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Matematicas financieras. Introduccion / / Jose Manuel Brotons Martinez
| Matematicas financieras. Introduccion / / Jose Manuel Brotons Martinez |
| Autore | Brotons Martinez Jose Manuel |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Madrid, Spain : , : Universidad Miguel Hernandez, , [2015] |
| Descrizione fisica | 1 online resource (151 pages) |
| Disciplina | 330.01513 |
| Soggetto topico |
Business mathematics
Finance - Mathematical models |
| ISBN | 9788416024087 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | spa |
| Record Nr. | UNINA-9910777093103321 |
Brotons Martinez Jose Manuel
|
||
| Madrid, Spain : , : Universidad Miguel Hernandez, , [2015] | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Matematicas financieras. Introduccion / / Jose Manuel Brotons Martinez
| Matematicas financieras. Introduccion / / Jose Manuel Brotons Martinez |
| Autore | Brotons Martinez Jose Manuel |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Madrid, Spain : , : Universidad Miguel Hernandez, , [2015] |
| Descrizione fisica | 1 online resource (151 pages) |
| Disciplina | 330.01513 |
| Soggetto topico |
Business mathematics
Finance - Mathematical models |
| ISBN | 9788416024087 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | spa |
| Record Nr. | UNINA-9910825041503321 |
|
Brotons Martinez Jose Manuel
|
||
| Madrid, Spain : , : Universidad Miguel Hernandez, , [2015] | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Mathematical and statistical methods for actuarial sciences and finance / / edited by Marco Corazza [and three others]
| Mathematical and statistical methods for actuarial sciences and finance / / edited by Marco Corazza [and three others] |
| Pubbl/distr/stampa | Cham, Switzerland : , : Springer, , [2022] |
| Descrizione fisica | 1 online resource (456 pages) |
| Disciplina | 368.01 |
| Soggetto topico |
Finance - Statistical methods
Finance - Mathematical models Insurance - Mathematical models Matemàtica actuarial Finances Models matemàtics Estadística matemàtica |
| Soggetto genere / forma |
Congressos
Llibres electrònics |
| ISBN | 3-030-99638-7 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Intro -- Preface -- Contents -- Absolute and Relative Gender Gap in Pensions: The Impact of the Transition from DB to NDC in Italy -- 1 Introduction -- 2 Data and Methodology -- 2.1 Data -- 2.2 Methodology -- 3 Preliminary Results -- 4 Remarks -- References -- TPPI: Textual Political Polarity Indices. The Case of Italian GDP -- 1 Introduction -- 2 Data -- 2.1 The Italian Senate Verbatim Reports -- 2.2 The Italian Yearly GDP Time Series -- 3 Determining Words Sentiment Polarities -- 4 Polarity Indices Time Series -- 4.1 Total Textual Political Polarity Index (TPPI-T) -- 4.2 Group Specific Textual Political Polarity Indices (TPPI-GS) -- 4.3 Polarity Divergence Indices (TPPI-D) -- 5 Evaluating Indices Configurations -- 6 Conclusion -- References -- Quantile Regression Forest for Value-at-Risk Forecasting Via Mixed-Frequency Data -- 1 Introduction -- 2 Methodology -- 3 Empirical Application -- 4 Conclusions -- References -- Gender Attitudes Toward Longevity and Retirement Planning: Theory and Evidence -- 1 Introduction -- 2 Drivers of Retirement Behaviour: the State-of-the-Art -- 3 Subjective Longevity, Gender and Economic Choices -- 4 Our Research Framework and Directions -- References -- Semiclassical Pricing of Variance Swaps in the CEV Model -- 1 Introduction -- 2 The Model -- 2.1 Variance Swap Pricing -- 3 Realized Variance Replication -- 3.1 The Semiclassical Approximation for the Log Contract -- 4 Numerical Results -- References -- Indexing Pensions to Life Expectancy: Keeping the System Fair Across Generations -- 1 Introduction -- 2 Intergenerational Fairness and Neutrality Condition -- 3 Policy Options -- 3.1 Adjusting the Contribution Rate -- 3.2 Adjusting the Retirement Age While Keeping the Replacement Rate Constant -- 3.3 Adjusting the Retirement Age While Improving Pension Adequacy.
3.4 Amending Entry Pensions Through a Sustainability Factor -- 4 Conclusion -- References -- Dynamic Withdrawals and Stochastic Mortality in GLWB Variable Annuities -- 1 Introduction -- 2 The Contract Structure -- 3 The Valuation Framework -- 4 Dynamic Programming -- 4.1 Bang-Bang Analysis -- 4.2 Contract Decomposition -- 5 Conclusion -- References -- A Regression Based Approach for Valuing Longevity Measures -- 1 Introduction -- 2 Life Expectancy and Computational Framework -- 2.1 Valuation Procedure -- 3 Numerical Results -- 4 Conclusion -- References -- On the Assessment of the Payment Limitation for an Health Plan -- 1 Introduction -- 2 Actuarial Framework -- 3 The Optimal Reimbursement Problem -- 4 Numerical Investigation -- 5 Conclusions -- References -- Reference Dependence in Behavioral Portfolio Selection -- 1 Introduction -- 2 Behavioral Portfolio Selection -- 3 The Reference Point -- 4 An Application -- References -- Pricing Rainfall Derivatives by Genetic Programming: A Case Study -- 1 Introduction -- 2 Genetic Programming -- 3 Rainfall Derivatives Pricing -- 4 Data and Application -- 5 Conclusion -- References -- Estimation of the Gift Probability in Fund Raising Management -- 1 Introduction -- 2 The Donor -- 3 Modeling the Gift as an Individual Risk -- 4 Poisson Regression in FR -- References -- The Estimation Risk in Credit Regulatory Capital -- 1 Introduction -- 2 The Capital Requirement in the IRB Approach -- 3 The Dataset and Parameters' Gaussian Copula -- 4 Estimation Risk in RC and Policy Implication -- References -- Actuarial Fairness in Pension Systems: An Empirical Evaluation for Italy Using an OLG Model -- 1 Introduction -- 2 Methods -- 3 Main Results -- 4 Discussion and Conclusions -- References -- Forecasting VIX with Hurst Exponent -- 1 Introduction -- 2 Model and Estimator -- 3 Empirical Analysis and Results. 