- 3 Cassava Starch Export Time Series -- 4 Forecasting Accuracy Measures -- 5 ARIMA Models for Cassava Starch Export Forecasting -- 5.1 ARIMA Models -- 5.2 Forecasting Accuracy of the ARIMA Models -- 6 Artificial Neural Network Models for Cassava Starch Export Forecasting -- 6.1 Input Layer -- 6.2 Output Layer -- 6.3 Hidden Layer -- 7 Comparison of the ANN Models with the ARIMA Models -- 8 Conclusion -- References -- Copula Based Volatility Models and Extreme Value Theory for Portfolio Simulation with an Application to Asian Stock Markets -- 1 Introduction -- 2 Methodology -- 2.1 Marginal Models -- 2.2 The Distributions of Standardized Residuals -- 2.3 Copula Approach -- 2.4 Portfolio Simulation -- 3 Empirical Results -- 4 Conclusions -- References. Modeling Dependence of Health Behaviors Using Copula-Based Bivariate Ordered Probit -- 1 Introduction -- 2 Data -- 3 Copula-Based Bivariate Ordered Probit Models -- 4 Results and Discussion -- 4.1 Factors Affecting Alcohol Consumption and Physical Activity Behaviors -- 4.2 Factors Affecting Tobacco Consumption and Physical Activity Behaviors -- 4.3 Factors Affecting Alcohol Consumption and Tobacco Consumption Behaviors -- 4.4 Dependence Measures of Health Behaviors Pairs -- 5 Concluding Remarks -- References -- Reinvestigating the Effect of Alcohol Consumption on Hypertension Disease -- 1 Introduction -- 2 Data -- 3 Switching Regression Model for Level of Hypertension -- 4 Results and Discussion -- 4.1 Binary Choice Equation for Alcohol Consumption -- 4.2 Factors Affecting Hypertension Level for Non-alcohol Users -- 4.3 Factors Affecting Hypertension Level for Alcohol Users -- 4.4 Effect of Alcohol Consumption on Blood Pressure Level -- 5 Concluding Remarks -- References -- Optimizing Stock Returns Portfolio Using the Dependence Structure Between Capital Asset Pricing Models: A Vine Copula-Based Approach -- 1 Introduction -- 2 Copulas and Vine Copulas -- 2.1 Vine Copulas -- 2.2 Drawable Vine (D-vine) -- 2.3 Canonical Vine (C-vine) -- 3 An Application and Empirical Results -- 3.1 Capital Asset Pricing Model:CAPM -- 3.2 Optimal Portfolio with Conditional Value at Risk via Vine-Copulas -- 3.3 Data -- 3.4 Experimental Results -- 4 Concluding Remarks -- References -- Analysis of Transmission and Co-Movement of Rice Export Prices Between Thailand and Vietnam -- 1 Introduction -- 2 Methodology -- 2.1 VAR Models -- 2.2 Copulas -- 2.3 Model Validation -- 3 Empirical Results -- 3.1 The Data -- 3.2 Causality Tests and Impulse Response -- 3.3 Estimate Results of Copulas -- 4 Conclusions -- References. Modeling Co-Movement and Risk Management of Gold and Silver Spot Prices. |
| Record Nr. | UNINA-9910254205303321 |
| Cham : , : Springer International Publishing : , : Imprint : Springer, , 2016 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Change of Time Methods in Quantitative Finance / / by Anatoliy Swishchuk
| Change of Time Methods in Quantitative Finance / / by Anatoliy Swishchuk |
| Autore | Swishchuk Anatoliy |
| Edizione | [1st ed. 2016.] |
| Pubbl/distr/stampa | Cham : , : Springer International Publishing : , : Imprint : Springer, , 2016 |
| Descrizione fisica | 1 online resource (140 p.) |
| Disciplina | 650.01513 |
| Collana | SpringerBriefs in Mathematics |
| Soggetto topico |
Economics, Mathematical
Quantitative Finance |
| ISBN | 3-319-32408-X |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Introduction to the Change of Time Methods: History, Finance and Stochastic Volatility -- Change of Time Methods: Definitions and Theory -- Applications of the Change of Time Methods -- Change of Time Method (CTM) and Black-Scholes Formula -- CTM and Variance, Volatility, Covariance and Correlation Swaps for the Classical Heston Model -- CTM and the Delayed Heston Model: Pricing and Hedging of Variance and Volatility Swaps -- CTM and the Explicit Option Pricing Formula for a Mean-reverting Asset in Energy Markets -- CTM and Multi-Factor Levy Models for Pricing Financial and Energy Derivatives -- Epilogue. |
| Record Nr. | UNINA-9910254073403321 |
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Swishchuk Anatoliy
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| Cham : , : Springer International Publishing : , : Imprint : Springer, , 2016 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Complex Systems in Finance and Econometrics [[electronic resource] /] / edited by Robert A. Meyers
| Complex Systems in Finance and Econometrics [[electronic resource] /] / edited by Robert A. Meyers |
| Edizione | [1st ed. 2011.] |
