Extreme value methods with applications to finance / / Serguei Y. Novak |
Autore | Novak Serguei Y. |
Pubbl/distr/stampa | Boca Raton, Fla. : , : CRC Press, , 2012 |
Descrizione fisica | 1 online resource (397 p.) |
Disciplina | 332.01/5195 |
Collana | Monographs on statistics and applied probability |
Soggetto topico |
Finance - Mathematical models
Financial risk - Mathematical models Extreme value theory - Mathematical models |
ISBN |
0-429-09383-7
1-280-12191-2 9786613525772 1-4398-3575-6 |
Formato | Materiale a stampa ![]() |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Nota di contenuto | Front Cover; Detication; Contents; Preface; Introduction; List of Conventions; List of Abbreviations; Author; Part I: Distribution of Extremes; 1. Methods of Extreme Value Theory; 2. Maximum of Partial Sums; 3. Extremes in Samples of Random Size; 4. Poisson Approximation; 5. Compound Poisson Approximation; 6. Exceedances of Several Levels; 7. Processes of Exceedances; 8. Beyond Compound Poisson; Part II: Statistics of Extremes; 9. Inference on Heavy Tails; 10. Value-at-Risk; 11. Extremal Index; 12. Normal Approximation; 13. Lower Bounds; 14. Appendix; References |
Record Nr. | UNINA-9910814917503321 |
Novak Serguei Y.
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Boca Raton, Fla. : , : CRC Press, , 2012 | ||
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Lo trovi qui: Univ. Federico II | ||
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A fast track to structured finance modeling, monitoring, and valuation [[electronic resource] ] : jump start VBA / / William Preinitz |
Autore | Preinitz William <1950-> |
Pubbl/distr/stampa | Hoboken, N.J., : John Wiley & Sons, c2009 |
Descrizione fisica | 1 online resource (769 p.) |
Disciplina |
332.01/5195
332.015195 |
Collana | [Wiley finance] |
Soggetto topico |
Finance - Computer simulation
Risk assessment - Computer simulation Finance - Mathematical models |
Soggetto genere / forma | Electronic books. |
ISBN |
0-470-44606-4
1-119-19767-8 1-282-11353-4 9786612113536 0-470-44614-5 |
Formato | Materiale a stampa ![]() |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Nota di contenuto |
A FAST-TRACK TO STRUCTURED FINANCE: Modeling Monitering, and Valuation; Contents; Preface; About the Web Site; Part I: Introduction; Chapter 1: Why? What? Who? Where? and How?; THE IMMORTAL QUESTION(S); WHAT ARE THE ADVANTAGES OF LEARNING VBA?; WHAT ARE THE DISADVANTAGES OF LEARNING VBA?; WHAT IS A MODEL?; WHY IS MODELING A VALUABLE SKILL?; WHAT ARE THE STAGES OF MODEL DESIGN AND CONSTRUCTION?; OTHER ASPECTS OF MODELING; PERSPECTIVE OF THIS BOOK; STRUCTURE OF THE BOOK; PUTTING THE DELIVERABLES "ON THE TARGET"; Chapter 2: Common Sense; OVERVIEW; DELIVERABLES
