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Agrégation Interne de Mathématiques . Tome 1 / / Pierre Meunier
| Agrégation Interne de Mathématiques . Tome 1 / / Pierre Meunier |
| Autore | Meunier Pierre |
| Pubbl/distr/stampa | Toulouse : , : Cepadues Editions, , [2017] |
| Descrizione fisica | 1 online resource (264 pages) |
| Disciplina | 332.015195 |
| Soggetto topico |
Finance - Mathematical models
Monetary policy - Mathematical models |
| Soggetto genere / forma | Electronic books. |
| ISBN | 2-36493-997-6 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | fre |
| Record Nr. | UNINA-9910466776903321 |
Meunier Pierre
|
||
| Toulouse : , : Cepadues Editions, , [2017] | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Agrégation Interne de Mathématiques . Tome 1 / / Pierre Meunier
| Agrégation Interne de Mathématiques . Tome 1 / / Pierre Meunier |
| Autore | Meunier Pierre |
| Pubbl/distr/stampa | Toulouse : , : Cepadues Editions, , [2017] |
| Descrizione fisica | 1 online resource (264 pages) |
| Disciplina | 332.015195 |
| Soggetto topico |
Finance - Mathematical models
Monetary policy - Mathematical models |
| ISBN | 2-36493-997-6 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | fre |
| Record Nr. | UNINA-9910796938803321 |
|
Meunier Pierre
|
||
| Toulouse : , : Cepadues Editions, , [2017] | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Agrégation Interne de Mathématiques . Tome 1 / / Pierre Meunier
| Agrégation Interne de Mathématiques . Tome 1 / / Pierre Meunier |
| Autore | Meunier Pierre |
| Pubbl/distr/stampa | Toulouse : , : Cepadues Editions, , [2017] |
| Descrizione fisica | 1 online resource (264 pages) |
| Disciplina | 332.015195 |
| Soggetto topico |
Finance - Mathematical models
Monetary policy - Mathematical models |
| ISBN | 2-36493-997-6 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | fre |
| Record Nr. | UNINA-9910815921203321 |
|
Meunier Pierre
|
||
| Toulouse : , : Cepadues Editions, , [2017] | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Annals of financial economics
| Annals of financial economics |
| Pubbl/distr/stampa | Singapore : , : World Scientific Publishing Co. Pte. Ltd. |
| Descrizione fisica | 1 online resource |
| Disciplina | 332.0151 |
| Soggetto topico |
Finance - Mathematical models
Finance - Research |
| Soggetto genere / forma | Periodicals. |
| ISSN | 2010-4960 |
| Formato | Materiale a stampa |
| Livello bibliografico | Periodico |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910679800603321 |
| Singapore : , : World Scientific Publishing Co. Pte. Ltd. | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Applied financial modelling / / Paresh Kumar Narayan and Jonathan Batten, guest editors
| Applied financial modelling / / Paresh Kumar Narayan and Jonathan Batten, guest editors |
| Pubbl/distr/stampa | Bradford : , : Emerald Publishing Limited, , 2021 |
| Descrizione fisica | 1 online resource (353 pages) |
| Disciplina | 332.015195 |
| Collana | Studies in Economics and Finance |
| Soggetto topico | Finance - Mathematical models |
| ISBN | 1-80117-779-1 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Cover -- Construction of infrastructure index for Indonesia -- Understanding Indonesia's exchange rate behavior -- Non-core deposit of Indonesian banking -- Fiscal sustainability in India: evidence from Markov switching and threshold regression models -- Crude palm oil prices and default risk: an analysis of Indonesia's listed agricultural firms -- Digital trade facilitation and bilateral trade in selected Asian countries -- Does bank regulation and supervision impedes the efficiency of microfinance institutions to eradicate poverty? Evidence from ASEAN-5 countries -- Do foreign banks in India respond to global monetary policy shocks? A SVAR analysis -- Do surges in foreign direct investment inflows lead to surges in economic growth? Evidence from developing countries -- Global value chain embeddedness, labour productivity and employment in the