4 Conclusions and Further Directions -- References -- Modelling H-Volatility with Fractional Brownian Bridge -- 1 Introduction -- 2 Fractional Brownian Bridge -- 3 Methodology and Application -- 4 Conclusion -- References -- Shapley Value in Partition Function Form Games: New Research Perspectives for Features Selection -- 1 Introduction -- 2 Games in Partition Function Form -- 2.1 The Shapley Value -- 3 Shapley Values for Features Contributions -- 4 Conclusions and Further Research -- References -- Nonparametric Estimation of Range Value at Risk -- 1 Introduction -- 1.1 Definitions -- 2 Nonparametric Methods for Estimating RVaR -- 2.1 Empirical Estimator -- 2.2 Brazauskas et al.'s Estimator -- 2.3 Kernel Estimator -- 2.4 Yamai and Yoshiba's Estimator -- 2.5 Filtered Historical Method -- 3 Simulation -- 4 Findings -- References -- A Fixed Career Length Versus a Fixed Retirement Age: An Analysis per Socio-Economic Groups -- 1 Introduction -- 2 Objective -- 3 Actuarial Fairness -- 4 Data -- 5 Policy Implications -- References -- Nonparametric Test for Financial Time Series Comparisons -- 1 Introduction -- 2 Statistical Problem -- 3 Methodological Solution -- 4 Case Study -- 5 Concluding Remarks -- References -- Innovative Parametric Weather Insurance on Satellite Data in Agribusiness -- 1 Introduction -- 2 Methodology and Satellite Data -- 3 Personalised Parametric Weather Insurance -- 4 Numerical Application -- 5 Concluding Remarks -- References -- An Application of the Tensor-Based Approach to Mortality Modeling -- 1 Introduction -- 2 Methodology and Application -- 3 Conclusions -- References -- Cyber Risk: Estimates for Malicious and Negligent Breaches Distributions -- 1 Introduction -- 2 Cyber Incidents and Data Breaches -- 3 Case Study -- 4 Concluding Remarks -- References. Modeling and Forecasting Natural Gas Futures Prices Dynamics: An Integrated Approach -- 1 Introduction -- 2 Data and Methods -- 3 Empirical Results -- 4 Conclusion -- A Appendix: Figures -- References -- Modelling Life Expectancy Gender Gap in a Multi-population Framework -- 1 Introduction -- 2 Materials and Methods -- 3 Results -- 4 Conclusions -- References -- Decision Making in Portfolio Optimization by Using a Tri-Objective Model and Decision Parameters -- 1 Introduction and Motivation of the Study -- 2 Study Framework and Experimental Results -- 3 Conclusions -- References -- Bitcoin Price Prediction: Mixed Integer Quadratic Programming Versus Machine Learning Approaches -- 1 Introduction -- 2 Our Problem -- 2.1 Our MIP Viewpoint vs. SVMs -- References -- Verifying the Rényi Dependence Axioms for a Non-linear Bivariate Comovement Index -- 1 Introduction -- 2 The Comovement Index and the Rényi Dependence Axioms -- 3 Is 1 , 2 a Measure of Dependence à la Rényi? -- References -- Inflation Perceptions and Expectations During the Pandemic: A Model Based Approach -- 1 Introduction -- 2 The Model -- 3 Results -- 4 Conclusions -- References -- A Proposal to Calculate the Regulatory Capital Requirements for Reverse Mortgages -- 1 Introduction -- 2 Modeling House Price Risk, Interest Rate Risk and Mortality Rate Dynamics -- 3 Calculation of Regulatory Capital Requirements -- References -- LTC of a Defined Benefit Employee Pension Scheme -- 1 Introduction -- 2 The Model -- 3 A Sample for Spain -- 3.1 Mortality Tables by State -- 3.2 Results -- 4 Conclusions -- References -- Socio-Economic Challenges at the Time of COVID-19: The Proactive Role of the Insurance Industry -- 1 Introduction -- 2 Sustainability and Impact: A Possible Conjugation -- 2.1 The Guidelines of the Scheme -- 2.2 Which Category Within Socially Responsible Investments? -- References. Feynman-Kac Formula for BSDEs with Jumps and Time Delayed Generators Associated to Path-Dependent Nonlinear Kolmogorov Equations -- 1 The Non-linear Path Dependent Kolmogorov Equation -- 2 The FBSDE System -- 3 Feynman-Kac Formula -- 4 Financial Applications -- 4.1 The Large Investor Problem -- 4.2 Dynamic Risk Measure for an Insurance Payment Process -- References -- The Role of Stablecoins: Cryptocurrencies Sought Stability and Found Gold and Dollars -- 1 Introduction -- 2 Methodology -- 2.1 The Portfolio Allocation Method -- 2.2 Downside Risk Measures and Backtesting -- 3 Main Results and Findings -- References -- Interbank Networks and Liquidity Risk -- 1 Introduction -- 2 A Model of Liquidity Dynamics on an Interbank Network -- 3 Numerical Simulations with Diagnostic of Network Efficiency -- 4 Conclusions and Research Perspectives -- References -- Kendall Conditional Value-at-Risk -- 1 Introduction -- 2 The Kendall CoVaR -- 3 Illustration: Analysis of the Italian banking systems -- References -- Daily Trading of the FTSE Index Using LSTM with Principal Component Analysis -- 1 Introduction -- 2 Related Work -- 2.1 Ensemble Methods -- 2.2 Hybrid Methods -- 2.3 Deep Learning Paradigms -- 3 Model Architecture -- 3.1 Overview -- 3.2 Sub-Learners -- 3.3 Meta-learners -- 4 Methods -- 4.1 Creating the Dataset -- 5 Experimental Setup and Evaluation -- 6 Results -- 7 Conclusion -- References -- A Hybrid Model Based on Stochastic Volatility and Machine Learning to Forecast Log Returns of a Risky Asset -- 1 Introduction -- 2 The Hybrid Model -- 3 Numerical Experiments -- References -- Financial Time Series Classification by Nonparametric Trend Estimation -- 1 Introduction -- 2 The Proposed Method -- 3 Real Data Application -- 4 Conclusions -- References -- Differential Pursuit-Evasion Games and Space Economy: New Research Perspectives -- 1 Introduction. 2 Space Economy and the Detritus Management: The Role of Differential Games. |
