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Handbook in Monte Carlo simulation : applications in financial engineering, risk management, and economics / / Paolo Brandimarte
| Handbook in Monte Carlo simulation : applications in financial engineering, risk management, and economics / / Paolo Brandimarte |
| Autore | Brandimarte Paolo |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Hoboken, New Jersey : , : Wiley, , 2014 |
| Descrizione fisica | 1 online resource (685 p.) |
| Disciplina | 330.01/518282 |
| Collana | Wiley Handbooks in Financial Engineering and Econometrics |
| Soggetto topico |
Finance - Mathematical models
Economics - Mathematical models Monte Carlo method |
| ISBN |
1-118-59451-7
1-118-59326-X 1-118-59364-2 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Cover; Title Page; Copyright Page; Contents; Preface; Part I Overview and Motivation; 1 Introduction to Monte Carlo Methods; 1.1 Historical origin of Monte Carlo simulation; 1.2 Monte Carlo simulation vs. Monte Carlo sampling; 1.3 System dynamics and the mechanics of Monte Carlo simulation; 1.3.1 Discrete-time models; 1.3.2 Continuous-time models; 1.3.3 Discrete-event models; 1.4 Simulation and optimization; 1.4.1 Nonconvex optimization; 1.4.2 Stochastic optimization; 1.4.3 Stochastic dynamic programming; 1.5 Pitfalls in Monte Carlo simulation; 1.5.1 Technical issues
1.5.2 Philosophical issues1.6 Software tools for Monte Carlo simulation; 1.7 Prerequisites; 1.7.1 Mathematical background; 1.7.2 Financial background; 1.7.3 Technical background; For further reading; References; 2 Numerical Integration Methods; 2.1 Classical quadrature formulas; 2.1.1 The rectangle rule; 2.1.2 Interpolatory quadrature formulas; 2.1.3 An alternative derivation; 2.2 Gaussian quadrature; 2.2.1 Theory of Gaussian quadrature: The role of orthogonal polynomials; 2.2.2 Gaussian quadrature in R; 2.3 Extension to higher dimensions: Product rules 2.4 Alternative approaches for high-dimensional integration2.4.1 Monte Carlo integration; 2.4.2 Low-discrepancy sequences; 2.4.3 Lattice methods; 2.5 Relationship with moment matching; 2.5.1 Binomial lattices; 2.5.2 Scenario generation in stochastic programming; 2.6 Numerical integration in R; For further reading; References; Part II Input Analysis: Modeling and Estimation; 3 Stochastic Modeling in Finance and Economics; 3.1 Introductory examples; 3.1.1 Single-period portfolio optimization and modeling returns; 3.1.2 Consumption-saving with uncertain labor income 3.1.3 Continuous-time models for asset prices and interest rates3.2 Some common probability distributions; 3.2.1 Bernoulli, binomial, and geometric variables; 3.2.2 Exponential and Poisson distributions; 3.2.3 Normal and related distributions; 3.2.4 Beta distribution; 3.2.5 Gamma distribution; 3.2.6 Empirical distributions; 3.3 Multivariate distributions: Covariance and correlation; 3.3.1 Multivariate distributions; 3.3.2 Covariance and Pearson''s correlation; 3.3.3 R functions for covariance and correlation; 3.3.4 Some typical multivariate distributions; 3.4 Modeling dependence with copulas 3.4.1 Kendall''s tau and Spearman''s rho3.4.2 Tail dependence; 3.5 Linear regression models: A probabilistic view; 3.6 Time series models; 3.6.1 Moving-average processes; 3.6.2 Autoregressive processes; 3.6.3 ARMA and ARIMA processes; 3.6.4 Vector autoregressive models; 3.6.5 Modeling stochastic volatility; 3.7 Stochastic differential equations; 3.7.1 From discrete to continuous time; 3.7.2 Standard Wiener process; 3.7.3 Stochastic integration and Itô''s lemma; 3.7.4 Geometric Brownian motion; 3.7.5 Generalizations; 3.8 Dimensionality reduction; 3.8.1 Principal component analysis (PCA) 3.8.2 Factor models |
| Record Nr. | UNINA-9910828142503321 |
Brandimarte Paolo
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| Hoboken, New Jersey : , : Wiley, , 2014 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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How economists model the world into numbers / / Marcel Boumans