DO NOT EAT ANYTHING BIGGER THAN YOUR HEADYOU ONLY HURT THE ONE YOU LOVE; IT IS OK TO BE RIGHT; JUST DO NOT BE DEAD-RIGHT; KNOW WHEN TO HOLD 'EM; NEXT STEPS; Part II: The Securitization Process; Chapter 3: Securitizing a Loan Portfolio; OVERVIEW; DELIVERABLES; FINANCING A LOAN PORTFOLIO; DESCRIPTION OF THE COLLATERAL; COLLATERAL CASH FLOWS; EXPENSE AND LIABILITY STRUCTURE; MEASURING THE PERFORMANCE OF THE STRUCTURE; FUNCTIONAL REQUIREMENTS OF THE MODEL; THE ROLE OF THE MODEL IN THE PROCESS OF SECURITIZATION; DELIVERABLES CHECKLIST; NEXT STEPS; ON THE WEB SITE; Part III: Designing the Model Chapter 4: Understanding the Excel WaterfallOVERVIEW; DELIVERABLES; UNDER CONSTRUCTION; WATERFALLS; STRUCTURE OF THE CASH FLOW WATERFALL; COLLATERAL CASH FLOWS SECTION; DEAL EXPENSES SECTION; CONDUIT INTEREST SECTION; CONDUIT PRINCIPAL SECTION; EXCESS CASH TREATMENT SECTION; CONDUIT SUMMARY SECTION; DELINQUENCY RESERVE SECTION; DEAL TRIGGERS SECTION; DEBT COSTS SECTION; DEFAULT TESTS SECTION; DEBT PERFORMANCE CALCULATIONS SUPPORT SECTION; DEAL WIND-DOWN TRIGGER; CASH FLOW WATERFALL "BOX SCORE" SECTION; DELIVERABLES CHECKLIST; NEXT STEPS; ON THE WEB SITE; Chapter 5: Designing the VBA Model OVERVIEWDELIVERABLES; UNDER CONSTRUCTION; WHAT ARE THE DESIRED RESULTS?; WHAT PROCESSES MUST THE MODEL PERFORM?; INTRODUCTION TO TEMPLATE FILES; COLLATERAL SELECTION REPORTS; INELIGIBLE COLLATERAL REPORTS; ELIGIBLE COLLATERAL REPORTS; CASH FLOW WATERFALL REPORTS; CASH FLOW MATRIX REPORTS; DESIGNING THE MENUS; DESIGNING THE COLLATERAL SELECTION OUTPUT SCREEN; IT SHOULD LOOK LIKE THIS; DELIVERABLES CHECKLIST; NEXT STEPS; ON THE WEB SITE; Part IV: Learning the VBA Language; Chapter 6: Laying the Model Groundwork; OVERVIEW; DELIVERABLES; UNDER CONSTRUCTION; CREATING THE EXTERNAL MODEL ENVIRONMENT CREATING THE INTERNAL MODEL ENVIRONMENTWRITING THE MAIN PROGRAM IN PSEUDO CODE; DELIVERABLES CHECKLIST; NEXT STEPS; ON THE WEB SITE; Chapter 7: Recorded Macros: A First Look at the VBA Language; OVERVIEW; DELIVERABLES; UNDER CONSTRUCTION; RECORDING VBA CODE; RUNNING THE EDITED CODE; USING RECORDED MACROS TO BUILD A SIMPLE MODEL; DELIVERABLES CHECKLIST; NEXT STEPS; ON THE WEB SITE; Chapter 8: Writing Menus: An Introduction to Data, Ranges, Arrays, and Objects; OVERVIEW; DELIVERABLES; UNDER CONSTRUCTION; ROLE OF THE MENU; STRUCTURAL ELEMENTS OF A MENU; INTRODUCTION TO VBA VARIABLES VARIABLE TYPES |
Record Nr. | UNINA-9910146399003321 |
Preinitz William <1950->
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Hoboken, N.J., : John Wiley & Sons, c2009 | ||
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Lo trovi qui: Univ. Federico II | ||
|
A fast track to structured finance modeling, monitoring, and valuation [[electronic resource] ] : jump start VBA / / William Preinitz |
Autore | Preinitz William <1950-> |
Pubbl/distr/stampa | Hoboken, N.J., : John Wiley & Sons, c2009 |
Descrizione fisica | 1 online resource (769 p.) |
Disciplina |
332.01/5195
332.015195 |
Collana | [Wiley finance] |
Soggetto topico |
Finance - Computer simulation
Risk assessment - Computer simulation Finance - Mathematical models |
ISBN |
0-470-44606-4
1-119-19767-8 1-282-11353-4 9786612113536 0-470-44614-5 |
Formato | Materiale a stampa ![]() |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Nota di contenuto |