Asia-Pacific countries -- Institutions, human capital and economic growth in developing countries -- Testing deviations from PPP and UIP: evidence from BRICS economies -- Do government expenditures and institutions drive growth? Evidence from developed and developing economies -- Stability versus fragility: new evidence from 84 banks -- COVID-19 pandemic and cryptocurrency markets: an empirical analysis from a linear and nonlinear causal relationship -- The nexus between the exchange rates and interest rates: evidence from BRIICS economies during the COVID-19 pandemic -- Do government expenditure reduce income inequality: evidence from developing and developed countries -- Impact of digital financial inclusion on ASEAN banking stability: implications for the post-Covid-19 era. |
| Record Nr. | UNINA-9910794514303321 |
| Bradford : , : Emerald Publishing Limited, , 2021 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Applied financial modelling / / Paresh Kumar Narayan and Jonathan Batten, guest editors
| Applied financial modelling / / Paresh Kumar Narayan and Jonathan Batten, guest editors |
| Pubbl/distr/stampa | Bradford : , : Emerald Publishing Limited, , 2021 |
| Descrizione fisica | 1 online resource (353 pages) |
| Disciplina | 332.015195 |
| Collana | Studies in Economics and Finance |
| Soggetto topico | Finance - Mathematical models |
| ISBN | 1-80117-779-1 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Cover -- Construction of infrastructure index for Indonesia -- Understanding Indonesia's exchange rate behavior -- Non-core deposit of Indonesian banking -- Fiscal sustainability in India: evidence from Markov switching and threshold regression models -- Crude palm oil prices and default risk: an analysis of Indonesia's listed agricultural firms -- Digital trade facilitation and bilateral trade in selected Asian countries -- Does bank regulation and supervision impedes the efficiency of microfinance institutions to eradicate poverty? Evidence from ASEAN-5 countries -- Do foreign banks in India respond to global monetary policy shocks? A SVAR analysis -- Do surges in foreign direct investment inflows lead to surges in economic growth? Evidence from developing countries -- Global value chain embeddedness, labour productivity and employment in the Asia-Pacific countries -- Institutions, human capital and economic growth in developing countries -- Testing deviations from PPP and UIP: evidence from BRICS economies -- Do government expenditures and institutions drive growth? Evidence from developed and developing economies -- Stability versus fragility: new evidence from 84 banks -- COVID-19 pandemic and cryptocurrency markets: an empirical analysis from a linear and nonlinear causal relationship -- The nexus between the exchange rates and interest rates: evidence from BRIICS economies during the COVID-19 pandemic -- Do government expenditure reduce income inequality: evidence from developing and developed countries -- Impact of digital financial inclusion on ASEAN banking stability: implications for the post-Covid-19 era. |
| Record Nr. | UNINA-9910806890603321 |
| Bradford : , : Emerald Publishing Limited, , 2021 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Applied quantitative methods for trading and investment [[electronic resource] /] / edited by Christian L. Dunis, Jason Laws, and Patrick Naïm
| Applied quantitative methods for trading and investment [[electronic resource] /] / edited by Christian L. Dunis, Jason Laws, and Patrick Naïm |
| Pubbl/distr/stampa | Chichester, West Sussex ; ; Hoboken, N.J., : John Wiley, c2003 |
| Descrizione fisica | 1 online resource (427 p.) |
| Disciplina |
332.6/01/5195
332.6015195 |
| Altri autori (Persone) |
DunisChristian
LawsJason NaïmPatrick |
| Collana | Wiley finance series |
| Soggetto topico |
Finance - Mathematical models
Investments - Mathematical models Speculation - Mathematical models |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-280-27398-4