| How economists model the world into numbers / / Marcel Boumans |
| Autore | Boumans Marcel |
| Pubbl/distr/stampa | London ; ; New York : , : Routledge, , 2005 |
| Descrizione fisica | 1 online resource (221 p.) |
| Disciplina | 330.015118 |
| Collana | Routledge INEM advances in economic methodology |
| Soggetto topico |
Economics, Mathematical
Economics - Mathematical models Econometrics Economics - Methodology - History - 20th century Economics, Mathematical - History - 20th century |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-134-28067-X
1-280-11412-6 0-203-32407-2 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Book Cover; Title; Copyright; Contents; 1 Introduction; 2 A new practice; 3 Autonomy; 4 Design of experiments; 5 Measurement; 6 Rigour; 7 Conclusions; Notes; Bibliography; Index |
| Record Nr. | UNINA-9910449784003321 |
|
Boumans Marcel
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||
| London ; ; New York : , : Routledge, , 2005 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
How economists model the world into numbers / / Marcel Boumans
| How economists model the world into numbers / / Marcel Boumans |
| Autore | Boumans Marcel |
| Pubbl/distr/stampa | London ; ; New York : , : Routledge, , 2005 |
| Descrizione fisica | 1 online resource (221 p.) |
| Disciplina | 330.015118 |
| Collana | Routledge INEM advances in economic methodology |
| Soggetto topico |
Economics, Mathematical
Economics - Mathematical models Econometrics Economics - Methodology - History - 20th century Economics, Mathematical - History - 20th century |
| ISBN |
1-134-28066-1
1-134-28067-X 1-280-11412-6 0-203-32407-2 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Book Cover; Title; Copyright; Contents; 1 Introduction; 2 A new practice; 3 Autonomy; 4 Design of experiments; 5 Measurement; 6 Rigour; 7 Conclusions; Notes; Bibliography; Index |
| Record Nr. | UNINA-9910783450203321 |
|
Boumans Marcel
|
||
| London ; ; New York : , : Routledge, , 2005 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
How economists model the world into numbers / / Marcel Boumans
| How economists model the world into numbers / / Marcel Boumans |
| Autore | Boumans Marcel |
| Pubbl/distr/stampa | London ; ; New York : , : Routledge, , 2005 |
| Descrizione fisica | 1 online resource (221 p.) |
| Disciplina | 330.015118 |
| Collana | Routledge INEM advances in economic methodology |
| Soggetto topico |
Economics, Mathematical
Economics - Mathematical models Econometrics Economics - Methodology - History - 20th century Economics, Mathematical - History - 20th century |
| ISBN |
1-134-28066-1
1-134-28067-X 1-280-11412-6 0-203-32407-2 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Book Cover; Title; Copyright; Contents; 1 Introduction; 2 A new practice; 3 Autonomy; 4 Design of experiments; 5 Measurement; 6 Rigour; 7 Conclusions; Notes; Bibliography; Index |
| Record Nr. | UNINA-9910826673203321 |
|
Boumans Marcel
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||
| London ; ; New York : , : Routledge, , 2005 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Income, wealth, and the maximum principle [[electronic resource] /] / Martin L. Weitzman
| Income, wealth, and the maximum principle [[electronic resource] /] / Martin L. Weitzman |
| Autore | Weitzman Martin L. <1942-> |
| Pubbl/distr/stampa | Cambridge, Mass., : Harvard University Press, 2003 |
| Descrizione fisica | 1 online resource (358 p. ) : ill |
| Disciplina | 330/.01/5193 |
| Soggetto topico |
Economics - Mathematical models
Mathematical optimization Maximum principles (Mathematics) National income - Accounting Wealth - Mathematical models Economic development - Mathematical models |
| Soggetto genere / forma | Electronic books. |