| Record Nr. | UNISA-996472038703316 |
| Cham, Switzerland : , : Springer, , [2022] | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. di Salerno | ||
| ||
Mathematical and statistical methods for actuarial sciences and finance / / edited by Marco Corazza [and three others]
| Mathematical and statistical methods for actuarial sciences and finance / / edited by Marco Corazza [and three others] |
| Pubbl/distr/stampa | Cham, Switzerland : , : Springer, , [2022] |
| Descrizione fisica | 1 online resource (456 pages) |
| Disciplina | 368.01 |
| Soggetto topico |
Finance - Statistical methods
Finance - Mathematical models Insurance - Mathematical models Matemàtica actuarial Finances Models matemàtics Estadística matemàtica |
| Soggetto genere / forma |
Congressos
Llibres electrònics |
| ISBN | 3-030-99638-7 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Intro -- Preface -- Contents -- Absolute and Relative Gender Gap in Pensions: The Impact of the Transition from DB to NDC in Italy -- 1 Introduction -- 2 Data and Methodology -- 2.1 Data -- 2.2 Methodology -- 3 Preliminary Results -- 4 Remarks -- References -- TPPI: Textual Political Polarity Indices. The Case of Italian GDP -- 1 Introduction -- 2 Data -- 2.1 The Italian Senate Verbatim Reports -- 2.2 The Italian Yearly GDP Time Series -- 3 Determining Words Sentiment Polarities -- 4 Polarity Indices Time Series -- 4.1 Total Textual Political Polarity Index (TPPI-T) -- 4.2 Group Specific Textual Political Polarity Indices (TPPI-GS) -- 4.3 Polarity Divergence Indices (TPPI-D) -- 5 Evaluating Indices Configurations -- 6 Conclusion -- References -- Quantile Regression Forest for Value-at-Risk Forecasting Via Mixed-Frequency Data -- 1 Introduction -- 2 Methodology -- 3 Empirical Application -- 4 Conclusions -- References -- Gender Attitudes Toward Longevity and Retirement Planning: Theory and Evidence -- 1 Introduction -- 2 Drivers of Retirement Behaviour: the State-of-the-Art -- 3 Subjective Longevity, Gender and Economic Choices -- 4 Our Research Framework and Directions -- References -- Semiclassical Pricing of Variance Swaps in the CEV Model -- 1 Introduction -- 2 The Model -- 2.1 Variance Swap Pricing -- 3 Realized Variance Replication -- 3.1 The Semiclassical Approximation for the Log Contract -- 4 Numerical Results -- References -- Indexing Pensions to Life Expectancy: Keeping the System Fair Across Generations -- 1 Introduction -- 2 Intergenerational Fairness and Neutrality Condition -- 3 Policy Options -- 3.1 Adjusting the Contribution Rate -- 3.2 Adjusting the Retirement Age While Keeping the Replacement Rate Constant -- 3.3 Adjusting the Retirement Age While Improving Pension Adequacy.
3.4 Amending Entry Pensions Through a Sustainability Factor -- 4 Conclusion -- References -- Dynamic Withdrawals and Stochastic Mortality in GLWB Variable Annuities -- 1 Introduction -- 2 The Contract Structure -- 3 The Valuation Framework -- 4 Dynamic Programming -- 4.1 Bang-Bang Analysis -- 4.2 Contract Decomposition -- 5 Conclusion -- References -- A Regression Based Approach for Valuing Longevity Measures -- 1 Introduction -- 2 Life Expectancy and Computational Framework -- 2.1 Valuation Procedure -- 3 Numerical Results -- 4 Conclusion -- References -- On the Assessment of the Payment Limitation for an Health Plan -- 1 Introduction -- 2 Actuarial Framework -- 3 The Optimal Reimbursement Problem -- 4 Numerical Investigation -- 5 Conclusions -- References -- Reference Dependence in Behavioral Portfolio Selection -- 1 Introduction -- 2 Behavioral Portfolio Selection -- 3 The Reference Point -- 4 An Application -- References -- Pricing Rainfall Derivatives by Genetic Programming: A Case Study -- 1 Introduction -- 2 Genetic Programming -- 3 Rainfall Derivatives Pricing -- 4 Data and Application -- 5 Conclusion -- References -- Estimation of the Gift Probability in Fund Raising Management -- 1 Introduction -- 2 The Donor -- 3 Modeling the Gift as an Individual Risk -- 4 Poisson Regression in FR -- References -- The Estimation Risk in Credit Regulatory Capital -- 1 Introduction -- 2 The Capital Requirement in the IRB Approach -- 3 The Dataset and Parameters' Gaussian Copula -- 4 Estimation Risk in RC and Policy Implication -- References -- Actuarial Fairness in Pension Systems: An Empirical Evaluation for Italy Using an OLG Model -- 1 Introduction -- 2 Methods -- 3 Main Results -- 4 Discussion and Conclusions -- References -- Forecasting VIX with Hurst Exponent -- 1 Introduction -- 2 Model and Estimator -- 3 Empirical Analysis and Results. 