| Pubbl/distr/stampa | New York, NY : , : Springer New York : , : Imprint : Springer, , 2011 |
| Descrizione fisica | 1 online resource (282 illus., 100 illus. in color. eReference.) |
| Disciplina | 330.015195 |
| Collana | Springer reference |
| Soggetto topico |
Finance
Economics, Mathematical Statistical physics Dynamical systems Econometrics Finance, general Quantitative Finance Complex Systems Statistical Physics and Dynamical Systems |
| ISBN | 1-4419-7701-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | 47 entries drawn from three sections of the Encyclopedia of Complexity -- Agent Based Modeling and Simulation -- Finance and Econometrics -- System Dynamics. |
| Record Nr. | UNINA-9910484592603321 |
| New York, NY : , : Springer New York : , : Imprint : Springer, , 2011 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Computational finance : an introductory course with R / / by Argimiro Arratia
| Computational finance : an introductory course with R / / by Argimiro Arratia |
| Autore | Arratia Argimiro |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Paris : , : Atlantis Press : , : Imprint : Atlantis Press, , 2014 |
| Descrizione fisica | 1 online resource (X, 301 p. 41 illus., 26 illus. in color.) |
| Disciplina | 332 |
| Collana | Atlantis Studies in Computational Finance and Financial Engineering |
| Soggetto topico |
R (Llenguatge de programació)
Finances - Informàtica Finances - Models matemàtics R (Computer program language) Computer simulation Statistics Economics, Mathematical Macroeconomics Simulation and Modeling Statistics for Business, Management, Economics, Finance, Insurance Quantitative Finance Macroeconomics/Monetary Economics//Financial Economics Statistics and Computing/Statistics Programs |
| ISBN | 94-6239-070-3 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | An abridged introduction to finance -- Statistics of financial time series -- Correlations, causalities and similarities -- Time series models in finance -- Brownian motion, binomial trees and Monte Carlo simulation -- Trade on pattern mining or value estimation -- Optimization heuristics in finance -- Portfolio optimization -- Online finance -- Appendix: The R programming environment. |
| Record Nr. | UNINA-9910298568803321 |
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Arratia Argimiro
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| Paris : , : Atlantis Press : , : Imprint : Atlantis Press, , 2014 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Consistency Problems for Heath-Jarrow-Morton Interest Rate Models [[electronic resource] /] / by Damir Filipovic
| Consistency Problems for Heath-Jarrow-Morton Interest Rate Models [[electronic resource] /] / by Damir Filipovic |
| Autore | Filipovic Damir |
| Edizione | [1st ed. 2001.] |
| Pubbl/distr/stampa | Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer, , 2001 |
| Descrizione fisica | 1 online resource (X, 138 p.) |
| Disciplina | 332.82015118 |
| Collana | Lecture Notes in Mathematics |
| Soggetto topico |
Applied mathematics
Engineering mathematics Finance Economics, Mathematical Probabilities Applications of Mathematics Finance, general Quantitative Finance Probability Theory and Stochastic Processes |
| ISBN | 3-540-44548-X |
| Classificazione |
91B28
60H15 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Introduction -- Stochastic Equations in Infinite Dimension -- Consistent State Space Processes -- The HJM Methodology Revisited -- The Forward Curve Spaces H_w -- Invariant Manifolds for Stochastic Equations -- Consistent HJM Models -- Appendix: A Summary of Conditions. |
| Record Nr. | UNISA-996466374803316 |
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Filipovic Damir
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| Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer, , 2001 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. di Salerno | ||
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Consistency Problems for Heath-Jarrow-Morton Interest Rate Models / / by Damir Filipovic
| Consistency Problems for Heath-Jarrow-Morton Interest Rate Models / / by Damir Filipovic |
| Autore | Filipovic Damir |
| Edizione | [1st ed. 2001.] |
| Pubbl/distr/stampa | Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer, , 2001 |
| Descrizione fisica | 1 online resource (X, 138 p.) |
| Disciplina | 332.82015118 |
| Collana | Lecture Notes in Mathematics |
| Soggetto topico |
Applied mathematics
Engineering mathematics Finance Economics, Mathematical Probabilities Applications of Mathematics Finance, general Quantitative Finance Probability Theory and Stochastic Processes |