| ISBN | 0-674-04507-6 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Frontmatter -- Contents -- Preface -- Introduction -- Part I. Introduction to the Maximum Principle -- 1. The Calculus of Variations and the Stationary Rate of Return on Capital -- 2. The Prototype-Economic Control Problem -- 3. The Maximum Principle in One Dimension -- 4. Applications of the Maximum Principle in One Dimension -- Part II. Comprehensive Accounting and the Maximum Principle -- 5. Optimal Multisector Growth and Dynamic Competitive Equilibrium -- 6. The Pure Theory of Perfectly Complete National Income Accounting -- 7. The Stochastic Wealth and Income Version of the Maximum Principle -- References -- Index |
| Record Nr. | UNINA-9910457967503321 |
|
Weitzman Martin L. <1942->
|
||
| Cambridge, Mass., : Harvard University Press, 2003 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Income, wealth, and the maximum principle [[electronic resource] /] / Martin L. Weitzman
| Income, wealth, and the maximum principle [[electronic resource] /] / Martin L. Weitzman |
| Autore | Weitzman Martin L. <1942-> |
| Pubbl/distr/stampa | Cambridge, Mass., : Harvard University Press, 2003 |
| Descrizione fisica | 1 online resource (358 p. ) : ill |
| Disciplina | 330/.01/5193 |
| Soggetto topico |
Economics - Mathematical models
Mathematical optimization Maximum principles (Mathematics) National income - Accounting Wealth - Mathematical models Economic development - Mathematical models |
| ISBN | 0-674-04507-6 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Frontmatter -- Contents -- Preface -- Introduction -- Part I. Introduction to the Maximum Principle -- 1. The Calculus of Variations and the Stationary Rate of Return on Capital -- 2. The Prototype-Economic Control Problem -- 3. The Maximum Principle in One Dimension -- 4. Applications of the Maximum Principle in One Dimension -- Part II. Comprehensive Accounting and the Maximum Principle -- 5. Optimal Multisector Growth and Dynamic Competitive Equilibrium -- 6. The Pure Theory of Perfectly Complete National Income Accounting -- 7. The Stochastic Wealth and Income Version of the Maximum Principle -- References -- Index |
| Record Nr. | UNINA-9910791448203321 |
|
Weitzman Martin L. <1942->
|
||
| Cambridge, Mass., : Harvard University Press, 2003 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Income, wealth, and the maximum principle [[electronic resource] /] / Martin L. Weitzman
| Income, wealth, and the maximum principle [[electronic resource] /] / Martin L. Weitzman |
| Autore | Weitzman Martin L. <1942-> |
| Pubbl/distr/stampa | Cambridge, Mass., : Harvard University Press, 2003 |
| Descrizione fisica | 1 online resource (358 p. ) : ill |
| Disciplina | 330/.01/5193 |
| Soggetto topico |
Economics - Mathematical models
Mathematical optimization Maximum principles (Mathematics) National income - Accounting Wealth - Mathematical models Economic development - Mathematical models |
| ISBN | 0-674-04507-6 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Frontmatter -- Contents -- Preface -- Introduction -- Part I. Introduction to the Maximum Principle -- 1. The Calculus of Variations and the Stationary Rate of Return on Capital -- 2. The Prototype-Economic Control Problem -- 3. The Maximum Principle in One Dimension -- 4. Applications of the Maximum Principle in One Dimension -- Part II. Comprehensive Accounting and the Maximum Principle -- 5. Optimal Multisector Growth and Dynamic Competitive Equilibrium -- 6. The Pure Theory of Perfectly Complete National Income Accounting -- 7. The Stochastic Wealth and Income Version of the Maximum Principle -- References -- Index |
| Record Nr. | UNINA-9910808669703321 |
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Weitzman Martin L. <1942->
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||
| Cambridge, Mass., : Harvard University Press, 2003 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Intelligent and complex systems in economics and business / / edited by Ernesto LeoÌn-Castro [and four others]