4 Conclusions and Further Directions -- References -- Modelling H-Volatility with Fractional Brownian Bridge -- 1 Introduction -- 2 Fractional Brownian Bridge -- 3 Methodology and Application -- 4 Conclusion -- References -- Shapley Value in Partition Function Form Games: New Research Perspectives for Features Selection -- 1 Introduction -- 2 Games in Partition Function Form -- 2.1 The Shapley Value -- 3 Shapley Values for Features Contributions -- 4 Conclusions and Further Research -- References -- Nonparametric Estimation of Range Value at Risk -- 1 Introduction -- 1.1 Definitions -- 2 Nonparametric Methods for Estimating RVaR -- 2.1 Empirical Estimator -- 2.2 Brazauskas et al.'s Estimator -- 2.3 Kernel Estimator -- 2.4 Yamai and Yoshiba's Estimator -- 2.5 Filtered Historical Method -- 3 Simulation -- 4 Findings -- References -- A Fixed Career Length Versus a Fixed Retirement Age: An Analysis per Socio-Economic Groups -- 1 Introduction -- 2 Objective -- 3 Actuarial Fairness -- 4 Data -- 5 Policy Implications -- References -- Nonparametric Test for Financial Time Series Comparisons -- 1 Introduction -- 2 Statistical Problem -- 3 Methodological Solution -- 4 Case Study -- 5 Concluding Remarks -- References -- Innovative Parametric Weather Insurance on Satellite Data in Agribusiness -- 1 Introduction -- 2 Methodology and Satellite Data -- 3 Personalised Parametric Weather Insurance -- 4 Numerical Application -- 5 Concluding Remarks -- References -- An Application of the Tensor-Based Approach to Mortality Modeling -- 1 Introduction -- 2 Methodology and Application -- 3 Conclusions -- References -- Cyber Risk: Estimates for Malicious and Negligent Breaches Distributions -- 1 Introduction -- 2 Cyber Incidents and Data Breaches -- 3 Case Study -- 4 Concluding Remarks -- References. Modeling and Forecasting Natural Gas Futures Prices Dynamics: An Integrated Approach -- 1 Introduction -- 2 Data and Methods -- 3 Empirical Results -- 4 Conclusion -- A Appendix: Figures -- References -- Modelling Life Expectancy Gender Gap in a Multi-population Framework -- 1 Introduction -- 2 Materials and Methods -- 3 Results -- 4 Conclusions -- References -- Decision Making in Portfolio Optimization by Using a Tri-Objective Model and Decision Parameters -- 1 Introduction and Motivation of the Study -- 2 Study Framework and Experimental Results -- 3 Conclusions -- References -- Bitcoin Price Prediction: Mixed Integer Quadratic Programming Versus Machine Learning Approaches -- 1 Introduction -- 2 Our Problem -- 2.1 Our MIP Viewpoint vs. SVMs -- References -- Verifying the Rényi Dependence Axioms for a Non-linear Bivariate Comovement Index -- 1 Introduction -- 2 The Comovement Index and the Rényi Dependence Axioms -- 3 Is 1 , 2 a Measure of Dependence à la Rényi? -- References -- Inflation Perceptions and Expectations During the Pandemic: A Model Based Approach -- 1 Introduction -- 2 The Model -- 3 Results -- 4 Conclusions -- References -- A Proposal to Calculate the Regulatory Capital Requirements for Reverse Mortgages -- 1 Introduction -- 2 Modeling House Price Risk, Interest Rate Risk and Mortality Rate Dynamics -- 3 Calculation of Regulatory Capital Requirements -- References -- LTC of a Defined Benefit Employee Pension Scheme -- 1 Introduction -- 2 The Model -- 3 A Sample for Spain -- 3.1 Mortality Tables by State -- 3.2 Results -- 4 Conclusions -- References -- Socio-Economic Challenges at the Time of COVID-19: The Proactive Role of the Insurance Industry -- 1 Introduction -- 2 Sustainability and Impact: A Possible Conjugation -- 2.1 The Guidelines of the Scheme -- 2.2 Which Category Within Socially Responsible Investments? -- References. Feynman-Kac Formula for BSDEs with Jumps and Time Delayed Generators Associated to Path-Dependent Nonlinear Kolmogorov Equations -- 1 The Non-linear Path Dependent Kolmogorov Equation -- 2 The FBSDE System -- 3 Feynman-Kac Formula -- 4 Financial Applications -- 4.1 The Large Investor Problem -- 4.2 Dynamic Risk Measure for an Insurance Payment Process -- References -- The Role of Stablecoins: Cryptocurrencies Sought Stability and Found Gold and Dollars -- 1 Introduction -- 2 Methodology -- 2.1 The Portfolio Allocation Method -- 2.2 Downside Risk Measures and Backtesting -- 3 Main Results and Findings -- References -- Interbank Networks and Liquidity Risk -- 1 Introduction -- 2 A Model of Liquidity Dynamics on an Interbank Network -- 3 Numerical Simulations with Diagnostic of Network Efficiency -- 4 Conclusions and Research Perspectives -- References -- Kendall Conditional Value-at-Risk -- 1 Introduction -- 2 The Kendall CoVaR -- 3 Illustration: Analysis of the Italian banking systems -- References -- Daily Trading of the FTSE Index Using LSTM with Principal Component Analysis -- 1 Introduction -- 2 Related Work -- 2.1 Ensemble Methods -- 2.2 Hybrid Methods -- 2.3 Deep Learning Paradigms -- 3 Model Architecture -- 3.1 Overview -- 3.2 Sub-Learners -- 3.3 Meta-learners -- 4 Methods -- 4.1 Creating the Dataset -- 5 Experimental Setup and Evaluation -- 6 Results -- 7 Conclusion -- References -- A Hybrid Model Based on Stochastic Volatility and Machine Learning to Forecast Log Returns of a Risky Asset -- 1 Introduction -- 2 The Hybrid Model -- 3 Numerical Experiments -- References -- Financial Time Series Classification by Nonparametric Trend Estimation -- 1 Introduction -- 2 The Proposed Method -- 3 Real Data Application -- 4 Conclusions -- References -- Differential Pursuit-Evasion Games and Space Economy: New Research Perspectives -- 1 Introduction. 2 Space Economy and the Detritus Management: The Role of Differential Games. |
| Record Nr. | UNINA-9910559385503321 |
| Cham, Switzerland : , : Springer, , [2022] | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Mathematical fianance [[electronic resource] ] : deterministic and stochastic models / / Jacques Janssen, Raimondo Manca, Ernesto Volpe di Prignano
| Mathematical fianance [[electronic resource] ] : deterministic and stochastic models / / Jacques Janssen, Raimondo Manca, Ernesto Volpe di Prignano |
| Autore | Janssen Jacques <1939-> |
| Pubbl/distr/stampa | London, : ISTE |
| Descrizione fisica | 1 online resource (874 p.) |
| Disciplina |
332.01/51922
332.0151 |
| Altri autori (Persone) |