A FAST-TRACK TO STRUCTURED FINANCE: Modeling Monitering, and Valuation; Contents; Preface; About the Web Site; Part I: Introduction; Chapter 1: Why? What? Who? Where? and How?; THE IMMORTAL QUESTION(S); WHAT ARE THE ADVANTAGES OF LEARNING VBA?; WHAT ARE THE DISADVANTAGES OF LEARNING VBA?; WHAT IS A MODEL?; WHY IS MODELING A VALUABLE SKILL?; WHAT ARE THE STAGES OF MODEL DESIGN AND CONSTRUCTION?; OTHER ASPECTS OF MODELING; PERSPECTIVE OF THIS BOOK; STRUCTURE OF THE BOOK; PUTTING THE DELIVERABLES "ON THE TARGET"; Chapter 2: Common Sense; OVERVIEW; DELIVERABLES
DO NOT EAT ANYTHING BIGGER THAN YOUR HEADYOU ONLY HURT THE ONE YOU LOVE; IT IS OK TO BE RIGHT; JUST DO NOT BE DEAD-RIGHT; KNOW WHEN TO HOLD 'EM; NEXT STEPS; Part II: The Securitization Process; Chapter 3: Securitizing a Loan Portfolio; OVERVIEW; DELIVERABLES; FINANCING A LOAN PORTFOLIO; DESCRIPTION OF THE COLLATERAL; COLLATERAL CASH FLOWS; EXPENSE AND LIABILITY STRUCTURE; MEASURING THE PERFORMANCE OF THE STRUCTURE; FUNCTIONAL REQUIREMENTS OF THE MODEL; THE ROLE OF THE MODEL IN THE PROCESS OF SECURITIZATION; DELIVERABLES CHECKLIST; NEXT STEPS; ON THE WEB SITE; Part III: Designing the Model Chapter 4: Understanding the Excel WaterfallOVERVIEW; DELIVERABLES; UNDER CONSTRUCTION; WATERFALLS; STRUCTURE OF THE CASH FLOW WATERFALL; COLLATERAL CASH FLOWS SECTION; DEAL EXPENSES SECTION; CONDUIT INTEREST SECTION; CONDUIT PRINCIPAL SECTION; EXCESS CASH TREATMENT SECTION; CONDUIT SUMMARY SECTION; DELINQUENCY RESERVE SECTION; DEAL TRIGGERS SECTION; DEBT COSTS SECTION; DEFAULT TESTS SECTION; DEBT PERFORMANCE CALCULATIONS SUPPORT SECTION; DEAL WIND-DOWN TRIGGER; CASH FLOW WATERFALL "BOX SCORE" SECTION; DELIVERABLES CHECKLIST; NEXT STEPS; ON THE WEB SITE; Chapter 5: Designing the VBA Model OVERVIEWDELIVERABLES; UNDER CONSTRUCTION; WHAT ARE THE DESIRED RESULTS?; WHAT PROCESSES MUST THE MODEL PERFORM?; INTRODUCTION TO TEMPLATE FILES; COLLATERAL SELECTION REPORTS; INELIGIBLE COLLATERAL REPORTS; ELIGIBLE COLLATERAL REPORTS; CASH FLOW WATERFALL REPORTS; CASH FLOW MATRIX REPORTS; DESIGNING THE MENUS; DESIGNING THE COLLATERAL SELECTION OUTPUT SCREEN; IT SHOULD LOOK LIKE THIS; DELIVERABLES CHECKLIST; NEXT STEPS; ON THE WEB SITE; Part IV: Learning the VBA Language; Chapter 6: Laying the Model Groundwork; OVERVIEW; DELIVERABLES; UNDER CONSTRUCTION; CREATING THE EXTERNAL MODEL ENVIRONMENT CREATING THE INTERNAL MODEL ENVIRONMENTWRITING THE MAIN PROGRAM IN PSEUDO CODE; DELIVERABLES CHECKLIST; NEXT STEPS; ON THE WEB SITE; Chapter 7: Recorded Macros: A First Look at the VBA Language; OVERVIEW; DELIVERABLES; UNDER CONSTRUCTION; RECORDING VBA CODE; RUNNING THE EDITED CODE; USING RECORDED MACROS TO BUILD A SIMPLE MODEL; DELIVERABLES CHECKLIST; NEXT STEPS; ON THE WEB SITE; Chapter 8: Writing Menus: An Introduction to Data, Ranges, Arrays, and Objects; OVERVIEW; DELIVERABLES; UNDER CONSTRUCTION; ROLE OF THE MENU; STRUCTURAL ELEMENTS OF A MENU; INTRODUCTION TO VBA VARIABLES VARIABLE TYPES |
Record Nr. | UNINA-9910830889703321 |
Preinitz William <1950->
![]() |
||
Hoboken, N.J., : John Wiley & Sons, c2009 | ||
![]() | ||
Lo trovi qui: Univ. Federico II | ||
|
A fast track to structured finance modeling, monitoring, and valuation [[electronic resource] ] : jump start VBA / / William Preinitz |
Autore | Preinitz William <1950-> |
Pubbl/distr/stampa | Hoboken, N.J., : John Wiley & Sons, c2009 |
Descrizione fisica | 1 online resource (769 p.) |
Disciplina |