9786610273980 0-470-29950-9 0-470-87134-2 0-470-01326-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Applied Quantitative Methods for Trading and Investment; Contents; About the Contributors; Preface; 1 Applications of Advanced Regression Analysis for Trading and Investment; Abstract; 1.1 Introduction; 1.2 Literature review; 1.3 The exchange rate and related financial data; 1.4 Benchmark models: theory and methodology; 1.5 Neural network models: theory and methodology; 1.6 Forecasting accuracy and trading simulation; 1.7 Concluding remarks; References; 2 Using Cointegration to Hedge and Trade International Equities; Abstract; 2.1 Introduction; 2.2 Time series modelling and cointegration
2.3 Implicit hedging of unknown common risk factors2.4 Relative value and statistical arbitrage; 2.5 Illustration of cointegration in a controlled simulation; 2.6 Application to international equities; 2.7 Discussion and conclusions; References; 3 Modelling the Term Structure of Interest Rates: An Application of Gaussian Affine Models to the German Yield Curve; Abstract; 3.1 Introduction; 3.2 Background issues on asset pricing; 3.3 Duffie-Kan affine models of the term structure; 3.4 A forward rate test of the expectations theory; 3.5 Identification 3.6 Econometric methodology and applications3.7 Estimation results; 3.8 Conclusions; References; 4 Forecasting and Trading Currency Volatility: An Application of Recurrent Neural Regression and Model Combination; Abstract; 4.1 Introduction; 4.2 The exchange rate and volatility data; 4.3 The GARCH (1,1) benchmark volatility forecasts; 4.4 The neural network volatility forecasts; 4.5 Model combinations and forecasting accuracy; 4.6 Foreign exchange volatility trading models; 4.7 Concluding remarks and further work; Acknowledgements; Appendix A; Appendix B; Appendix C; Appendix D; Appendix E Appendix FAppendix G; References; 5 Implementing Neural Networks, Classification Trees, and Rule Induction Classification Techniques: An Application to Credit Risk; Abstract; 5.1 Introduction; 5.2 Data description; 5.3 Neural networks for classification in Excel; 5.4 Classification tree in Excel; 5.5 See5 classifier; 5.6 Conclusions; References; 6 Switching Regime Volatility: An Empirical Evaluation; Abstract; 6.1 Introduction; 6.2 The model; 6.3 Maximum likelihood estimation; 6.4 An application to foreign exchange rates; 6.5 Conclusion; References Appendix A: Gauss code for maximum likelihood for variance switching models7 Quantitative Equity Investment Management with Time-Varying Factor Sensitivities; Abstract; 7.1 Introduction; 7.2 Factor sensitivities defined; 7.3 OLS to estimate factor sensitivities: a simple, popular but inaccurate method; 7.4 WLS to estimate factor sensitivities: a better but still sub-optimal method; 7.5 The stochastic parameter regression model and the Kalman filter: the best way to estimate factor sensitivities; 7.6 Conclusion; References 8 Stochastic Volatility Models: A Survey with Applications to Option Pricing and Value at Risk |
| Record Nr. | UNINA-9910143228603321 |
| Chichester, West Sussex ; ; Hoboken, N.J., : John Wiley, c2003 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Applied quantitative methods for trading and investment [[electronic resource] /] / edited by Christian L. Dunis, Jason Laws, and Patrick Naïm
| Applied quantitative methods for trading and investment [[electronic resource] /] / edited by Christian L. Dunis, Jason Laws, and Patrick Naïm |
| Pubbl/distr/stampa | Chichester, West Sussex ; ; Hoboken, N.J., : John Wiley, c2003 |
| Descrizione fisica | 1 online resource (427 p.) |
| Disciplina |
332.6/01/5195
332.6015195 |
| Altri autori (Persone) |
DunisChristian
LawsJason NaïmPatrick |
| Collana | Wiley finance series |
| Soggetto topico |
Finance - Mathematical models
Investments - Mathematical models Speculation - Mathematical models |
| ISBN |
1-280-27398-4
