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Identifying Patterns in Financial Markets : New Approach Combining Rules Between PIPs and SAX / / by João Leitão, Rui Ferreira Neves, Nuno C.G. Horta
| Identifying Patterns in Financial Markets : New Approach Combining Rules Between PIPs and SAX / / by João Leitão, Rui Ferreira Neves, Nuno C.G. Horta |
| Autore | Leitão João |
| Edizione | [1st ed. 2018.] |
| Pubbl/distr/stampa | Cham : , : Springer International Publishing : , : Imprint : Springer, , 2018 |
| Descrizione fisica | 1 online resource (XVII, 66 p. 69 illus.) |
| Disciplina | 519.7 |
| Collana | SpringerBriefs in Computational Intelligence |
| Soggetto topico |
Computational intelligence
Algorithms Economics, Mathematical Pattern recognition Computational Intelligence Algorithm Analysis and Problem Complexity Quantitative Finance Pattern Recognition |
| ISBN | 3-319-70160-6 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Introduction -- Related Work -- SIR/GA approach -- Case studies. |
| Record Nr. | UNINA-9910299890603321 |
Leitão João
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| Cham : , : Springer International Publishing : , : Imprint : Springer, , 2018 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Identifying Stock Market Bubbles : Modeling Illiquidity Premium and Bid-Ask Prices of Financial Securities / / by Azar Karimov
| Identifying Stock Market Bubbles : Modeling Illiquidity Premium and Bid-Ask Prices of Financial Securities / / by Azar Karimov |
| Autore | Karimov Azar |
| Edizione | [1st ed. 2017.] |
| Pubbl/distr/stampa | Cham : , : Springer International Publishing : , : Imprint : Springer, , 2017 |
| Descrizione fisica | 1 online resource (XXI, 131 p. 30 illus.) |
| Disciplina | 332.642 |
| Collana | Contributions to Management Science |
| Soggetto topico |
Risk management
Operations research Decision making Economics, Mathematical Macroeconomics Statistics Financial engineering Risk Management Operations Research/Decision Theory Quantitative Finance Macroeconomics/Monetary Economics//Financial Economics Statistics for Business, Management, Economics, Finance, Insurance Financial Engineering |
| ISBN | 3-319-65009-2 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Introduction -- Review on Research Conducted -- Theory of Conic Finance -- Stock Prices Follow a Brownian Motion -- Stock Prices Follow a Double Exponential Jump-Diffusion Model -- Numerical Implementation and Parameter Estimation Under Kou Model -- Illiquidity Premium and Connection with Financial Bubbles -- Conclusion and Future Outlook. . |
| Record Nr. | UNINA-9910255039703321 |
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Karimov Azar
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| Cham : , : Springer International Publishing : , : Imprint : Springer, , 2017 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Illustrating Finance Policy with Mathematica / / by Nicholas L. Georgakopoulos
| Illustrating Finance Policy with Mathematica / / by Nicholas L. Georgakopoulos |
| Autore | Georgakopoulos Nicholas L |
| Edizione | [1st ed. 2018.] |
| Pubbl/distr/stampa | Cham : , : Springer International Publishing : , : Imprint : Palgrave Macmillan, , 2018 |
| Descrizione fisica | 1 online resource (252 pages) |
| Disciplina | 332.015195 |
| Collana | Quantitative Perspectives on Behavioral Economics and Finance |
| Soggetto topico |
Economic theory
Economics, Mathematical Public finance Law and economics Capital market Dret mercantil Finances públiques Dret i economia Mercats financers Commercial law Economic Theory/Quantitative Economics/Mathematical Methods Quantitative Finance Financial Law/Fiscal Law Law and Economics Capital Markets Commercial Law |
| ISBN | 3-319-95372-9 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | 1. The Non-Graphical Foundation: Coase and the Law’s Irrelevance -- 2. Introduction to Mathematica: Hello World in Text and Graphics -- 3. The Mathematical Frontier: Trigonometry, Derivatives, Optima, Differential Equations -- 4. Money and Time -- 5. The Capital Asset Pricing Model -- 6. Options -- 7. Illustrating Statistical Data -- 8. Probability Theory: Imperfect Observations -- 9. Financial Statements and Mergers -- 10. Aversion to Risk -- 11. Financial Crisis Contagion. |
