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From Shortest Paths to Reinforcement Learning : A MATLAB-Based Tutorial on Dynamic Programming / / by Paolo Brandimarte
| From Shortest Paths to Reinforcement Learning : A MATLAB-Based Tutorial on Dynamic Programming / / by Paolo Brandimarte |
| Autore | Brandimarte Paolo |
| Edizione | [1st ed. 2021.] |
| Pubbl/distr/stampa | Cham : , : Springer International Publishing : , : Imprint : Springer, , 2021 |
| Descrizione fisica | 1 online resource (XI, 207 p. 67 illus.) |
| Disciplina | 519.703 |
| Collana | EURO Advanced Tutorials on Operational Research |
| Soggetto topico |
Operations research
Management science Econometrics Numerical analysis Social sciences - Mathematics Industrial Management Operations Research and Decision Theory Operations Research, Management Science Quantitative Economics Numerical Analysis Mathematics in Business, Economics and Finance |
| ISBN | 3-030-61867-6 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | The dynamic programming principle -- Implementing dynamic programming -- Modeling for dynamic programming -- Numerical dynamic programming for discrete states -- Approximate dynamic programming and reinforcement learning for discrete states -- Numerical dynamic programming for continuous states -- Approximate dynamic programming and reinforcement learning for continuous states. |
| Record Nr. | UNINA-9910484119403321 |
Brandimarte Paolo
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| Cham : , : Springer International Publishing : , : Imprint : Springer, , 2021 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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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-9910132196003321 |
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Brandimarte Paolo
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||
| Hoboken, New Jersey : , : Wiley, , 2014 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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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 |
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Brandimarte Paolo
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| Hoboken, New Jersey : , : Wiley, , 2014 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Introduction to distribution logistics / / Paolo Brandimarte, Giulio Zotteri
| Introduction to distribution logistics / / Paolo Brandimarte, Giulio Zotteri |
| Autore | Brandimarte Paolo |
| Pubbl/distr/stampa | Hoboken, N.J., : Wiley-Interscience, c2007 |
| Descrizione fisica | 1 online resource (608 p.) |
| Disciplina | 658.4/032 |
| Altri autori (Persone) | ZotteriGiulio <1970-> |
| Collana | Statistics in practice |
| Soggetto topico |
Network analysis (Planning) - Mathematics
Production scheduling - Statistical methods Business logistics - Statistical methods Traffic flow - Mathematical models Physical distribution of goods - Mathematics Distribution (Probability theory) |
| ISBN |
1-280-95701-8
9786610957019 0-470-17005-0 0-470-17004-2 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Introduction to Distribution Logistics; Contents; Preface; 1 Supply Chain Management; 1.1 What do we mean by logistics?; 1.1.1 Plan of the chapter; 1.2 Structure of production/distribution networks; 1.3 Competition factors, cost drivers, and strategy; 1.3.1 Competition factors; 1.3.2 Cost drivers; 1.3.3 Strategy; 1.4 The role of inventories; 1.4.1 A classical model: Economic order quantity; 1.4.2 Capacity-induced stock; 1.5 Dealing with uncertainty; 1.5.1 Setting safety stocks; 1.5.2 A two-stage decision process: Production planning in an assemble-to-order environment