| ISBN | 3-540-44548-X |
| Classificazione |
91B28
60H15 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Introduction -- Stochastic Equations in Infinite Dimension -- Consistent State Space Processes -- The HJM Methodology Revisited -- The Forward Curve Spaces H_w -- Invariant Manifolds for Stochastic Equations -- Consistent HJM Models -- Appendix: A Summary of Conditions. |
| Record Nr. | UNINA-9910144599403321 |
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Filipovic Damir
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| Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer, , 2001 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Contemporary Trends and Challenges in Finance : Proceedings from the 3rd Wroclaw International Conference in Finance / / edited by Krzysztof Jajuga, Hermann Locarek-Junge, Lucjan T. Orlowski
| Contemporary Trends and Challenges in Finance : Proceedings from the 3rd Wroclaw International Conference in Finance / / edited by Krzysztof Jajuga, Hermann Locarek-Junge, Lucjan T. Orlowski |
| Edizione | [1st ed. 2018.] |
| Pubbl/distr/stampa | Cham : , : Springer International Publishing : , : Imprint : Springer, , 2018 |
| Descrizione fisica | 1 online resource (xiii, 251 pages) |
| Disciplina | 332 |
| Collana | Springer Proceedings in Business and Economics |
| Soggetto topico |
Corporations—Finance
Business enterprises—Finance Bank marketing Macroeconomics Economics, Mathematical Corporate Finance Business Finance Financial Services Macroeconomics/Monetary Economics//Financial Economics Quantitative Finance |
| ISBN | 3-319-76228-1 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Part I: Econometrics of Financial Markets -- Information Asymmetry, Liquidity and the Dynamic Volume-Return Relation in Panel Data Analysis -- Density forecasts of emerging markets’ exchange rates using Monte Carlo simulation with regime switching -- Determination of the own funds requirements for the risk of binary options -- Part II: Stock Market Investments -- Relationships between returns in EU equity markets in 2005-2016: implications for portfolio risk diversification -- The relationships between beta coefficients in the classical and downside framework: Evidence from Warsaw Stock Exchange -- Intraday Trading Patterns on the Warsaw Stock Exchange -- Testing Stability of Correlations between Liquidity Proxies Derived from Intraday Data on the Warsaw Stock Exchange -- Validating Downside Accounting Beta: Evidence from the Polish Construction Industry -- Part III: International Finance -- Application of S-curve and modified S-curve in transition economies’ GDP forecasting. Visegrad Four countries case -- Financialization of commodity markets -- Part IV: Banking -- The production or intermediation approach? ‒ it matters -- Competitiveness and Concentration of the Banking Sector as a Measure of Banks’ Credit Ratings -- Different approaches to regulatory capital calculation for operational risk -- Assessment of Systemic Risk in the Polish Banking Industry -- Contemporary Challenges in the Asset Liability Management -- Part V: Corporate Finance -- Does it pay off to change the CEO? Changes in operating performance - preliminary results -- The capitalistic firm as a system that produces economic and social values -- Corporate cash holdings and tax changes. Evidence from some CEE countries -- Determinants of Capital Structure across European Countries -- Profitability of serial acquirers on the Polish capital market -- Failure Models for Insolvency and Bankruptcy -- Part VI: Personal Finance -- Parental Influence on Financial Knowledge of University Students -- Does Households’ Financial Well-being Determine the Levels of Their Sight Deposits under Turmoil? |
| Record Nr. | UNINA-9910299659903321 |
| Cham : , : Springer International Publishing : , : Imprint : Springer, , 2018 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Contemporary Trends and Challenges in Finance : Proceedings from the 2nd Wroclaw International Conference in Finance / / edited by Krzysztof Jajuga, Lucjan T. Orlowski, Karsten Staehr
| Contemporary Trends and Challenges in Finance : Proceedings from the 2nd Wroclaw International Conference in Finance / / edited by Krzysztof Jajuga, Lucjan T. Orlowski, Karsten Staehr |
| Edizione | [1st ed. 2017.] |
| Pubbl/distr/stampa | Cham : , : Springer International Publishing : , : Imprint : Springer, , 2017 |
| Descrizione fisica | 1 online resource (XIII, 320 p. 48 illus., 15 illus. in color.) |