| Record Nr. | UNINA-9910299639603321 |
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Georgakopoulos Nicholas L
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| Cham : , : Springer International Publishing : , : Imprint : Palgrave Macmillan, , 2018 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Independent Random Sampling Methods / / by Luca Martino, David Luengo, Joaquín Míguez
| Independent Random Sampling Methods / / by Luca Martino, David Luengo, Joaquín Míguez |
| Autore | Martino Luca |
| Edizione | [1st ed. 2018.] |
| Pubbl/distr/stampa | Cham : , : Springer International Publishing : , : Imprint : Springer, , 2018 |
| Descrizione fisica | 1 online resource (xii, 280 pages) |
| Disciplina | 519.52 |
| Collana | Statistics and Computing |
| Soggetto topico |
Statistics
Computer science—Mathematics Economics, Mathematical Statistics and Computing/Statistics Programs Mathematics of Computing Quantitative Finance Statistical Theory and Methods Statistics for Engineering, Physics, Computer Science, Chemistry and Earth Sciences |
| ISBN | 3-319-72634-X |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Introduction -- Direct methods -- Accept-Reject methods -- Adaptive rejection sampling methods -- Ratio of Uniforms -- Independent sampling for multivariate densities -- Asymptotically independent samplers -- Summary and outlook -- A. Acronyms and abbrevations -- B. Notation -- C. Jones' RoU generalization -- D. Polar transformation. |
| Record Nr. | UNINA-9910300101703321 |
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Martino Luca
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| Cham : , : Springer International Publishing : , : Imprint : Springer, , 2018 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Innovations in Derivatives Markets [[electronic resource] ] : Fixed Income Modeling, Valuation Adjustments, Risk Management, and Regulation / / edited by Kathrin Glau, Zorana Grbac, Matthias Scherer, Rudi Zagst
| Innovations in Derivatives Markets [[electronic resource] ] : Fixed Income Modeling, Valuation Adjustments, Risk Management, and Regulation / / edited by Kathrin Glau, Zorana Grbac, Matthias Scherer, Rudi Zagst |
| Edizione | [1st ed. 2016.] |
| Pubbl/distr/stampa | Cham : , : Springer International Publishing : , : Imprint : Springer, , 2016 |
| Descrizione fisica | 1 online resource (X, 449 p. 68 illus., 43 illus. in color.) |
| Disciplina | 519 |
| Collana | Springer Proceedings in Mathematics & Statistics |
| Soggetto topico |
Economics, Mathematical
Banks and banking Statistics Mathematical models Probabilities Financial engineering Quantitative Finance Banking Statistics for Business, Management, Economics, Finance, Insurance Mathematical Modeling and Industrial Mathematics Probability Theory and Stochastic Processes Financial Engineering |
| ISBN | 3-319-33446-8 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Foreword -- Preface -- Part I: Valuation Adjustments -- Part II: Fixed Income Modeling -- Part III: Financial Engineering. . |
| Record Nr. | UNINA-9910166651303321 |
| Cham : , : Springer International Publishing : , : Imprint : Springer, , 2016 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Innovations in Quantitative Risk Management [[electronic resource] ] : TU München, September 2013 / / edited by Kathrin Glau, Matthias Scherer, Rudi Zagst
| Innovations in Quantitative Risk Management [[electronic resource] ] : TU München, September 2013 / / edited by Kathrin Glau, Matthias Scherer, Rudi Zagst |
| Autore | Glau Kathrin |
| Edizione | [1st ed. 2015.] |
| Pubbl/distr/stampa | Cham, : Springer Nature, 2015 |
| Descrizione fisica | 1 online resource (xi, 438 pages) : illustrations; digital, PDF file(s) |
| Disciplina | 658.155 |
| Collana | Springer Proceedings in Mathematics & Statistics |
| Soggetto topico |
Economics, Mathematical