MancaRaimondo
Volpe di PrignanoErnesto |
| Collana | ISTE |
| Soggetto topico |
Finance - Mathematical models
Stochastic processes Investments - Mathematics |
| ISBN |
1-118-62241-3
1-282-16539-9 9786612165399 0-470-61169-3 0-470-39432-3 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Mathematical Finance: Deterministic and Stochastic Models; Table of Contents; Preface; Part I. Deterministic Models; Chapter 1. Introductory Elements to Financial Mathematics; 1.1. The object of traditional financial mathematics; 1.2. Financial supplies. Preference and indifference relations; 1.2.1. The subjective aspect of preferences; 1.2.2. Objective aspects of financial laws. The equivalence principle; 1.3. The dimensional viewpoint of financial quantities; Chapter 2. Theory of Financial Laws; 2.1. Indifference relations and exchange laws for simple financial operations
2.2. Two variable laws and exchange factors2.3. Derived quantities in the accumulation and discount laws; 2.3.1. Accumulation; 2.3.2. Discounting; 2.4. Decomposable financial lawas; 2.4.1. Weak and strong decomposability properties: equivalence relations; 2.4.2. Equivalence classes: characteristic properties of decomposable laws; 2.5. Uniform financial laws: mean evaluations; 2.5.1. Theory of uniform exchange laws; 2.5.2. An outline of associative averages; 2.5.3. Average duration and average maturity; 2.5.4. Average index of return: average rate 2.6. Uniform decomposable financial laws: exponential regimeChapter 3. Uniform Regimes in Financial Practice; 3.1. Preliminary comments; 3.1.1. Equivalent rates and intensities; 3.2. The regime of simple delayed interest (SDI); 3.3. The regime of rational discount (RD); 3.4. The regime of simple discount (SD); 3.5. The regime of simple advance interest (SAI); 3.6. Comments on the SDI, RD, SD and SAI uniform regimes; 3.6.1. Exchange factors (EF); 3.6.2. Corrective operations; 3.6.3. Initial averaged intensities and instantaneous intensity 3.6.4. Average length in the linear law and their conjugates3.6.5. Average rates in linear law and their conjugated laws; 3.7. The compound interest regime; 3.7.1. Conversion of interests; 3.7.2. The regime of discretely compound interest (DCI); 3.7.3. The regime of continuously compound interest (CCI); 3.8. The regime of continuously comound discount (CCD); 3.9. Complements and exercises on compound regimes; 3.10. Comparison of laws of different regimes; Chapter 4. Financial Operations and their Evaluation: Decisional Criteria; 4.1. Calculation of capital values: fairness 4.2. Retrospective and prospective reserve4.3. Usufruct and bare ownership in "discrete" and "continuous" cases; 4.4. Methods and models for financial decisions and choices; 4.4.1. Internal rate as return index; 4.4.2. Outline on GDCF and "internal financial law"; 4.4.3. Classifications and propert of financial projects; 4.4.4. Decisional criteria for financial projects; 4.4.5. Choice criteria for mutually exclusive financial projects; 4.4.6. Mixed projects: the TRM method; 4.4.7. Dicisional criteria on mixed projects; 4.5. Appendix: outline on numberical methods for the solution of equations 4.5.1. General aspects |
| Record Nr. | UNINA-9910139467903321 |
|
Janssen Jacques <1939->
|
||
| London, : ISTE | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Mathematical fianance [[electronic resource] ] : deterministic and stochastic models / / Jacques Janssen, Raimondo Manca, Ernesto Volpe di Prignano
| Mathematical fianance [[electronic resource] ] : deterministic and stochastic models / / Jacques Janssen, Raimondo Manca, Ernesto Volpe di Prignano |
| Autore | Janssen Jacques <1939-> |
| Pubbl/distr/stampa | London, : ISTE |
| Descrizione fisica | 1 online resource (874 p.) |
| Disciplina |
332.01/51922
332.0151 |
| Altri autori (Persone) |
MancaRaimondo
Volpe di PrignanoErnesto |
| Collana | ISTE |
| Soggetto topico |
Finance - Mathematical models
Stochastic processes Investments - Mathematics |
| ISBN |
1-118-62241-3
1-282-16539-9 9786612165399 0-470-61169-3 0-470-39432-3 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Mathematical Finance: Deterministic and Stochastic Models; Table of Contents; Preface; Part I. Deterministic Models; Chapter 1. Introductory Elements to Financial Mathematics; 1.1. The object of traditional financial mathematics; 1.2. Financial supplies. Preference and indifference relations; 1.2.1. The subjective aspect of preferences; 1.2.2. Objective aspects of financial laws. The equivalence principle; 1.3. The dimensional viewpoint of financial quantities; Chapter 2. Theory of Financial Laws; 2.1. Indifference relations and exchange laws for simple financial operations
2.2. Two variable laws and exchange factors2.3. Derived quantities in the accumulation and discount laws; 2.3.1. Accumulation; 2.3.2. Discounting; 2.4. Decomposable financial lawas; 2.4.1. Weak and strong decomposability properties: equivalence relations; 2.4.2. Equivalence classes: characteristic properties of decomposable laws; 2.5. Uniform financial laws: mean evaluations; 2.5.1. Theory of uniform exchange laws; 2.5.2. An outline of associative averages; 2.5.3. Average duration and average maturity; 2.5.4. Average index of return: average rate 2.6. Uniform decomposable financial laws: exponential regimeChapter 3. Uniform Regimes in Financial Practice; 3.1. Preliminary comments; 3.1.1. Equivalent rates and intensities; 3.2. The regime of simple delayed interest (SDI); 3.3. The regime of rational discount (RD); 3.4. The regime of simple discount (SD); 3.5. The regime of simple advance interest (SAI); 3.6. Comments