332.01/5195
332.015195 |
Collana | [Wiley finance] |
Soggetto topico |
Finance - Computer simulation
Risk assessment - Computer simulation Finance - Mathematical models |
ISBN |
0-470-44606-4
1-119-19767-8 1-282-11353-4 9786612113536 0-470-44614-5 |
Formato | Materiale a stampa ![]() |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Nota di contenuto |
A FAST-TRACK TO STRUCTURED FINANCE: Modeling Monitering, and Valuation; Contents; Preface; About the Web Site; Part I: Introduction; Chapter 1: Why? What? Who? Where? and How?; THE IMMORTAL QUESTION(S); WHAT ARE THE ADVANTAGES OF LEARNING VBA?; WHAT ARE THE DISADVANTAGES OF LEARNING VBA?; WHAT IS A MODEL?; WHY IS MODELING A VALUABLE SKILL?; WHAT ARE THE STAGES OF MODEL DESIGN AND CONSTRUCTION?; OTHER ASPECTS OF MODELING; PERSPECTIVE OF THIS BOOK; STRUCTURE OF THE BOOK; PUTTING THE DELIVERABLES "ON THE TARGET"; Chapter 2: Common Sense; OVERVIEW; DELIVERABLES
DO NOT EAT ANYTHING BIGGER THAN YOUR HEADYOU ONLY HURT THE ONE YOU LOVE; IT IS OK TO BE RIGHT; JUST DO NOT BE DEAD-RIGHT; KNOW WHEN TO HOLD 'EM; NEXT STEPS; Part II: The Securitization Process; Chapter 3: Securitizing a Loan Portfolio; OVERVIEW; DELIVERABLES; FINANCING A LOAN PORTFOLIO; DESCRIPTION OF THE COLLATERAL; COLLATERAL CASH FLOWS; EXPENSE AND LIABILITY STRUCTURE; MEASURING THE PERFORMANCE OF THE STRUCTURE; FUNCTIONAL REQUIREMENTS OF THE MODEL; THE ROLE OF THE MODEL IN THE PROCESS OF SECURITIZATION; DELIVERABLES CHECKLIST; NEXT STEPS; ON THE WEB SITE; Part III: Designing the Model Chapter 4: Understanding the Excel WaterfallOVERVIEW; DELIVERABLES; UNDER CONSTRUCTION; WATERFALLS; STRUCTURE OF THE CASH FLOW WATERFALL; COLLATERAL CASH FLOWS SECTION; DEAL EXPENSES SECTION; CONDUIT INTEREST SECTION; CONDUIT PRINCIPAL SECTION; EXCESS CASH TREATMENT SECTION; CONDUIT SUMMARY SECTION; DELINQUENCY RESERVE SECTION; DEAL TRIGGERS SECTION; DEBT COSTS SECTION; DEFAULT TESTS SECTION; DEBT PERFORMANCE CALCULATIONS SUPPORT SECTION; DEAL WIND-DOWN TRIGGER; CASH FLOW WATERFALL "BOX SCORE" SECTION; DELIVERABLES CHECKLIST; NEXT STEPS; ON THE WEB SITE; Chapter 5: Designing the VBA Model OVERVIEWDELIVERABLES; UNDER CONSTRUCTION; WHAT ARE THE DESIRED RESULTS?; WHAT PROCESSES MUST THE MODEL PERFORM?; INTRODUCTION TO TEMPLATE FILES; COLLATERAL SELECTION REPORTS; INELIGIBLE COLLATERAL REPORTS; ELIGIBLE COLLATERAL REPORTS; CASH FLOW WATERFALL REPORTS; CASH FLOW MATRIX REPORTS; DESIGNING THE MENUS; DESIGNING THE COLLATERAL SELECTION OUTPUT SCREEN; IT SHOULD LOOK LIKE THIS; DELIVERABLES CHECKLIST; NEXT STEPS; ON THE WEB SITE; Part IV: Learning the VBA Language; Chapter 6: Laying the Model Groundwork; OVERVIEW; DELIVERABLES; UNDER CONSTRUCTION; CREATING THE EXTERNAL MODEL ENVIRONMENT CREATING THE INTERNAL MODEL ENVIRONMENTWRITING THE MAIN PROGRAM IN PSEUDO CODE; DELIVERABLES CHECKLIST; NEXT STEPS; ON THE WEB SITE; Chapter 7: Recorded Macros: A First Look at the VBA Language; OVERVIEW; DELIVERABLES; UNDER CONSTRUCTION; RECORDING VBA CODE; RUNNING THE EDITED CODE; USING RECORDED MACROS TO BUILD A SIMPLE MODEL; DELIVERABLES CHECKLIST; NEXT STEPS; ON THE WEB SITE; Chapter 8: Writing Menus: An Introduction to Data, Ranges, Arrays, and Objects; OVERVIEW; DELIVERABLES; UNDER CONSTRUCTION; ROLE OF THE MENU; STRUCTURAL ELEMENTS OF A MENU; INTRODUCTION TO VBA VARIABLES VARIABLE TYPES |