1.5.3 Inventory deployment1.6 Physical flows and transportation; 1.7 Information flows and decision rights; 1.8 Time horizons and hierarchical levels; 1.9 Decision approaches; 1.10 Quantitative models and methods; 1.11 For further reading; References; 2 Network Design and Transportation; 2.1 The role of intermediate nodes in a distribution network; 2.1.1 The risk pooling effect: reducing the uncertainty level; 2.1.2 The role of distribution centers and transit points in transportation optimization; 2.2 Location and flow optimization models; 2.2.1 The transportation problem 2.2.2 The minimum cost flow problem2.2.3 The plant location problem; 2.2.4 Putting it all together; 2.3 Models involving nonlinear costs; W.2.4 Continuos-space location models; W.2.5 Retail-Store Location Models; 2.6 For further reading; References; 3 Forecasting; 3.1 Introduction; 3.2 The variable to be predicted; 3.2.1 The forecasting process; 3.3 Metrics for forecast errors; 3.3.1 The Mean Error; 3.3.2 Mean Absolute Deviation; 3.3.3 Root Mean Square Error; 3.3.4 Mean Percentage Error and Mean Absolute Percentage Error; 3.3.5 ME%, MAD%, RMSE%; 3.3.6 Theil's U statistic 3.3.7 Using metrics of forecasting accuracy3.4 A classification of forecasting methods; 3.5 Moving Average; 3.5.1 The demand model; 3.5.2 The algorithm; 3.5.3 Setting the parameter; 3.5.4 Drawbacks and limitations; 3.6 Simple exponential smoothing; 3.6.1 The demand model; 3.6.2 The algorithm; 3.6.3 Setting the parameter; 3.6.4 Initialization; 3.6.5 Drawbacks and limitations; 3.7 Exponential smoothing with trend; 3.7.1 The demand model; 3.7.2 The algorithm; 3.7.3 Setting the parameters; 3.7.4 Initialization; 3.7.5 Drawbacks and limitations; 3.8 Exponential smoothing with seasonality 3.8.1 The demand model3.8.2 The algorithm; 3.8.3 Setting the parameters; 3.8.4 Initialization; 3.8.5 Drawbacks and limitations; 3.9 Smoothing with seasonality and trend; 3.9.1 The demand model; 3.9.2 The algorithm; 3.9.3 Initialization; 3.10 Simple linear regression; 3.10.1 Setting up data for regression; W.3.11 Forecasting models based on multiple regression; 3.12 Forecasting demand for new products; 3.12.1 The Delphi method and the committee process; 3.12.2 Lancaster model: forecasting new products through product features; 3.12.3 The early sales model; 3.13 The bass model 3.13.1 Limitations and drawbacks |
| Record Nr. | UNINA-9910143426903321 |
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Brandimarte Paolo
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| Hoboken, N.J., : Wiley-Interscience, c2007 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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An introduction to financial markets : a quantitative approach / / Paolo Brandimarte
| An introduction to financial markets : a quantitative approach / / Paolo Brandimarte |
| Autore | Brandimarte Paolo |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Hoboken, New Jersey : , : Wiley, , 2018 |
| Descrizione fisica | 1 online resource (1 volume) : illustrations |
| Disciplina | 332.041501 |
| Soggetto topico | Markets |
| ISBN |
1-119-45029-2
1-118-59477-0 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Part I Overview Financial Markets: Functions, Institutions, and Traded Assets Basic Problems in Quantitative Finance -- Part II Fixed-income assets Elementary Theory of Interest Rates Forward Rate Agreements, Interest Rate Futures, and Vanilla Swaps Fixed-Income Markets Interest Rate Risk Management Part III Equity portfolios Decision-Making under Uncertainty: The Static Case Mean Variance Efficient Portfolios Factor Models Equilibrium Models: CAPM and APT -- Part IV Derivatives -- Modeling Dynamic Uncertainty Forward and Futures Contracts Option Pricing: Complete Markets Option Pricing: Incomplete Markets Part V Advanced optimization models Optimization Model Building Optimization Model Solving. |
| Record Nr. | UNINA-9910271031703321 |
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Brandimarte Paolo
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| Hoboken, New Jersey : , : Wiley, , 2018 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Numerical methods in finance and economics : a MATLAB-based introduction / / Paolo Brandimarte
| Numerical methods in finance and economics : a MATLAB-based introduction / / Paolo Brandimarte |
| Autore | Brandimarte Paolo |
| Edizione | [2nd ed.] |
| Pubbl/distr/stampa | Hoboken, New Jersey : , : Wiley Interscience, , 2006 |
| Descrizione fisica | 1 online resource (697 p.) |
| Disciplina |
332.0151
515.0285536 |
| Altri autori (Persone) | BrandimartePaolo |
| Collana | Statistics in practice |
| Soggetto topico |
Finance - Statistical methods
Economics - Statistical methods |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-118-62557-9