Game theory Finance Actuarial science Quantitative Finance Game Theory, Economics, Social and Behav. Sciences Finance, general Actuarial Sciences |
| Soggetto non controllato |
Quantitative Finance
Game Theory, Economics, Social and Behav. Sciences Finance/Investment/Banking Actuarial Sciences |
| ISBN |
9783319091143 (ebook)
9783319091136 (hardback) |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Part I Markets, Regulation, and Model Risk -- A Random Holding Period Approach for Liquidity-Inclusive Risk Management -- Regulatory Developments in Risk Management: Restoring Confidence in Internal Models -- Model Risk in Incomplete Markets with Jumps -- Part II Financial Engineering -- Bid-Ask Spread for Exotic Options Under Conic Finance -- Derivative Pricing Under the Possibility of Long Memory in the supOU Stochastic Volatility Model -- A Two-Sided BNS Model for Multicurrency FX Markets -- Modeling the Price of Natural Gas with Temperature and Oil Price as Exogenous Factors -- Copula-Specific Credit Portfolio Modeling -- Implied Recovery Rates—Auctions and Models -- Upside and Downside Risk Exposures of Currency Carry Trades via Tail Dependence -- Part III Insurance Risk and Asset Management -- Participating Life Insurance Contracts Under Risk Based Solvency Frameworks: How to Increase Capital Efficiency by Product Design -- Reducing Surrender Incentives Through Fee Structure in Variable Annuities -- A Variational Approach for Mean-Variance-Optimal Deterministic Consumption and Investment -- Risk Control in Asset Management: Motives and Concepts -- Worst-Case Scenario Portfolio Optimization Given the Probability of a Crash -- Improving Optimal Terminal Value Replicating Portfolios -- Part IV Computational Methods for Risk Management -- Risk and Computation -- Extreme Value Importance Sampling for Rare Event Risk Measurement -- A Note on the Numerical Evaluation of the Hartman–Watson Density and Distribution Function -- Computation of Copulas by Fourier Methods -- Part V Dependence Modelling -- Goodness-of-fit Tests for Archimedean Copulas in High Dimensions -- Duality in Risk Aggregation -- Some Consequences of the Markov Kernel Perspective of Copulas -- Copula Representations for Invariant Dependence Functions -- Nonparametric Copula Density Estimation Using a Petrov–Galerkin Projection. |
| Record Nr. | UNINA-9910132289903321 |
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Glau Kathrin
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| Cham, : Springer Nature, 2015 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Innovations in Quantitative Risk Management [[electronic resource] ] : TU München, September 2013 / / edited by Kathrin Glau, Matthias Scherer, Rudi Zagst
| Innovations in Quantitative Risk Management [[electronic resource] ] : TU München, September 2013 / / edited by Kathrin Glau, Matthias Scherer, Rudi Zagst |
| Autore | Glau Kathrin |
| Edizione | [1st ed. 2015.] |
| Pubbl/distr/stampa | Cham, : Springer Nature, 2015 |
| Descrizione fisica | 1 online resource (xi, 438 pages) : illustrations; digital, PDF file(s) |
| Disciplina | 658.155 |
| Collana | Springer Proceedings in Mathematics & Statistics |
| Soggetto topico |
Economics, Mathematical
Game theory Finance Actuarial science Quantitative Finance Game Theory, Economics, Social and Behav. Sciences Finance, general Actuarial Sciences |
| Soggetto non controllato |
Quantitative Finance
Game Theory, Economics, Social and Behav. Sciences Finance/Investment/Banking Actuarial Sciences |
| ISBN |
9783319091143 (ebook)