9786610273980 0-470-29950-9 0-470-87134-2 0-470-01326-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Applied Quantitative Methods for Trading and Investment; Contents; About the Contributors; Preface; 1 Applications of Advanced Regression Analysis for Trading and Investment; Abstract; 1.1 Introduction; 1.2 Literature review; 1.3 The exchange rate and related financial data; 1.4 Benchmark models: theory and methodology; 1.5 Neural network models: theory and methodology; 1.6 Forecasting accuracy and trading simulation; 1.7 Concluding remarks; References; 2 Using Cointegration to Hedge and Trade International Equities; Abstract; 2.1 Introduction; 2.2 Time series modelling and cointegration
2.3 Implicit hedging of unknown common risk factors2.4 Relative value and statistical arbitrage; 2.5 Illustration of cointegration in a controlled simulation; 2.6 Application to international equities; 2.7 Discussion and conclusions; References; 3 Modelling the Term Structure of Interest Rates: An Application of Gaussian Affine Models to the German Yield Curve; Abstract; 3.1 Introduction; 3.2 Background issues on asset pricing; 3.3 Duffie-Kan affine models of the term structure; 3.4 A forward rate test of the expectations theory; 3.5 Identification 3.6 Econometric methodology and applications3.7 Estimation results; 3.8 Conclusions; References; 4 Forecasting and Trading Currency Volatility: An Application of Recurrent Neural Regression and Model Combination; Abstract; 4.1 Introduction; 4.2 The exchange rate and volatility data; 4.3 The GARCH (1,1) benchmark volatility forecasts; 4.4 The neural network volatility forecasts; 4.5 Model combinations and forecasting accuracy; 4.6 Foreign exchange volatility trading models; 4.7 Concluding remarks and further work; Acknowledgements; Appendix A; Appendix B; Appendix C; Appendix D; Appendix E Appendix FAppendix G; References; 5 Implementing Neural Networks, Classification Trees, and Rule Induction Classification Techniques: An Application to Credit Risk; Abstract; 5.1 Introduction; 5.2 Data description; 5.3 Neural networks for classification in Excel; 5.4 Classification tree in Excel; 5.5 See5 classifier; 5.6 Conclusions; References; 6 Switching Regime Volatility: An Empirical Evaluation; Abstract; 6.1 Introduction; 6.2 The model; 6.3 Maximum likelihood estimation; 6.4 An application to foreign exchange rates; 6.5 Conclusion; References Appendix A: Gauss code for maximum likelihood for variance switching models7 Quantitative Equity Investment Management with Time-Varying Factor Sensitivities; Abstract; 7.1 Introduction; 7.2 Factor sensitivities defined; 7.3 OLS to estimate factor sensitivities: a simple, popular but inaccurate method; 7.4 WLS to estimate factor sensitivities: a better but still sub-optimal method; 7.5 The stochastic parameter regression model and the Kalman filter: the best way to estimate factor sensitivities; 7.6 Conclusion; References 8 Stochastic Volatility Models: A Survey with Applications to Option Pricing and Value at Risk |
| Record Nr. | UNINA-9910830386503321 |
| Chichester, West Sussex ; ; Hoboken, N.J., : John Wiley, c2003 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Applied quantitative methods for trading and investment [[electronic resource] /] / edited by Christian L. Dunis, Jason Laws, and Patrick Naïm
| Applied quantitative methods for trading and investment [[electronic resource] /] / edited by Christian L. Dunis, Jason Laws, and Patrick Naïm |
| Pubbl/distr/stampa | Chichester, West Sussex ; ; Hoboken, N.J., : John Wiley, c2003 |
| Descrizione fisica | 1 online resource (427 p.) |
| Disciplina |
332.6/01/5195
332.6015195 |
| Altri autori (Persone) |
DunisChristian
LawsJason NaïmPatrick |
| Collana | Wiley finance series |
| Soggetto topico |
Finance - Mathematical models
Investments - Mathematical models Speculation - Mathematical models |
| ISBN |
1-280-27398-4
