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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 |
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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Computational Management Science [[electronic resource] ] : State of the Art 2014 / / edited by Raquel J. Fonseca, Gerhard-Wilhelm Weber, João Telhada
| Computational Management Science [[electronic resource] ] : State of the Art 2014 / / edited by Raquel J. Fonseca, Gerhard-Wilhelm Weber, João Telhada |
| Edizione | [1st ed. 2016.] |
| Pubbl/distr/stampa | Cham : , : Springer International Publishing : , : Imprint : Springer, , 2016 |
| Descrizione fisica | 1 online resource (249 p.) |
| Disciplina | 658.05416 |
| Collana | Lecture Notes in Economics and Mathematical Systems |
| Soggetto topico |
Operations research
Decision making Management science Energy policy Energy and state Economics, Mathematical Operations Research/Decision Theory Operations Research, Management Science Energy Policy, Economics and Management Quantitative Finance |
| ISBN | 3-319-20430-0 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Part I: Energy -- Part II: Logistics -- Part III: Production -- Part IV: Optimization Methods. |
| Record Nr. | UNINA-9910254931603321 |
| Cham : , : Springer International Publishing : , : Imprint : Springer, , 2016 | ||
| 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. | 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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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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Contemporary Trends and Challenges in Finance [[electronic resource] ] : 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 [[electronic resource] ] : 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 [[electronic resource] ] : Proceedings from the 2nd Wroclaw International Conference in Finance / / edited by Krzysztof Jajuga, Lucjan T. Orlowski, Karsten Staehr
| Contemporary Trends and Challenges in Finance [[electronic resource] ] : 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 [[electronic resource] ] : A Martingale-Based Approach / / by Robert A. Jarrow
| Continuous-Time Asset Pricing Theory [[electronic resource] ] : 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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Contract theory in continuous-time models [[electronic resource] /] / by Jakša Cvitanic, Jianfeng Zhang
| Contract theory in continuous-time models [[electronic resource] /] / by Jakša Cvitanic, Jianfeng Zhang |
| Autore | Cvitanic Jakša |
| Edizione | [1st ed. 2013.] |
| Pubbl/distr/stampa | Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer, , 2013 |
| Descrizione fisica | 1 online resource (257 p.) |
| Disciplina | 332.01519233 |
| Collana | Springer Finance |
| Soggetto topico |
Economics, Mathematical
Game theory System theory Quantitative Finance Game Theory, Economics, Social and Behav. Sciences Systems Theory, Control |
| ISBN |
1-283-64047-3
3-642-14200-1 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Preface -- PART I Introduction: 1.The Principal-Agent Problem -- 2.Single-Period Examples -- PART II First Best. Risk Sharing under Full Information: 3.Linear Models with Project Selection, and Preview of Results -- 4.The General Risk Sharing Problem -- PART III Second Best. Contracting Under Hidden Action- The Case of Moral Hazard: 5.The General Moral Hazard Problem -- 6.DeMarzo and Sannikov (2007), Biais et al (2007) – An Application to Capital Structure Problems: Optimal Financing of a Company -- PART IV Third Best. Contracting Under Hidden Action and Hidden Type – The Case of Moral Hazard and Adverse Selection: 7.Controlling the Drift -- 8.Controlling the Volatility-Drift Trade-Off with the First-Best -- PART IV Appendix: Backward SDEs and Forward-Backward SDEs -- 9.Introduction -- 10.Backward SDEs -- 11.Decoupled Forward Backward SDEs -- 12.Coupled Forward Backward SDEs -- References -- Index. |
| Record Nr. | UNINA-9910438142803321 |
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Cvitanic Jakša
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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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Convex Duality and Financial Mathematics [[electronic resource] /] / by Peter Carr, Qiji Jim Zhu
| Convex Duality and Financial Mathematics [[electronic resource] /] / by Peter Carr, Qiji Jim Zhu |
| Autore | Carr Peter |
| Edizione | [1st ed. 2018.] |
| Pubbl/distr/stampa | Cham : , : Springer International Publishing : , : Imprint : Springer, , 2018 |
| Descrizione fisica | 1 online resource (XIII, 152 p. 26 illus. in color.) |
| Disciplina | 650.01513 |
| Collana | SpringerBriefs in Mathematics |
| Soggetto topico |
Economics, Mathematical
Game theory Operations research Management science Functions of real variables Quantitative Finance Game Theory, Economics, Social and Behav. Sciences Operations Research, Management Science Real Functions |
| ISBN | 3-319-92492-3 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | 1. Convex Duality -- 2. Financial Models in One Period -- 3. Finite Period Financial Models -- 4. Continuous Financial Models -- References. |
| Record Nr. | UNINA-9910300099903321 |
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Carr Peter
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| Cham : , : Springer International Publishing : , : Imprint : Springer, , 2018 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Copulae in Mathematical and Quantitative Finance [[electronic resource] ] : Proceedings of the Workshop Held in Cracow, 10-11 July 2012 / / edited by Piotr Jaworski, Fabrizio Durante, Wolfgang Karl Härdle
| Copulae in Mathematical and Quantitative Finance [[electronic resource] ] : Proceedings of the Workshop Held in Cracow, 10-11 July 2012 / / edited by Piotr Jaworski, Fabrizio Durante, Wolfgang Karl Härdle |
| Edizione | [1st ed. 2013.] |
| Pubbl/distr/stampa | Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer, , 2013 |
| Descrizione fisica | 1 online resource (299 p.) |
| Disciplina | 332.015195 |
| Collana | Lecture Notes in Statistics - Proceedings |
| Soggetto topico |
Statistics
Economics, Mathematical Probabilities Macroeconomics Statistics for Business, Management, Economics, Finance, Insurance Quantitative Finance Probability Theory and Stochastic Processes Macroeconomics/Monetary Economics//Financial Economics |
| ISBN | 3-642-35407-6 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | A Convolution-based Autoregressive Process by Umberto Cherubini and Fabio Gobbi -- Selection of Vine Copulas by Claudia Czado, Eike Christian Brechmann and Lutz Gruber -- Copulas in Machine Learning by Gal Elidan -- An Overview of the Goodness-of-fit Test problem for Copulas by Jean-David Fermanian -- Assessing and Modeling Asymmetry in Bivariate Continuous data by Christian Genest and Johanna G. Nešehová -- Modeling Time-Varying Dependencies between Positive-Valued High-Frequency Time Series by Nikolaus Hautsch, Ostap Okhrin and Alexander Ristig -- The Limiting Properties of Copulas under Univariate Conditioning by Piotr Jaworski -- Singular Mixture Copulas by Dominic Lauterbach and Dietmar Pfeifer -- Toward a Copula Theory for Multivariate Regular Variation by Haijun Li -- CIID Frailty Models and Implied Copulas by Jan-Frederik Mai, Matthias Scherer and Rudi Zagst -- Copula-based Models for Multivariate Discrete Response Data by Aristidis K. Nikoloulopoulos -- Vector Generalized Linear Models: A Gaussian Copula Approach by Peter X -- K. Song, Mingyao Li and Peng Zhang -- APPENDIX A: Gaussian-Hermite Quadrature -- APPENDIX B: AREs of GEE and VGLM for binary -- Application of Bernstein Copulas to the Pricing of Multi-asset Derivatives by Bertrand Tavin. |
| Record Nr. | UNINA-9910739410803321 |
| 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
(239)
- Quantitative Finance (239)
- Probabilities (75)
- Probability Theory and Stochastic Processes (75)
- Statistics (69)