on the SDI, RD, SD and SAI uniform regimes; 3.6.1. Exchange factors (EF); 3.6.2. Corrective operations; 3.6.3. Initial averaged intensities and instantaneous intensity 3.6.4. Average length in the linear law and their conjugates3.6.5. Average rates in linear law and their conjugated laws; 3.7. The compound interest regime; 3.7.1. Conversion of interests; 3.7.2. The regime of discretely compound interest (DCI); 3.7.3. The regime of continuously compound interest (CCI); 3.8. The regime of continuously comound discount (CCD); 3.9. Complements and exercises on compound regimes; 3.10. Comparison of laws of different regimes; Chapter 4. Financial Operations and their Evaluation: Decisional Criteria; 4.1. Calculation of capital values: fairness 4.2. Retrospective and prospective reserve4.3. Usufruct and bare ownership in "discrete" and "continuous" cases; 4.4. Methods and models for financial decisions and choices; 4.4.1. Internal rate as return index; 4.4.2. Outline on GDCF and "internal financial law"; 4.4.3. Classifications and propert of financial projects; 4.4.4. Decisional criteria for financial projects; 4.4.5. Choice criteria for mutually exclusive financial projects; 4.4.6. Mixed projects: the TRM method; 4.4.7. Dicisional criteria on mixed projects; 4.5. Appendix: outline on numberical methods for the solution of equations 4.5.1. General aspects |
| Record Nr. | UNINA-9910677466003321 |
|
Janssen Jacques <1939->
|
||
| London, : ISTE | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Mathematical fianance [[electronic resource] ] : deterministic and stochastic models / / Jacques Janssen, Raimondo Manca, Ernesto Volpe di Prignano
| Mathematical fianance [[electronic resource] ] : deterministic and stochastic models / / Jacques Janssen, Raimondo Manca, Ernesto Volpe di Prignano |
| Autore | Janssen Jacques <1939-> |
| Pubbl/distr/stampa | London, : ISTE |
| Descrizione fisica | 1 online resource (874 p.) |
| Disciplina |
332.01/51922
332.0151 |
| Altri autori (Persone) |
MancaRaimondo
Volpe di PrignanoErnesto |
| Collana | ISTE |
| Soggetto topico |
Finance - Mathematical models
Stochastic processes Investments - Mathematics |
| ISBN |
1-118-62241-3
1-282-16539-9 9786612165399 0-470-61169-3 0-470-39432-3 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Mathematical Finance: Deterministic and Stochastic Models; Table of Contents; Preface; Part I. Deterministic Models; Chapter 1. Introductory Elements to Financial Mathematics; 1.1. The object of traditional financial mathematics; 1.2. Financial supplies. Preference and indifference relations; 1.2.1. The subjective aspect of preferences; 1.2.2. Objective aspects of financial laws. The equivalence principle; 1.3. The dimensional viewpoint of financial quantities; Chapter 2. Theory of Financial Laws; 2.1. Indifference relations and exchange laws for simple financial operations
2.2. Two variable laws and exchange factors2.3. Derived quantities in the accumulation and discount laws; 2.3.1. Accumulation; 2.3.2. Discounting; 2.4. Decomposable financial lawas; 2.4.1. Weak and strong decomposability properties: equivalence relations; 2.4.2. Equivalence classes: characteristic properties of decomposable laws; 2.5. Uniform financial laws: mean evaluations; 2.5.1. Theory of uniform exchange laws; 2.5.2. An outline of associative averages; 2.5.3. Average duration and average maturity; 2.5.4. Average index of return: average rate 2.6. Uniform decomposable financial laws: exponential regimeChapter 3. Uniform Regimes in Financial Practice; 3.1. Preliminary comments; 3.1.1. Equivalent rates and intensities; 3.2. The regime of simple delayed interest (SDI); 3.3. The regime of rational discount (RD); 3.4. The regime of simple discount (SD); 3.5. The regime of simple advance interest (SAI); 3.6. Comments on the SDI, RD, SD and SAI uniform regimes; 3.6.1. Exchange factors (EF); 3.6.2. Corrective operations; 3.6.3. Initial averaged intensities and instantaneous intensity 3.6.4. Average length in the linear law and their conjugates3.6.5. Average rates in linear law and their conjugated laws; 3.7. The compound interest regime; 3.7.1. Conversion of interests; 3.7.2. The regime of discretely compound interest (DCI); 3.7.3. The regime of continuously compound interest (CCI); 3.8. The regime of continuously comound discount (CCD); 3.9. Complements and exercises on compound regimes; 3.10. Comparison of laws of different regimes; Chapter 4. Financial Operations and their Evaluation: Decisional Criteria; 4.1. Calculation of capital values: fairness 4.2. Retrospective and prospective reserve4.3. Usufruct and bare ownership in "discrete" and "continuous" cases; 4.4. Methods and models for financial decisions and choices; 4.4.1. Internal rate as return index; 4.4.2. Outline on GDCF and "internal financial law"; 4.4.3. Classifications and propert of financial projects; 4.4.4. Decisional criteria for financial projects; 4.4.5. Choice criteria for mutually exclusive financial projects; 4.4.6. Mixed projects: the TRM method; 4.4.7. Dicisional criteria on mixed projects; 4.5. Appendix: outline on numberical methods for the solution of equations 4.5.1. General aspects |
| Record Nr. | UNINA-9910841724503321 |
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Janssen Jacques <1939->
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| London, : ISTE | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Mathematical finance [[electronic resource] /] / M.J. Alhabeeb
| Mathematical finance [[electronic resource] /] / M.J. Alhabeeb |
| Autore | Alhabeeb M. J. <1954-> |