9786610273980 0-470-29950-9 0-470-87134-2 0-470-01326-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Applied Quantitative Methods for Trading and Investment; Contents; About the Contributors; Preface; 1 Applications of Advanced Regression Analysis for Trading and Investment; Abstract; 1.1 Introduction; 1.2 Literature review; 1.3 The exchange rate and related financial data; 1.4 Benchmark models: theory and methodology; 1.5 Neural network models: theory and methodology; 1.6 Forecasting accuracy and trading simulation; 1.7 Concluding remarks; References; 2 Using Cointegration to Hedge and Trade International Equities; Abstract; 2.1 Introduction; 2.2 Time series modelling and cointegration
2.3 Implicit hedging of unknown common risk factors2.4 Relative value and statistical arbitrage; 2.5 Illustration of cointegration in a controlled simulation; 2.6 Application to international equities; 2.7 Discussion and conclusions; References; 3 Modelling the Term Structure of Interest Rates: An Application of Gaussian Affine Models to the German Yield Curve; Abstract; 3.1 Introduction; 3.2 Background issues on asset pricing; 3.3 Duffie-Kan affine models of the term structure; 3.4 A forward rate test of the expectations theory; 3.5 Identification 3.6 Econometric methodology and applications3.7 Estimation results; 3.8 Conclusions; References; 4 Forecasting and Trading Currency Volatility: An Application of Recurrent Neural Regression and Model Combination; Abstract; 4.1 Introduction; 4.2 The exchange rate and volatility data; 4.3 The GARCH (1,1) benchmark volatility forecasts; 4.4 The neural network volatility forecasts; 4.5 Model combinations and forecasting accuracy; 4.6 Foreign exchange volatility trading models; 4.7 Concluding remarks and further work; Acknowledgements; Appendix A; Appendix B; Appendix C; Appendix D; Appendix E Appendix FAppendix G; References; 5 Implementing Neural Networks, Classification Trees, and Rule Induction Classification Techniques: An Application to Credit Risk; Abstract; 5.1 Introduction; 5.2 Data description; 5.3 Neural networks for classification in Excel; 5.4 Classification tree in Excel; 5.5 See5 classifier; 5.6 Conclusions; References; 6 Switching Regime Volatility: An Empirical Evaluation; Abstract; 6.1 Introduction; 6.2 The model; 6.3 Maximum likelihood estimation; 6.4 An application to foreign exchange rates; 6.5 Conclusion; References Appendix A: Gauss code for maximum likelihood for variance switching models7 Quantitative Equity Investment Management with Time-Varying Factor Sensitivities; Abstract; 7.1 Introduction; 7.2 Factor sensitivities defined; 7.3 OLS to estimate factor sensitivities: a simple, popular but inaccurate method; 7.4 WLS to estimate factor sensitivities: a better but still sub-optimal method; 7.5 The stochastic parameter regression model and the Kalman filter: the best way to estimate factor sensitivities; 7.6 Conclusion; References 8 Stochastic Volatility Models: A Survey with Applications to Option Pricing and Value at Risk |
| Record Nr. | UNINA-9910840784103321 |
| Chichester, West Sussex ; ; Hoboken, N.J., : John Wiley, c2003 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Applied stochastic models in business and industry
| Applied stochastic models in business and industry |
| Pubbl/distr/stampa | [Chichester], : John Wiley & Sons, ©1999- |
| Descrizione fisica | 1 online resource |
| Disciplina | 519 |
| Soggetto topico |
Stochastic analysis
Stochastic processes Business mathematics Finance - Mathematical models Industrial management - Mathematical models Industrial statistics Commercial statistics Analyse stochastique Processus stochastiques Statistique industrielle Statistique commerciale Mathématiques financières Finances - Modèles mathématiques Gestion d'entreprise - Modèles mathématiques Business (General) Decision Science Stochastic Processes Industrial Management |
| Soggetto genere / forma | Periodicals. |
| Soggetto non controllato | Mathematical Statistics |
| ISSN | 1526-4025 |
| Formato | Materiale a stampa |
| Livello bibliografico | Periodico |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910139448503321 |
| [Chichester], : John Wiley & Sons, ©1999- | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