| Intelligent and complex systems in economics and business / / edited by Ernesto LeoÌn-Castro [and four others] |
| Edizione | [1st ed. 2021.] |
| Pubbl/distr/stampa | Cham, Switzerland : , : Springer, , [2021] |
| Descrizione fisica | 1 online resource (VIII, 115 p. 32 illus., 23 illus. in color.) |
| Disciplina | 658.4033 |
| Collana | Advances in Intelligent Systems and Computing |
| Soggetto topico |
Business - Mathematical models
Economics - Mathematical models |
| ISBN | 3-030-59191-3 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Introductory remarks -- Multicriteria analysis model for the evaluation of the competitiveness of the States in Mexico -- Degree of global covering and global overlapping in solvency fuzzy classification -- A note on the role of government incentives in promoting innovations -- A multi-agent MDSS for supporting new product design decisions -- Profile information analysis of Twitter social network -- Fuzzy Control of Morelia’s manufacturing companies’ innovation capabilities -- Evaluation scale of the development and quality dimension in software development with an exploratory factorial analysis -- Analysis of business growth in Mexico using weight of evidence. Period: 2008-2017 -- Electronic leadership a multifunctional perspective: A proposal based on the theory of the structure of initiation and consideration of the leadership and adaptive structures -- The use of big data in the modern biology: the case of agriculture. |
| Record Nr. | UNINA-9910483577503321 |
| Cham, Switzerland : , : Springer, , [2021] | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Introduction to mathematics for economics with R / / Massimiliano Porto
| Introduction to mathematics for economics with R / / Massimiliano Porto |
| Autore | Porto Massimiliano |
| Pubbl/distr/stampa | Cham, Switzerland : , : Springer, , [2022] |
| Descrizione fisica | 1 online resource (866 pages) |
| Disciplina | 929.374 |
| Soggetto topico | Economics - Mathematical models |
| ISBN |
9783031052026
9783031052019 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Intro -- Preface -- Contents -- List of Figures -- List of Tables -- 1 Introduction to R -- 1.1 Installing R -- 1.2 Installing RStudio -- 1.3 Introduction to RStudio -- 1.3.1 Launching a New Project -- 1.3.2 Opening an R Script -- 1.4 Packages to Install -- 1.4.1 How to Install a Package -- 1.4.2 How to Load a Package -- 1.5 Good Practice and Notation -- 1.5.1 How to Read the Code -- 1.6 8 Key-Points Regarding R -- 1.6.1 The Assignment Operator -- 1.6.2 The Class of Objects -- 1.6.3 Case Sensitiveness -- 1.6.4 The c() Function -- 1.6.5 Square Bracket Operator [ ] -- 1.6.6 Loop and Vectorization -- 1.6.7 Functions -- 1.6.8 Errors -- 1.6.8.1 Syntax Errors -- 1.6.8.2 class() Type Errors -- 1.6.8.3 Warning Message -- 1.6.8.4 No-Error Message Error -- 1.7 An Example with R -- 1.8 Exercise -- 1.8.1 Exercise 1 -- 1.8.2 Exercise 2 -- Part I Introduction to Mathematics for Static Economics -- 2 Linear Algebra -- 2.1 Set, Group, Ring, Field: Short Overview -- 2.2 Vectors -- 2.2.1 Vector Space -- 2.2.1.1 Properties of Vector Space -- 2.2.1.2 Vector Notation -- 2.2.2 Vector Representation in Two and Three Dimensions -- 2.2.3 Inner Product -- 2.2.4 Outer Product -- 2.2.5 Component Form, Magnitude and Unit Vector -- 2.2.6 Parallel and Orthogonal Vectors -- 2.2.7 Vector Projection -- 2.2.8 Linear Independence -- 2.3 Matrices -- 2.3.1 Matrix Operations -- 2.3.1.1 Addition -- 2.3.1.2 Multiplication -- 2.3.1.3 Transpose -- 2.3.2 Symmetric Matrix -- 2.3.3 Diagonal Matrix and Identity Matrix -- 2.3.3.1 Trace of a Square Matrix -- 2.3.4 Triangular Matrix -- 2.3.5 Idempotent Matrix -- 2.3.6 The Inverse of a Matrix -- 2.3.7 System of Linear Equations -- 2.3.7.1 System of Linear Equations and Matrices -- 2.3.7.2 Gauss Elimination and Gauss-Jordan Elimination -- 2.3.7.3 The Rank of a Matrix -- 2.3.8 Determinant -- 2.3.8.1 The Determinant of a 2 2 Matrix.