Record Nr. | UNINA-9910841055103321 |
Preinitz William <1950->
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||
Hoboken, N.J., : John Wiley & Sons, c2009 | ||
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Lo trovi qui: Univ. Federico II | ||
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Finance . Volume 1 : a quantitative introduction / / Piotr Staszkiewicz, Lucia Staszkiewicz |
Autore | Staszkiewicz Piotr |
Edizione | [1st edition] |
Pubbl/distr/stampa | London, England : , : Academic Press, , 2015 |
Descrizione fisica | 1 online resource (196 p.) |
Disciplina | 332 |
Soggetto topico |
Finance - Mathematical models
Finance - Simulation methods |
Soggetto genere / forma | Electronic books. |
ISBN |
0-12-801584-5
0-12-801760-0 |
Formato | Materiale a stampa ![]() |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Record Nr. | UNINA-9910463783803321 |
Staszkiewicz Piotr
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London, England : , : Academic Press, , 2015 | ||
![]() | ||
Lo trovi qui: Univ. Federico II | ||
|
Finance . Volume 1 : a quantitative introduction / / Piotr Staszkiewicz, Lucia Staszkiewicz |
Autore | Staszkiewicz Piotr |
Edizione | [1st edition] |
Pubbl/distr/stampa | London, England : , : Academic Press, , 2015 |
Descrizione fisica | 1 online resource (196 p.) |
Disciplina | 332 |
Soggetto topico |
Finance - Mathematical models
Finance - Simulation methods |
ISBN |
0-12-801584-5
0-12-801760-0 |
Formato | Materiale a stampa ![]() |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Record Nr. | UNINA-9910788061203321 |
Staszkiewicz Piotr
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London, England : , : Academic Press, , 2015 | ||
![]() | ||
Lo trovi qui: Univ. Federico II | ||
|
Finance . Volume 1 : a quantitative introduction / / Piotr Staszkiewicz, Lucia Staszkiewicz |
Autore | Staszkiewicz Piotr |
Edizione | [1st edition] |
Pubbl/distr/stampa | London, England : , : Academic Press, , 2015 |
Descrizione fisica | 1 online resource (196 p.) |
Disciplina | 332 |
Soggetto topico |
Finance - Mathematical models
Finance - Simulation methods |
ISBN |
0-12-801584-5
0-12-801760-0 |
Formato | Materiale a stampa ![]() |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Record Nr. | UNINA-9910812957203321 |
Staszkiewicz Piotr
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||
London, England : , : Academic Press, , 2015 | ||
![]() | ||
Lo trovi qui: Univ. Federico II | ||
|
Finance : a characteristics approach / / edited by David Blake |
Pubbl/distr/stampa | London ; ; New York : , : Routledge, , 2000 |
Descrizione fisica | 1 online resource (144 p.) |
Disciplina | 332 |
Altri autori (Persone) | BlakeDavid <1954-> |
Collana | Routledge international studies in money and banking |
Soggetto topico |
Finance - Mathematical models
Economics |
Soggetto genere / forma | Electronic books. |
ISBN |
1-134-61471-3
1-280-40350-0 0-203-46114-2 |