1-280-72159-6 9786610721597 0-470-08049-3 0-470-08048-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Numerical Methods in Finance and Economics: A MATLAB-Based Introduction; Contents; Preface to the Second Edition; From the Preface to the First Edition; Part I Background; 1 Motivation; 1.1 Need for numerical methods; 1.2 Need for numerical computing environments: why MATLAB?; 1.3 Need for theory; For further reading; References; 2 Financial Theory; 2.1 Modeling uncertainty; 2.2 Basic financial assets and related issues; 2.2.1 Bonds; 2.2.2 Stocks; 2.2.3 Derivatives; 2.2.4 Asset pricing, portfolio optimization, and risk management
2.3 Fixed-income securities: analysis and portfolio immunization2.3.1 Basic theory of interest rates: compounding and present value; 2.3.2 Basic pricing of fixed-income securities; 2.3.3 Interest rate sensitivity and bond portfolio immunization; 2.3.4 MATLAB functions to deal with fixed-income securities; 2.3.5 Critique; 2.4 Stock portfolio optimization; 2.4.1 Utility theory; 2.4.2 Mean-variance portfolio optimization; 2.4.3 MATLAB functions to deal with mean-variance portfolio optimization; 2.4.4 Critical remarks; 2.4.5 Alternative risk measures: Value at Risk and quantile-based measures 2.5 Modeling the dynamics of asset prices2.5.1 From discrete to continuous time; 2.5.2 Standard Wiener process; 2.5.3 Stochastic integrals and stochastic differential equations; 2.5.4 Ito's lemma; 2.5.5 Generalizations; 2.6 Derivatives pricing; 2.6.1 Simple binomial model for option pricing; 2.6.2 Black-Scholes model; 2.6.3 Risk-neutral expectation and Feynman-Kac formula; 2.6.4 Black-Scholes model in MATLAB; 2.6.5 A few remarks on Black-Scholes formula; 2.6.6 Pricing American options; 2.7 Introduction to exotic and path-dependent options; 2.7.1 Barrier options; 2.7.2 Asian options 2.7.3 Lookback options2.8 An outlook on interest-rate derivatives; 2.8.1 Modeling interest-rate dynamics; 2.8.2 Incomplete markets and the market price of risk; For further reading; References; Part II Numerical Methods; 3 Basics of Numerical Analysis; 3.1 Nature of numerical computation; 3.1.1 Number representation, rounding, and truncation; 3.1.2 Error propagation, conditioning, and instability; 3.1.3 Order of convergence and computational complexity; 3.2 Solving systems of linear equations; 3.2.1 Vector and matrix norms; 3.2.2 Condition number for a matrix 3.2.3 Direct methods for solving systems of linear equations3.2.4 Tridiagonal matrices; 3.2.5 Iterative methods for solving systems of linear equations; 3.3 Function approximation and interpolation; 3.3.1 Ad hoc approximation; 3.3.2 Elementary polynomial interpolation; 3.3.3 Interpolation by cubic splines; 3.3.4 Theory of function approximation by least squares; 3.4 Solving non-linear equations; 3.4.1 Bisection method; 3.4.2 Newton's method; 3.4.3 Optimization-based solution of non-linear equations; 3.4.4 Putting two things together: solving a functional equation by a collocation method 3.4.5 Homotopy continuation methods |
| Record Nr. | UNINA-9910143418803321 |
|
Brandimarte Paolo
|
||
| Hoboken, New Jersey : , : Wiley Interscience, , 2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Numerical methods in finance and economics : a MATLAB-based introduction / / Paolo Brandimarte
| Numerical methods in finance and economics : a MATLAB-based introduction / / Paolo Brandimarte |
| Autore | Brandimarte Paolo |
| Edizione | [2nd ed.] |
| Pubbl/distr/stampa | Hoboken, New Jersey : , : Wiley Interscience, , 2006 |
| Descrizione fisica | 1 online resource (697 p.) |
| Disciplina |
332.0151
515.0285536 |
| Altri autori (Persone) | BrandimartePaolo |
| Collana | Statistics in practice |
| Soggetto topico |
Finance - Statistical methods
Economics - Statistical methods |
| ISBN |
1-118-62557-9
1-280-72159-6 9786610721597 0-470-08049-3 0-470-08048-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Numerical Methods in Finance and Economics: A MATLAB-Based Introduction; Contents; Preface to the Second Edition; From the Preface to the First Edition; Part I Background; 1 Motivation; 1.1 Need for numerical methods; 1.2 Need for numerical computing environments: why MATLAB?; 1.3 Need for theory; For further reading; References; 2 Financial Theory; 2.1 Modeling uncertainty; 2.2 Basic financial assets and related issues; 2.2.1 Bonds; 2.2.2 Stocks; 2.2.3 Derivatives; 2.2.4 Asset pricing, portfolio optimization, and risk management