9783319091136 (hardback) |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Part I Markets, Regulation, and Model Risk -- A Random Holding Period Approach for Liquidity-Inclusive Risk Management -- Regulatory Developments in Risk Management: Restoring Confidence in Internal Models -- Model Risk in Incomplete Markets with Jumps -- Part II Financial Engineering -- Bid-Ask Spread for Exotic Options Under Conic Finance -- Derivative Pricing Under the Possibility of Long Memory in the supOU Stochastic Volatility Model -- A Two-Sided BNS Model for Multicurrency FX Markets -- Modeling the Price of Natural Gas with Temperature and Oil Price as Exogenous Factors -- Copula-Specific Credit Portfolio Modeling -- Implied Recovery Rates—Auctions and Models -- Upside and Downside Risk Exposures of Currency Carry Trades via Tail Dependence -- Part III Insurance Risk and Asset Management -- Participating Life Insurance Contracts Under Risk Based Solvency Frameworks: How to Increase Capital Efficiency by Product Design -- Reducing Surrender Incentives Through Fee Structure in Variable Annuities -- A Variational Approach for Mean-Variance-Optimal Deterministic Consumption and Investment -- Risk Control in Asset Management: Motives and Concepts -- Worst-Case Scenario Portfolio Optimization Given the Probability of a Crash -- Improving Optimal Terminal Value Replicating Portfolios -- Part IV Computational Methods for Risk Management -- Risk and Computation -- Extreme Value Importance Sampling for Rare Event Risk Measurement -- A Note on the Numerical Evaluation of the Hartman–Watson Density and Distribution Function -- Computation of Copulas by Fourier Methods -- Part V Dependence Modelling -- Goodness-of-fit Tests for Archimedean Copulas in High Dimensions -- Duality in Risk Aggregation -- Some Consequences of the Markov Kernel Perspective of Copulas -- Copula Representations for Invariant Dependence Functions -- Nonparametric Copula Density Estimation Using a Petrov–Galerkin Projection. |
| Record Nr. | UNISA-996213775103316 |
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Glau Kathrin
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| Cham, : Springer Nature, 2015 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. di Salerno | ||
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Inside Company Valuation / / by Angelo Corelli
| Inside Company Valuation / / by Angelo Corelli |
| Autore | Corelli Angelo |
| Edizione | [1st ed. 2017.] |
| Pubbl/distr/stampa | Cham : , : Springer International Publishing : , : Imprint : Springer, , 2017 |
| Descrizione fisica | 1 online resource (XIII, 68 p.) |
| Disciplina | 658.15 |
| Collana | SpringerBriefs in Finance |
| Soggetto topico |
Corporations—Finance
Business enterprises—Finance Economics, Mathematical Corporate Finance Business Finance Quantitative Finance |
| ISBN | 3-319-53783-0 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Preface -- The Value of the Firm -- Dividend-Based Valuation -- Free-Cash-Flow-Based Valuation -- The Valuation of Private Firms -- A Real Case: Facebook. |
| Record Nr. | UNINA-9910255024003321 |
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Corelli Angelo
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| Cham : , : Springer International Publishing : , : Imprint : Springer, , 2017 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Interest Rate Modeling: Post-Crisis Challenges and Approaches / / by Zorana Grbac, Wolfgang Runggaldier
| Interest Rate Modeling: Post-Crisis Challenges and Approaches / / by Zorana Grbac, Wolfgang Runggaldier |
| Autore | Grbac Zorana |
| Edizione | [1st ed. 2015.] |
| Pubbl/distr/stampa | Cham : , : Springer International Publishing : , : Imprint : Springer, , 2015 |
| Descrizione fisica | 1 online resource (151 p.) |
| Disciplina | 332.82015118 |
| Collana | SpringerBriefs in Quantitative Finance |
| Soggetto topico |
Economics, Mathematical
Game theory Quantitative Finance Game Theory, Economics, Social and Behav. Sciences |
| ISBN | 3-319-25385-9 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Preface; Contents; 1 Post-Crisis Fixed-Income Markets; 1.1 Types of Interest Rates and Market Conventions; 1.1.1 Basic Interest Rates: Libor/Euribor, Eonia/FF and OIS Rates; 1.2 Implications of the Crisis; 1.2.1 Spreads and Their Interpretation: Credit and Liquidity Risk; 1.2.2 From Unsecured to Secured Transactions; 1.2.3 Clean Prices Versus Global Prices; 1.3 The New Paradigm: Multiple Curves at All Levels; 1.3.1 Choice of the Discount Curve; 1.3.2 Standard Martingale Measure and Forward Measures Related to OIS Bonds; 1.4 Interest Rate Derivatives; 1.4.1 Forward Rate Agreements