2.3.8.2 Laplace Expansion Method -- 2.3.8.3 The Determinant and the Matrix Inverse -- 2.3.8.4 Cramer's Rule -- 2.3.9 Eigenvalues and Eigenvectors -- 2.3.9.1 Diagonalization and Jordan Canonical Form -- 2.3.10 Partitioned Matrix -- 2.3.11 Kronecker Product -- 2.3.12 Definiteness of Matrices -- 2.3.13 Decomposition -- 2.3.13.1 Spectral Decomposition -- 2.3.13.2 Singular Value Decomposition (SVD) -- 2.3.13.3 Cholesky Decomposition -- 2.3.13.4 QR Decomposition -- 2.4 Applications in Economics -- 2.4.1 Budget Set -- 2.4.2 Applying Cramer's Rule to the IS-LM Model -- 2.4.3 Leontief Input-Output Model -- 2.4.4 Network Analysis -- 2.4.5 Linear Model and the Dummy Variable Trap -- 2.5 Exercises -- 2.5.1 Exercise 1 -- 2.5.2 Exercise 2 -- 2.5.3 Exercise 3 -- 2.5.4 Exercise 4 -- 2.5.5 Exercise 5 -- 2.5.6 Exercise 6 -- 2.5.7 Exercise 7 -- 3 Functions of One Variable -- 3.1 What is a Function? -- 3.1.1 Domain and Range -- 3.1.2 Monotonicity, Boundedness and Extrema -- 3.1.3 Convex and Concave Functions -- 3.1.4 Function Operations -- 3.2 Linear Function -- 3.2.1 Slope of Linear Function -- 3.2.2 Applications in Economics -- 3.2.2.1 The Cost Function -- 3.2.2.2 Break-Even -- 3.2.2.3 Mark-Up and Margin -- 3.2.2.4 Linear Models in Econometrics -- 3.3 Quadratic Function -- 3.3.1 Roots and Vertex -- 3.3.2 The Graph of the Quadratic Function -- 3.3.3 Discriminant -- 3.3.4 Applications in Economics -- 3.3.4.1 The Cost Function -- 3.4 Cubic Function -- 3.4.1 How to Solve Cubic Equations -- 3.4.2 Applications in Economics -- 3.4.2.1 The Cost Function -- 3.5 Polynomials of Degree Greater Than Three -- 3.6 Logarithmic and Exponential Functions -- 3.6.1 What is a Logarithm? -- 3.6.2 Logarithms and Exponents -- 3.6.3 The Natural Logarithm -- 3.6.4 The Natural Logarithmic Function -- 3.6.4.1 How to Solve Logarithmic Equation -- 3.6.5 Applications in Economics. 3.6.5.1 Logarithms and Growth -- 3.6.5.2 Logarithms and Geometric Mean -- 3.6.5.3 Logarithms and Econometrics -- 3.6.6 Exponential Function -- 3.6.6.1 What is e ? -- 3.6.6.2 How to Solve Exponential Equations -- 3.6.7 Applications in Economics -- 3.6.7.1 Exponential and Investment -- 3.6.7.2 Exponential Growth and Logistic Growth -- 3.7 Radical Function -- 3.7.1 How to Solve Radical Equation -- 3.7.2 Find the Domain of a Radical Function -- 3.7.3 Radicals and Rational Exponents -- 3.7.4 Applications in Economics -- 3.7.4.1 Production Function with a Single Input -- 3.8 Rational Function -- 3.8.1 Intercepts and Asymptotes -- 3.8.2 Applications in Economics -- 3.8.2.1 Indifference Curve -- 3.8.2.2 A ``Work'' Example -- 3.9 Exercises -- 3.9.1 Exercise 1 -- 3.9.2 Exercise 2 -- 3.9.3 Exercise 3 -- 3.9.4 Exercise 4 -- 3.9.5 Exercise 5 -- 4 Differential Calculus -- 4.1 What is the Meaning of Derivatives? -- 4.2 The Limit of a Function -- 4.3 Limits, Derivatives and Slope -- 4.3.1 Newton-Raphson Method -- 4.4 Notation of Derivatives -- 4.5 Differentials -- 4.6 Rules of Differentiation -- 4.6.1 Power Rule -- 4.6.2 Product Rule -- 4.6.3 Quotient Rule -- 4.6.4 Chain Rule -- 4.6.4.1 Implicit Differentiation -- 4.6.5 Radicals Differentiation -- 4.6.6 Logarithmic Differentiation -- 4.6.7 Exponential Differentiation -- 4.6.7.1 Exponential Growth and Logistic Growth -- 4.6.8 Derivatives of Elementary Functions -- 4.7 Derivatives and Inverse Functions -- 4.8 Tangent Line to the Function -- 4.9 Points of Minimum, Maximum and Inflection -- 4.10 Taylor Expansion -- 4.10.1 Nth-Derivative Test -- 4.10.2 Newton-Raphson Method -- 4.11 L'Hôpital Theorem -- 4.12 Derivatives with R -- 4.13 Taylor Expansion with R -- 4.14 Applications in Economics -- 4.14.1 Marginal Cost -- 4.14.1.1 Coefficients of a Cubic Cost Function -- 4.14.2 Marginal Cost and Average Cost. 4.14.3 Profit Maximization -- 4.14.4 Elasticity -- 4.15 Exercise -- 4.15.1 Exercise 1 -- 4.15.2 Exercise 2 -- 4.15.3 Exercise 3 -- 5 Integral Calculus -- 5.1 Indefinite Integrals -- 5.1.1 Anti-derivative Process -- 5.1.1.1 Fundamental Integrals -- 5.1.1.2 Integration by Substitution -- 5.1.1.3 Integration by Parts -- 5.1.1.4 Partial Fractions -- 5.2 Definite Integrals -- 5.2.1 Area Under a Curve -- 5.2.2 Area Between Two Lines -- 5.3 Fundamental Theorem of Calculus -- 5.4 Improper Integrals and Convergence -- 5.4.1 Case 1: Convergence -- 5.4.2 Case 2: Divergence -- 5.5 Integration with R -- 5.6 Applications in Economics -- 5.6.1 Marginal Cost and Cost Function -- 5.6.2 Example: A Problem -- 5.6.3 The Surplus of Consumer and Producer -- 5.7 Exercise -- 6 Multivariable Calculus -- 6.1 Functions of Several Variables -- 6.1.1 Applications in Economics -- 6.1.1.1 Complementary Goods and Substitute Goods -- 6.1.1.2 The Cobb-Douglas Function -- 6.1.1.3 The Constant Elasticity of Substitution (CES) Function -- 6.1.1.4 The Cobb-Douglas Function as a Special Case of the CES Function -- 6.2 Partial and Total Derivatives -- 6.2.1 Partial Derivatives -- 6.2.1.1 Gradient Vector -- 6.2.1.2 Jacobian Matrix -- 6.2.1.3 Hessian Matrix -- 6.2.2 Total Derivatives -- 6.2.3 Derivatives with R -- 6.2.4 Applications in Economics -- 6.2.4.1 Marginal Product of Labour and Capital -- 6.2.4.2 The Law of Diminishing Marginal Productivity -- 6.2.4.3 An Application with the Jacobian -- 6.3 Unconstrained Optimization -- 6.3.1 First Order Condition -- 6.3.2 Second Order Condition -- 6.3.2.1 Concavity and Convexity -- 6.3.3 Optimization with R -- 6.3.4 Applications in Economics -- 6.3.4.1 Multi-product Firm -- 6.3.4.2 Ordinary Least Square -- 6.4 Integration with Multiple Variables -- 6.5 Exercises -- 6.5.1 Exercise 1 -- 6.5.2 Exercise 2 -- 7 Constrained Optimization. 