2.3 Fixed-income securities: analysis and portfolio immunization2.3.1 Basic theory of interest rates: compounding and present value; 2.3.2 Basic pricing of fixed-income securities; 2.3.3 Interest rate sensitivity and bond portfolio immunization; 2.3.4 MATLAB functions to deal with fixed-income securities; 2.3.5 Critique; 2.4 Stock portfolio optimization; 2.4.1 Utility theory; 2.4.2 Mean-variance portfolio optimization; 2.4.3 MATLAB functions to deal with mean-variance portfolio optimization; 2.4.4 Critical remarks; 2.4.5 Alternative risk measures: Value at Risk and quantile-based measures 2.5 Modeling the dynamics of asset prices2.5.1 From discrete to continuous time; 2.5.2 Standard Wiener process; 2.5.3 Stochastic integrals and stochastic differential equations; 2.5.4 Ito's lemma; 2.5.5 Generalizations; 2.6 Derivatives pricing; 2.6.1 Simple binomial model for option pricing; 2.6.2 Black-Scholes model; 2.6.3 Risk-neutral expectation and Feynman-Kac formula; 2.6.4 Black-Scholes model in MATLAB; 2.6.5 A few remarks on Black-Scholes formula; 2.6.6 Pricing American options; 2.7 Introduction to exotic and path-dependent options; 2.7.1 Barrier options; 2.7.2 Asian options 2.7.3 Lookback options2.8 An outlook on interest-rate derivatives; 2.8.1 Modeling interest-rate dynamics; 2.8.2 Incomplete markets and the market price of risk; For further reading; References; Part II Numerical Methods; 3 Basics of Numerical Analysis; 3.1 Nature of numerical computation; 3.1.1 Number representation, rounding, and truncation; 3.1.2 Error propagation, conditioning, and instability; 3.1.3 Order of convergence and computational complexity; 3.2 Solving systems of linear equations; 3.2.1 Vector and matrix norms; 3.2.2 Condition number for a matrix 3.2.3 Direct methods for solving systems of linear equations3.2.4 Tridiagonal matrices; 3.2.5 Iterative methods for solving systems of linear equations; 3.3 Function approximation and interpolation; 3.3.1 Ad hoc approximation; 3.3.2 Elementary polynomial interpolation; 3.3.3 Interpolation by cubic splines; 3.3.4 Theory of function approximation by least squares; 3.4 Solving non-linear equations; 3.4.1 Bisection method; 3.4.2 Newton's method; 3.4.3 Optimization-based solution of non-linear equations; 3.4.4 Putting two things together: solving a functional equation by a collocation method 3.4.5 Homotopy continuation methods |
| Record Nr. | UNINA-9910677497503321 |
|
Brandimarte Paolo
|
||
| Hoboken, New Jersey : , : Wiley Interscience, , 2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Numerical methods in finance and economics : a MATLAB-based introduction / / Paolo Brandimarte
| Numerical methods in finance and economics : a MATLAB-based introduction / / Paolo Brandimarte |
| Autore | Brandimarte Paolo |
| Edizione | [2nd ed.] |
| Pubbl/distr/stampa | Hoboken, New Jersey : , : Wiley Interscience, , 2006 |
| Descrizione fisica | 1 online resource (697 p.) |
| Disciplina |
332.0151
515.0285536 |
| Altri autori (Persone) | BrandimartePaolo |
| Collana | Statistics in practice |
| Soggetto topico |
Finance - Statistical methods
Economics - Statistical methods |
| ISBN |
1-118-62557-9
1-280-72159-6 9786610721597 0-470-08049-3 0-470-08048-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Numerical Methods in Finance and Economics: A MATLAB-Based Introduction; Contents; Preface to the Second Edition; From the Preface to the First Edition; Part I Background; 1 Motivation; 1.1 Need for numerical methods; 1.2 Need for numerical computing environments: why MATLAB?; 1.3 Need for theory; For further reading; References; 2 Financial Theory; 2.1 Modeling uncertainty; 2.2 Basic financial assets and related issues; 2.2.1 Bonds; 2.2.2 Stocks; 2.2.3 Derivatives; 2.2.4 Asset pricing, portfolio optimization, and risk management