| Pubbl/distr/stampa | Hoboken, N.J., : Wiley, c2012 |
| Descrizione fisica | 1 online resource (556 p.) |
| Disciplina | 332.01/5195 |
| Soggetto topico |
Finance - Mathematical models
Investments - Mathematics Business mathematics |
| ISBN |
1-118-10691-1
1-118-10690-3 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
MATHEMATICAL FINANCE; CONTENTS; Preface; UNIT I MATHEMATICAL INTRODUCTION; 1 Numbers, Exponents, and Logarithms; 1.1. Numbers; 1.2. Fractions; 1.3. Decimals; 1.4. Repetends; 1.5. Percentages; 1.6. Base Amount, Percentage Rate, and Percentage Amount; 1.7. Ratios; 1.8. Proportions; 1.9. Aliquots; 1.10. Exponents; 1.11. Laws of Exponents; 1.12. Exponential Function; 1.13. Natural Exponential Function; 1.14. Laws of Natural Exponents; 1.15. Scientific Notation; 1.16. Logarithms; 1.17. Laws of Logarithms; 1.18. Characteristic, Mantissa, and Antilogarithm; 1.19. Logarithmic Function
2 Mathematical Progressions2.1. Arithmetic Progression; 2.2. Geometric Progression; 2.3. Recursive Progression; 2.4. Infinite Geometric Progression; 2.5. Growth and Decay Curves; 2.6. Growth and Decay Functions with a Natural Logarithmic Base; 3 Statistical Measures; 3.1. Basic Combinatorial Rules and Concepts; 3.2. Permutation; 3.3. Combination; 3.4. Probability; 3.5. Mathematical Expectation and Expected Value; 3.6. Variance; 3.7. Standard Deviation; 3.8. Covariance; 3.9. Correlation; 3.10. Normal Distribution; Unit I Summary; List of Formulas; Exercises for Unit I UNIT II MATHEMATICS OF THE TIME VALUE OF MONEYIntroduction; 1 Simple Interest; 1.1. Total Interest; 1.2. Rate of Interest; 1.3. Term of Maturity; 1.4. Current Value; 1.5. Future Value; 1.6. Finding n and r When the Current and Future Values are Both Known; 1.7. Simple Discount; 1.8. Calculating the Term in Days; 1.9. Ordinary Interest and Exact Interest; 1.10. Obtaining Ordinary Interest and Exact Interest in Terms of Each Other; 1.11. Focal Date and Equation of Value; 1.12. Equivalent Time: Finding an Average due Date; 1.13. Partial Payments 1.14. Finding the Simple Interest Rate by the Dollar-Weighted Method2 Bank Discount; 2.1. Finding FV Using the Discount Formula; 2.2. Finding the Discount Term and the Discount Rate; 2.3. Difference Between a Simple Discount and a Bank Discount; 2.4. Comparing the Discount Rate to the Interest Rate; 2.5. Discounting a Promissory Note; 2.6. Discounting a Treasury Bill; 3 Compound Interest; 3.1. The Compounding Formula; 3.2. Finding the Current Value; 3.3. Discount Factor; 3.4. Finding the Rate of Compound Interest; 3.5. Finding the Compounding Term; 3.6. The Rule of 72 and Other Rules 3.7. Effective Interest Rate3.8. Types of Compounding; 3.9. Continuous Compounding; 3.10. Equations of Value for a Compound Interest; 3.11. Equated Time For a Compound Interest; 4 Annuities; 4.1. Types of Annuities; 4.2. Future Value of an Ordinary Annuity; 4.3. Current Value of an Ordinary Annuity; 4.4. Finding the Payment of an Ordinary Annuity; 4.5. Finding the Term of an Ordinary Annuity; 4.6. Finding the Interest Rate of an Ordinary Annuity; 4.7. Annuity Due: Future and Current Values; 4.8. Finding the Payment of an Annuity Due; 4.9. Finding the Term of an Annuity Due 4.10. Deferred Annuity |
| Record Nr. | UNINA-9910130740303321 |
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Alhabeeb M. J. <1954->
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||
| Hoboken, N.J., : Wiley, c2012 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Mathematical finance [[electronic resource] /] / M.J. Alhabeeb
| Mathematical finance [[electronic resource] /] / M.J. Alhabeeb |
| Autore | Alhabeeb M. J. <1954-> |
| Pubbl/distr/stampa | Hoboken, N.J., : Wiley, c2012 |
| Descrizione fisica | 1 online resource (556 p.) |
| Disciplina | 332.01/5195 |
| Soggetto topico |
Finance - Mathematical models
Investments - Mathematics Business mathematics |
| ISBN |
1-118-10691-1
1-118-10690-3 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
MATHEMATICAL FINANCE; CONTENTS; Preface; UNIT I MATHEMATICAL INTRODUCTION; 1 Numbers, Exponents, and Logarithms; 1.1. Numbers; 1.2. Fractions; 1.3. Decimals; 1.4. Repetends; 1.5. Percentages; 1.6. Base Amount, Percentage Rate, and Percentage Amount; 1.7. Ratios; 1.8. Proportions; 1.9. Aliquots; 1.10. Exponents; 1.11. Laws of Exponents; 1.12. Exponential Function; 1.13. Natural Exponential Function; 1.14. Laws of Natural Exponents; 1.15. Scientific Notation; 1.16. Logarithms; 1.17. Laws of Logarithms; 1.18. Characteristic, Mantissa, and Antilogarithm; 1.19. Logarithmic Function
2 Mathematical Progressions2.1. Arithmetic Progression; 2.2. Geometric Progression; 2.3. Recursive Progression; 2.4. Infinite Geometric Progression; 2.5. Growth and Decay Curves; 2.6. Growth and Decay Functions with a Natural Logarithmic Base; 3 Statistical Measures; 3.1. Basic Combinatorial Rules and Concepts; 3.2. Permutation; 3.3. Combination; 3.4. Probability; 3.5. Mathematical Expectation and Expected Value; 3.6. Variance; 3.7. Standard Deviation; 3.8. Covariance; 3.9. Correlation; 3.10. Normal Distribution; Unit I Summary; List of Formulas; Exercises for Unit I UNIT II MATHEMATICS OF THE TIME VALUE OF MONEYIntroduction; 1 Simple Interest; 1.1. Total Interest; 1.2. Rate of Interest; 1.3. Term of Maturity; 1.4. Current Value; 1.5. Future Value; 1.6. Finding n and r When the Current and Future Values are Both Known; 1.7. Simple Discount; 1.8. Calculating the Term in Days; 1.9. Ordinary Interest and Exact Interest; 1.10. Obtaining Ordinary Interest and Exact Interest in Terms of Each Other; 1.11. Focal Date and Equation of Value; 