7.1 Equality Constraints -- 7.1.1 First-Order Condition -- 7.1.2 Multiple Equality Constraints -- 7.1.3 Lagrange Multiplier -- 7.1.3.1 A Mathematical Interpretation -- 7.1.3.2 An Economic Interpretation -- 7.1.4 Second-Order Conditions -- 7.2 Inequality Constraints -- 7.2.1 Kuhn-Tucker Conditions -- 7.3 Constrained Optimization with R -- 7.4 Applications in Economics -- 7.4.1 Utility Maximization Problem -- 7.4.2 Firm's Cost Minimization Problem -- 7.4.3 Transportation Problem -- 7.4.4 CGE Model with R -- 7.4.4.1 Shoven-Whalley Model Without Taxes -- 7.4.4.2 Solving the Model with R -- 7.5 Exercise -- Part II Introduction to Mathematics for Dynamic Economics -- 8 Trigonometry -- 8.1 Right Triangles and Angles -- 8.2 Trigonometric Functions -- 8.3 Sum and Differences of Angles -- 8.4 Derivatives of Trigonometric Functions -- 9 Complex Numbers -- 9.1 Set of Complex Numbers -- 9.2 Complex Numbers: Real Part and Imaginary Part -- 9.3 Arithmetic Operations -- 9.4 Geometric Interpretation and Polar Form -- 9.5 Exponential Form -- 10 Difference Equations -- 10.1 First-Order Linear Difference Equations -- 10.1.1 Solution by Iteration -- 10.1.2 Solution by General Method -- 10.1.3 Time Path and Equilibrium -- 10.2 Second-Order Linear Difference Equations -- 10.2.1 Solution to Second-Order Linear Homogeneous Difference Equation -- 10.2.1.1 Two Distinct Real Roots (Case of D > -- 0 ) -- 10.2.1.2 One Real Root (or Repeated Real Roots) (Case of D = 0 ) -- 10.2.1.3 Complex Roots (Case of D < -- 0 ) -- 10.2.2 Solution to Second-Order Linear Nonhomogeneous Difference Equation -- 10.2.3 Time Path and Equilibrium -- 10.3 System of Linear Difference Equations -- 10.3.1 Equilibrium -- 10.3.2 Solution with the Powers of a Matrix -- 10.3.3 Eigenvalues Method -- 10.3.3.1 Case 1: Distinct Real Eigenvalues -- 10.3.3.2 Case 2: Repeated Real Eigenvalues. 10.3.3.3 Case 3: Complex Eigenvalues. |
| Record Nr. | UNINA-9910591037203321 |
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Porto Massimiliano
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| Cham, Switzerland : , : Springer, , [2022] | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Introduction to R for quantitative finance / / Gergely Daróczi [and eight others]
| Introduction to R for quantitative finance / / Gergely Daróczi [and eight others] |
| Autore | Daróczi Gergely |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Birmingham : , : Packt Publishing, , 2013 |
| Descrizione fisica | 1 online resource (164 p.) |
| Disciplina | 332.015195 |
| Collana | Community experience distilled |
| Soggetto topico |
Economics - Mathematical models
Finance - Statistical methods R (Computer program language) |
| Soggetto genere / forma | Electronic books. |
| ISBN | 1-78328-094-8 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
""Cover""; ""Copyright""; ""Credits""; ""About the Authors""; ""About the Reviewers""; ""www.PacktPub.com""; ""Table of Contents""; ""Preface""; ""Chapter 1: Time Series Analysis""; ""Working with time series data""; ""Linear time series modeling and forecasting""; ""Modeling and forecasting UK house prices""; ""Model identification and estimation""; ""Model diagnostic checking""; ""Forecasting""; ""Cointegration""; ""Cross hedging jet fuel""; ""Modeling volatility""; ""Volatility forecasting for risk management""; ""Testing for ARCH effects""; ""GARCH model specification""