2.3 Fixed-income securities: analysis and portfolio immunization2.3.1 Basic theory of interest rates: compounding and present value; 2.3.2 Basic pricing of fixed-income securities; 2.3.3 Interest rate sensitivity and bond portfolio immunization; 2.3.4 MATLAB functions to deal with fixed-income securities; 2.3.5 Critique; 2.4 Stock portfolio optimization; 2.4.1 Utility theory; 2.4.2 Mean-variance portfolio optimization; 2.4.3 MATLAB functions to deal with mean-variance portfolio optimization; 2.4.4 Critical remarks; 2.4.5 Alternative risk measures: Value at Risk and quantile-based measures 2.5 Modeling the dynamics of asset prices2.5.1 From discrete to continuous time; 2.5.2 Standard Wiener process; 2.5.3 Stochastic integrals and stochastic differential equations; 2.5.4 Ito's lemma; 2.5.5 Generalizations; 2.6 Derivatives pricing; 2.6.1 Simple binomial model for option pricing; 2.6.2 Black-Scholes model; 2.6.3 Risk-neutral expectation and Feynman-Kac formula; 2.6.4 Black-Scholes model in MATLAB; 2.6.5 A few remarks on Black-Scholes formula; 2.6.6 Pricing American options; 2.7 Introduction to exotic and path-dependent options; 2.7.1 Barrier options; 2.7.2 Asian options 2.7.3 Lookback options2.8 An outlook on interest-rate derivatives; 2.8.1 Modeling interest-rate dynamics; 2.8.2 Incomplete markets and the market price of risk; For further reading; References; Part II Numerical Methods; 3 Basics of Numerical Analysis; 3.1 Nature of numerical computation; 3.1.1 Number representation, rounding, and truncation; 3.1.2 Error propagation, conditioning, and instability; 3.1.3 Order of convergence and computational complexity; 3.2 Solving systems of linear equations; 3.2.1 Vector and matrix norms; 3.2.2 Condition number for a matrix 3.2.3 Direct methods for solving systems of linear equations3.2.4 Tridiagonal matrices; 3.2.5 Iterative methods for solving systems of linear equations; 3.3 Function approximation and interpolation; 3.3.1 Ad hoc approximation; 3.3.2 Elementary polynomial interpolation; 3.3.3 Interpolation by cubic splines; 3.3.4 Theory of function approximation by least squares; 3.4 Solving non-linear equations; 3.4.1 Bisection method; 3.4.2 Newton's method; 3.4.3 Optimization-based solution of non-linear equations; 3.4.4 Putting two things together: solving a functional equation by a collocation method 3.4.5 Homotopy continuation methods |
| Record Nr. | UNISA-996202349503316 |
|
Brandimarte Paolo
|
||
| Hoboken, New Jersey : , : Wiley Interscience, , 2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. di Salerno | ||
| ||
Quantitative methods [[electronic resource] ] : an introduction for business management / / Paolo Brandimarte
| Quantitative methods [[electronic resource] ] : an introduction for business management / / Paolo Brandimarte |
| Autore | Brandimarte Paolo |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Hoboken, N.J., : Wiley, 2011 |
| Descrizione fisica | 1 online resource (912 p.) |
| Disciplina | 658.0072 |
| Soggetto topico | Management - Mathematical models |
| ISBN |
1-283-11070-9
9786613110701 1-118-02348-X 1-118-02352-8 1-118-02345-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | pt. 1. Motivations and foundation -- pt. 2. Elementary probability and statistics -- pt. 3. Models for decision making -- pt. 4. Advanced statistical modeling. |
| Record Nr. | UNINA-9910140977703321 |
|
Brandimarte Paolo
|
||
| Hoboken, N.J., : Wiley, 2011 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Quantitative methods : an introduction for business management / / Paolo Brandimarte
| Quantitative methods : an introduction for business management / / Paolo Brandimarte |
| Autore | Brandimarte Paolo |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Hoboken, N.J., : Wiley, 2011 |
| Descrizione fisica | 1 online resource (912 p.) |
| Disciplina | 658.0072 |
| Soggetto topico | Management - Mathematical models |
| ISBN |
9786613110701
9781283110709 1283110709 9781118023488 111802348X 9781118023525 1118023528 9781118023457 1118023455 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | pt. 1. Motivations and foundation -- pt. 2. Elementary probability and statistics -- pt. 3. Models for decision making -- pt. 4. Advanced statistical modeling. |
| Record Nr. | UNINA-9910819684503321 |
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Brandimarte Paolo
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| Hoboken, N.J., : Wiley, 2011 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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