| Disciplina | 332 |
| Collana | Springer Proceedings in Business and Economics |
| Soggetto topico |
Finance
Business enterprises—Finance Macroeconomics Economics, Mathematical Finance, general Business Finance Macroeconomics/Monetary Economics//Financial Economics Quantitative Finance |
| ISBN | 3-319-54885-9 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Part I. Econometrics of Financial Markets -- 1. Chosen Measures for Pricing of Liquidity -- 2. Not as Black as Is Painted? Influence of sCDS Market on Domestic Financial Market’s before and after the Ban on Naked sCDS Trade -- 3. Determinants of the Spread between POLONIA Rate and the Refer-ence Rate – Dynamic Model Averaging Approach -- 4. World Natural Gas Markets: Characteristics, Basic Properties and Linkages of Natural Gas Prices -- 5. Are Major Currencies Hedges or Safe Havens for Polish Stocks and Bonds? -- 6. Copper Price Discovery on COMEX, 2006–2015 -- 7. A Copula Approach to Backward-Looking Factors in Market Based Inflation Expectations -- Part II: Stock Market Investments -- 8. Risk Parity Portfolios for the Grouped Stocks -- 9. Order Imbalance Indicators in Asset Pricing: Evidence from the Warsaw Stock Exchange -- 10. Interaction Between Market Depth and Market Tightness on the Warsaw Stock Exchange: A Preliminary Study -- 11. Investment Opportunities in the WSE: Bull versus Bear Markets -- Part III: Macrofinance -- 12. Development of Financial Systems in 1995-2014 – A Factor Analysis -- 13. Measuring Systemic Risk with CoVaR Using a Stock Market Data Based Approach -- 14. The Quality of Financial Information and Stock Market Develop-ment: A Panel Data Study for the European Economies -- 15. Impacts of Urban Environmental Attributes on Residential Hous-ing Prices in Warsaw (Poland) – Spatial Hedonic Analysis of City Dis-tricts -- 16. Macro- and Microprudential Regulations and their Effects on Pro-cyclicality of Solvency and Liquidity Risk -- Part IV: Banks and other Financial Institutions -- 17. Balance Sheet Shaping through Decision Model and the Role of the Funds Transfer Pricing Process -- 18. Testing VaR under Basel III with Application to No Failure Setting -- 19. Factors of Influence on Relationship Banking of Polish Firms -- 20. Bootstrap Mean Squared Error of Prediction in Loss Reserving -- 21. Mixture Cure Models in Prediction of Time to Default: Comparison with Logit and Cox models -- Part V: Public Finance -- 22. A New Business Model in Health Care Between Public and Pri-vate: Low Cost High Value Healthcare -- 23. The Heterogeneous Diversity of the Real Estate Transfer Tax in the EU -- 24. Impact of Financial Policies of Local Authorities on Entrepreneur-ship: Comprehensiveness of Policy Matters -- Part VI: Corporate Finance -- 25. Are Capital Structure Determinants Different Depending on Firm Size and Debt Maturity? Evidence form European Panel Data -- 26. Value Creation in a Firm through Coopetition. Real Options Games Approach -- Part VII: Household Finance -- 27. Does a Household’s Wealth Determine the Risk Profile of Its Fi-nancial Asset Portfolio? -- 28. Supporting Family To Their Utmost –People’s Over the Age of 50 Attitudes to Borrowing. |
| Record Nr. | UNINA-9910255032003321 |
| Cham : , : Springer International Publishing : , : Imprint : Springer, , 2017 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Continuous-Time Asset Pricing Theory : A Martingale-Based Approach / / by Robert A. Jarrow
| Continuous-Time Asset Pricing Theory : A Martingale-Based Approach / / by Robert A. Jarrow |
| Autore | Jarrow Robert A |
| Edizione | [1st ed. 2018.] |
| Pubbl/distr/stampa | Cham : , : Springer International Publishing : , : Imprint : Springer, , 2018 |
| Descrizione fisica | 1 online resource (XXIII, 448 p.) |
| Disciplina | 519 |
| Collana | Springer Finance Textbooks |
| Soggetto topico |
Economics, Mathematical
Probabilities Mathematical optimization Finance—Mathematics Quantitative Finance Probability Theory and Stochastic Processes Optimization Financial Mathematics |
| ISBN | 3-319-77821-8 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Preface -- Contents -- Part I Arbitrage Pricing Theory -- Part II Portfolio Optimization. - Part III Equilibrium. - Part IV Trading Constraints. - References -- Index. |
| Record Nr. | UNINA-9910799494903321 |
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Jarrow Robert A
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| Cham : , : Springer International Publishing : , : Imprint : Springer, , 2018 | ||
| 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)