1.12. Equivalent Time: Finding an Average due Date; 1.13. Partial Payments 1.14. Finding the Simple Interest Rate by the Dollar-Weighted Method2 Bank Discount; 2.1. Finding FV Using the Discount Formula; 2.2. Finding the Discount Term and the Discount Rate; 2.3. Difference Between a Simple Discount and a Bank Discount; 2.4. Comparing the Discount Rate to the Interest Rate; 2.5. Discounting a Promissory Note; 2.6. Discounting a Treasury Bill; 3 Compound Interest; 3.1. The Compounding Formula; 3.2. Finding the Current Value; 3.3. Discount Factor; 3.4. Finding the Rate of Compound Interest; 3.5. Finding the Compounding Term; 3.6. The Rule of 72 and Other Rules 3.7. Effective Interest Rate3.8. Types of Compounding; 3.9. Continuous Compounding; 3.10. Equations of Value for a Compound Interest; 3.11. Equated Time For a Compound Interest; 4 Annuities; 4.1. Types of Annuities; 4.2. Future Value of an Ordinary Annuity; 4.3. Current Value of an Ordinary Annuity; 4.4. Finding the Payment of an Ordinary Annuity; 4.5. Finding the Term of an Ordinary Annuity; 4.6. Finding the Interest Rate of an Ordinary Annuity; 4.7. Annuity Due: Future and Current Values; 4.8. Finding the Payment of an Annuity Due; 4.9. Finding the Term of an Annuity Due 4.10. Deferred Annuity |
| Record Nr. | UNINA-9910677868503321 |
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Alhabeeb M. J. <1954->
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| Hoboken, N.J., : Wiley, c2012 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Mathematical methods for finance : tools for asset and risk management / / Sergio M. Focardi, Frank J. Fabozzi, Turan G. Bali
| Mathematical methods for finance : tools for asset and risk management / / Sergio M. Focardi, Frank J. Fabozzi, Turan G. Bali |
| Autore | Focardi Sergio M |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Hoboken, New Jersey : , : John Wiley & Sons, Inc., , [2013] |
| Descrizione fisica | 1 online resource (322 p.) |
| Disciplina | 332.01/5195 |
| Altri autori (Persone) |
FabozziFrank J
BaliTuran G |
| Collana | The Frank J. Fabozzi series |
| Soggetto topico |
Finance - Mathematical models
Asset-liability management - Mathematical models Risk management - Mathematical models |
| ISBN |
1-118-42149-3
1-118-65660-1 1-118-42008-X |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Mathematical Methods for Finance; Contents; Preface; About the Authors; CHAPTER 1 Basic Concepts: Sets, Functions, and Variables; INTRODUCTION; SETS AND SET OPERATIONS; Proper Subsets; Empty Sets; Union of Sets; Intersection of Sets; Elementary Properties of Sets; DISTANCES AND QUANTITIES; n-tuples; Distance; Density of Points; FUNCTIONS; VARIABLES; KEY POINTS; CHAPTER 2 Differential Calculus; INTRODUCTION; LIMITS; CONTINUITY; TOTAL VARIATION; THE NOTION OF DIFFERENTIATION; COMMONLY USED RULES FOR COMPUTING DERIVATIVES; HIGHER-ORDER DERIVATIVES; Application to Bond Analysis
Application of the Chain RuleTAYLOR SERIES EXPANSION; Application to Bond Analysis; CALCULUS IN MORE THAN ONE VARIABLE; KEY POINTS; CHAPTER 3 Integral Calculus; INTRODUCTION; RIEMANN INTEGRALS; Properties of Riemann Integrals; LEBESGUE-STIELTJES INTEGRALS; INDEFINITE AND IMPROPER INTEGRALS; THE FUNDAMENTAL THEOREM OF CALCULUS; INTEGRAL TRANSFORMS; Laplace Transforms; Fourier Transforms; CALCULUS IN MORE THAN ONE VARIABLE; KEY POINTS; CHAPTER 4 Matrix Algebra; INTRODUCTION; VECTORS AND MATRICES DEFINED; Vectors; Matrices; SQUARE MATRICES; Diagonals and Antidiagonals; Identity Matrix Diagonal MatrixUpper and Lower Triangular Matrix; DETERMINANTS; SYSTEMS OF LINEAR EQUATIONS; LINEAR INDEPENDENCE AND RANK; HANKEL MATRIX; VECTOR AND MATRIX OPERATIONS; Vector Operations; Matrix Operations; FINANCE APPLICATION; EIGENVALUES AND EIGENVECTORS; DIAGONALIZATION AND SIMILARITY; SINGULAR VALUE DECOMPOSITION; KEY POINTS; CHAPTER 5 Probability: Basic Concepts; INTRODUCTION; REPRESENTING UNCERTAINTY WITH MATHEMATICS; PROBABILITY IN A NUTSHELL; OUTCOMES AND EVENTS; PROBABILITY; MEASURE; RANDOM VARIABLES; INTEGRALS; DISTRIBUTIONS AND DISTRIBUTION FUNCTIONS; RANDOM VECTORS STOCHASTIC PROCESSESPROBABILISTIC REPRESENTATION OF FINANCIAL MARKETS; INFORMATION STRUCTURES; FILTRATION; KEY POINTS; CHAPTER 6 Probability: Random Variables and Expectations; INTRODUCTION; CONDITIONAL PROBABILITY AND CONDITIONAL EXPECTATION; MOMENTS AND CORRELATION; COPULA FUNCTIONS; SEQUENCES OF RANDOM VARIABLES; INDEPENDENT AND IDENTICALLY DISTRIBUTED SEQUENCES; SUM OF VARIABLES; GAUSSIAN VARIABLES; APPROXIMATING THE TAILS OF A PROBABILITY DISTRIBUTION: CORNISH-FISHER EXPANSION AND HERMITE POLYNOMIALS; Cornish-Fisher Expansion; Hermite Polynomials Cornish-Fisher Expansion with Hermite PolynomialsTHE REGRESSION FUNCTION; Linear Regression; FAT TAILS AND STABLE LAWS; Fat Tails; The Class L of Fat-Tailed Distributions; The Law of Large Numbers and the Central Limit Theorem; Stable Distributions; KEY POINTS; CHAPTER 7 Optimization; INTRODUCTION; MAXIMA AND MINIMA; LAGRANGE MULTIPLIERS; NUMERICAL ALGORITHMS; Linear Programming; Quadratic Programming; CALCULUS OF VARIATIONS AND OPTIMAL CONTROL THEORY; STOCHASTIC PROGRAMMING; APPLICATION TO BOND PORTFOLIO: LIABILITY-FUNDING STRATEGIES; Cash Flow Matching; Portfolio Immunization Scenario Optimization |
| Record Nr. | UNINA-9910139002903321 |
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Focardi Sergio M
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| Hoboken, New Jersey : , : John Wiley & Sons, Inc., , [2013] | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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