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Stochastic filtering with applications in finance [[electronic resource] /] / Ramaprasad Bhar
| Stochastic filtering with applications in finance [[electronic resource] /] / Ramaprasad Bhar |
| Autore | Bhar Ramaprasad |
| Pubbl/distr/stampa | Singapore ; ; Hackensack, N.J., : World Scientific, c2010 |
| Descrizione fisica | 1 online resource (400 p.) |
| Disciplina | 332.01/51922 |
| Soggetto topico |
Finance - Mathematical models
Stochastic analysis |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-283-14452-2
9786613144522 981-4304-86-7 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Preface; Contents; 1. Introduction: Stochastic Filtering in Finance; 2. Foreign Exchange Market - Filtering Applications; 3. Equity Market - Filtering Applications; 4. Filtering Application - Inflation and the Macroeconomy; 5. Interest Rate Model and Non-Linear Filtering; 6. Filtering and Hedging using Interest Rate Futures; 7. A Multifactor Model of Credit Spreads; 8. Credit Default Swaps - Filtering the Components; 9. CDS Options, Implied Volatility and Unscented Kalman Filter; 10. Stochastic Volatility Model and Non-Linear Filtering Application; 11. Applications for Filtering with Jumps
BibliographyIndex |
| Record Nr. | UNINA-9910461629703321 |
Bhar Ramaprasad
|
||
| Singapore ; ; Hackensack, N.J., : World Scientific, c2010 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Stochastic filtering with applications in finance [[electronic resource] /] / Ramaprasad Bhar
| Stochastic filtering with applications in finance [[electronic resource] /] / Ramaprasad Bhar |
| Autore | Bhar Ramaprasad |
| Pubbl/distr/stampa | Singapore ; ; Hackensack, N.J., : World Scientific, c2010 |
| Descrizione fisica | 1 online resource (400 p.) |
| Disciplina | 332.01/51922 |
| Soggetto topico |
Finance - Mathematical models
Stochastic analysis |
| ISBN |
1-283-14452-2
9786613144522 981-4304-86-7 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Preface; Contents; 1. Introduction: Stochastic Filtering in Finance; 2. Foreign Exchange Market - Filtering Applications; 3. Equity Market - Filtering Applications; 4. Filtering Application - Inflation and the Macroeconomy; 5. Interest Rate Model and Non-Linear Filtering; 6. Filtering and Hedging using Interest Rate Futures; 7. A Multifactor Model of Credit Spreads; 8. Credit Default Swaps - Filtering the Components; 9. CDS Options, Implied Volatility and Unscented Kalman Filter; 10. Stochastic Volatility Model and Non-Linear Filtering Application; 11. Applications for Filtering with Jumps
BibliographyIndex |
| Record Nr. | UNINA-9910789406403321 |
|
Bhar Ramaprasad
|
||
| Singapore ; ; Hackensack, N.J., : World Scientific, c2010 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||