""GARCH model estimation""""Backtesting the risk model""; ""Forecasting""; ""Summary""; ""Chapter 2: Portfolio Optimization""; ""Mean-Variance model""; ""Solution concepts""; ""Theorem (Lagrange)""; ""Working with real data""; ""Tangency portfolio and Capital Market Line""; ""Noise in the covariance matrix""; ""When variance is not enough""; ""Summary""; ""Chapter 3: Asset Pricing Models""; ""Capital Asset Pricing Model""; ""Arbitrage Pricing Theory""; ""Beta estimation""; ""Data selection""; ""Simple beta estimation""; ""Beta estimation from linear regression""; ""Model testing"" ""Data collection""""Modeling the SCL""; ""Testing the explanatory power of the individual variance""; ""Summary""; ""Chapter 4: Fixed Income Securities""; ""Measuring market risk of fixed income securities""; ""Example � implementation in R""; ""Immunization of fixed income portfolios""; ""Net worth immunization""; ""Target date immunization""; ""Dedication""; ""Pricing a convertible bond""; ""Summary""; ""Chapter 5: Estimating the Term Structure of Interest Rates""; ""The term structure of interest rates and related functions""; ""The estimation problem"" ""Estimation of the term structure by linear regression""""Cubic spline regression""; ""Applied R functions""; ""Summary""; ""Chapter 6: Derivatives Pricing""; ""The Black-Scholes model""; ""The Cox-Ross-Rubinstein model""; ""Connection between the two models""; ""Greeks""; ""Implied volatility""; ""Summary""; ""Chapter 7: Credit Risk Management""; ""Credit default models""; ""Structural models""; ""Intensity models""; ""Correlated defaults the portfolio approach""; ""Migration matrices""; ""Getting started with credit scoring in R""; ""Summary""; ""Chapter 8: Extreme Value Theory"" ""Theoretical overview""""Application modeling insurance claims""; ""Exploratory data analysis""; ""Tail behavior of claims""; ""Determining the threshold""; ""Fitting a GPD distribution to the tails""; ""Quantile estimation using the fitted GPD model""; ""Calculation of expected loss using the fitted GPD model""; ""Summary""; ""Chapter 9: Financial Networks""; ""Representation, simulation, and visualization of financial networks""; ""Analysis of networks structure and detection of topology changes""; ""Contribution to systemic risk � identification of SIFIs""; ""Summary"" ""Appendix: References"" |
| Record Nr. | UNINA-9910453702403321 |
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Daróczi Gergely
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| Birmingham : , : Packt Publishing, , 2013 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Soggetto topico
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Economics - Mathematical models
(115)
- Economics, Mathematical (18)
- Economics (16)
- Finance - Mathematical models (12)
- Game theory (12)