1.4.2 Fixed and Floating Rate Bonds1.4.3 Interest Rate Swaps; 1.4.4 Overnight Indexed Swaps (OIS); 1.4.5 Basis Swaps; 1.4.6 Caps and Floors; 1.4.7 Swaptions; 2 Short-Rate and Rational Pricing Kernel Models for Multiple Curves; 2.1 Exponentially Affine Factor Models; 2.1.1 The Factor Model and Properties; 2.1.2 Technical Preliminaries; 2.1.3 Explicit Representation of the Libor Rate; 2.2 Gaussian, Exponentially Quadratic Models; 2.3 Pricing of FRAs and Other Linear Derivatives; 2.3.1 Computation of FRA Prices and FRA Rates; 2.3.2 Adjustment Factors for FRAs; 2.4 Pricing of Caps and Floors 3.4.1 Linear Derivatives: Interest Rate Swaps3.4.2 Linear Derivatives: Specific Swaps and Ensuing Spreads; 3.4.3 Caps and Floors; 3.4.4 Swaptions; 3.5 Adjustment Factors; 3.5.1 Adjustment Factor for the Instantaneous Forward Rate Models; 3.5.2 Adjustment Factor for the HJM-LMM Forward Rate Model; 4 Multiple Curve Extensions of Libor Market Models (LMM); 4.1 Multi-curve Extended LMM; 4.1.1 Description of the Model; 4.1.2 Model Specifications; 4.2 Affine Libor Models with Multiple Curves; 4.2.1 The Driving Process and Its Properties; 4.2.2 The Model 4.2.3 Pricing in the Multiple Curve Affine Libor Model4.3 Multiplicative Spread Models; References |
| Record Nr. | UNINA-9910300246603321 |
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Grbac Zorana
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| Cham : , : Springer International Publishing : , : Imprint : Springer, , 2015 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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International Finance and Open-Economy Macroeconomics / / by Giancarlo Gandolfo
| International Finance and Open-Economy Macroeconomics / / by Giancarlo Gandolfo |
| Autore | Gandolfo Giancarlo |
| Edizione | [2nd ed. 2016.] |
| Pubbl/distr/stampa | Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer, , 2016 |
| Descrizione fisica | 1 online resource (XXI, 681 p. 50 illus.) |
| Disciplina | 337 |
| Collana | Springer Texts in Business and Economics |
| Soggetto topico |
Macroeconomics
International economics Economics, Mathematical Macroeconomics/Monetary Economics//Financial Economics International Economics Quantitative Finance |
| ISBN |
978-3-662-49860-6
3-662-49862-6 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | I Introduction -- International Finance and International Macroeconomics: An overview -- II The Basics -- The Foreign Exchange Market -- Exchange-Rate Regimes -- International Interest-Rate Parity Conditions -- The Balance of Payments -- real and Financial Flows in an Open Economy -- III The Approaches -- The Elasticity Approach -- The Multiplier Approach -- An Integrated Approach -- The Mundell-Fleming Model -- Policy Implications of the Mundell-Fleming Model -- IV Stock and Stock-Flow Approaches -- The Monetary Approach to the BP and Related Approaches -- Portfolio and Macroeconomic Equilibrium in an Open Economy -- Growth in an Open Economy -- V The Exchange Rate -- Exchange-Rate Determination -- Capital Movements, Speculation, and Currency Crises -- Fixed vs Flexible Exchange Rates -- VI The Intertemporal Approach -- The Intertemporal Approach, and the Real Exchange Rate -- Other Applications -- VII International Monetary Integration -- International Monetary Integration -- The European Monetary Union -- VIII Problems of the International Monetary (Non)System -- Key Events in the Postwar International Monetary System -- International Liquidity, and Xeno-Markets -- Current Problems. |
| Record Nr. | UNINA-9910254888103321 |
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Gandolfo Giancarlo
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| Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer, , 2016 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Soggetto topico
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Economics, Mathematical
(197)
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- Probabilities (59)
- Probability Theory and Stochastic Processes (59)
- Statistics (55)