Formato | Materiale a stampa ![]() |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Nota di contenuto | Book Cover; Title; Contents; List of figures; List of tables; List of contributors; Introduction; Portfolio behaviour and asset pricing in a characteristics framework; Financial intermediation and financial innovation in a characteristics framework; A characteristics definition of financial markets; The computation of interest equivalences for the nonprice characteristics of bank products; A characteristics analysis of financial innovations in short-term retail financial products; Postscript; Index |
Record Nr. | UNINA-9910455476703321 |
London ; ; New York : , : Routledge, , 2000 | ||
![]() | ||
Lo trovi qui: Univ. Federico II | ||
|
Finance : a characteristics approach / / edited by David Blake |
Pubbl/distr/stampa | London ; ; New York : , : Routledge, , 2000 |
Descrizione fisica | 1 online resource (144 p.) |
Disciplina | 332 |
Altri autori (Persone) | BlakeDavid <1954-> |
Collana | Routledge international studies in money and banking |
Soggetto topico |
Finance - Mathematical models
Economics |
ISBN |
1-134-61470-5
1-134-61471-3 1-280-40350-0 0-203-46114-2 |
Formato | Materiale a stampa ![]() |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Nota di contenuto | Book Cover; Title; Contents; List of figures; List of tables; List of contributors; Introduction; Portfolio behaviour and asset pricing in a characteristics framework; Financial intermediation and financial innovation in a characteristics framework; A characteristics definition of financial markets; The computation of interest equivalences for the nonprice characteristics of bank products; A characteristics analysis of financial innovations in short-term retail financial products; Postscript; Index |
Record Nr. | UNINA-9910654528203321 |
London ; ; New York : , : Routledge, , 2000 | ||
![]() | ||
Lo trovi qui: Univ. Federico II | ||
|
Finance : a characteristics approach / / edited by David Blake |
Pubbl/distr/stampa | London ; ; New York : , : Routledge, , 2000 |
Descrizione fisica | 1 online resource (144 p.) |
Disciplina | 332 |
Altri autori (Persone) | BlakeDavid <1954-> |
Collana | Routledge international studies in money and banking |
Soggetto topico |
Finance - Mathematical models
Economics |
ISBN |
1-134-61470-5
1-134-61471-3 1-280-40350-0 0-203-46114-2 |
Formato | Materiale a stampa ![]() |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Nota di contenuto | Book Cover; Title; Contents; List of figures; List of tables; List of contributors; Introduction; Portfolio behaviour and asset pricing in a characteristics framework; Financial intermediation and financial innovation in a characteristics framework; A characteristics definition of financial markets; The computation of interest equivalences for the nonprice characteristics of bank products; A characteristics analysis of financial innovations in short-term retail financial products; Postscript; Index |
Record Nr. | UNISA-996262842903316 |
London ; ; New York : , : Routledge, , 2000 | ||
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Lo trovi qui: Univ. di Salerno | ||
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