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Algorithms for Communications Systems and their Applications
| Algorithms for Communications Systems and their Applications |
| Autore | Benvenuto Nevio |
| Pubbl/distr/stampa | [Place of publication not identified], : John Wiley & Sons Incorporated, 2002 |
| Descrizione fisica | 1 online resource (1305 pages) |
| Disciplina | 621.382015118 |
| Soggetto topico |
Electrical & Computer Engineering
Engineering & Applied Sciences Telecommunications |
| ISBN |
1-280-55567-X
9786610555673 0-470-85550-9 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Altri titoli varianti | Algorithms for Communications Systems & Their Applications |
| Record Nr. | UNINA-9910143172203321 |
Benvenuto Nevio
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| [Place of publication not identified], : John Wiley & Sons Incorporated, 2002 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Dynamic copula methods in finance [[electronic resource] /] / Umberto Cherubini ... [et al.]
| Dynamic copula methods in finance [[electronic resource] /] / Umberto Cherubini ... [et al.] |
| Edizione | [2nd ed.] |
| Pubbl/distr/stampa | Hoboken, NJ, : Wiley, 2011 |
| Descrizione fisica | 1 online resource (286 p.) |
| Disciplina | 332.01/519233 |
| Altri autori (Persone) | CherubiniUmberto |
| Collana | The wiley finance series |
| Soggetto topico |
Finance - Mathematical models
Mathematics Finances Models matemàtics |
| Soggetto genere / forma | Llibres electrònics |
| ISBN |
1-118-46740-X
1-283-29530-X 9786613295309 1-119-95451-7 |
| Classificazione | BUS027000 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Dynamic Copula Methods in Finance; Contents; Preface; 1 Correlation Risk in Finance; 1.1 Correlation Risk in Pricing and Risk Management; 1.2 Implied vs Realized Correlation; 1.3 Bottom-up vs Top-down Models; 1.4 Copula Functions; 1.5 Spatial and Temporal Dependence; 1.6 Long-range Dependence; 1.7 Multivariate GARCH Models; 1.8 Copulas and Convolution; 2 Copula Functions: The State of the Art; 2.1 Copula Functions: The Basic Recipe; 2.2 Market Co-movements; 2.3 Delta Hedging Multivariate Digital Products; 2.4 Linear Correlation; 2.5 Rank Correlation; 2.6 Multivariate Spearman's Rho
2.7 Survival Copulas and Radial Symmetry2.8 Copula Volume and Survival Copulas; 2.9 Tail Dependence; 2.10 Long/Short Correlation; 2.11 Families of Copulas; 2.11.1 Elliptical Copulas; 2.11.2 Archimedean Copulas; 2.12 Kendall Function; 2.13 Exchangeability; 2.14 Hierarchical Copulas; 2.15 Conditional Probability and Factor Copulas; 2.16 Copula Density and Vine Copulas; 2.17 Dynamic Copulas; 2.17.1 Conditional Copulas; 2.17.2 Pseudo-copulas; 3 Copula Functions and Asset Price Dynamics; 3.1 The Dynamics of Speculative Prices; 3.2 Copulas and Markov Processes: The DNO approach 3.2.1 The * and Product Operators3.2.2 Product Operators and Markov Processes; 3.2.3 Self-similar Copulas; 3.2.4 Simulating Markov Chains with Copulas; 3.3 Time-changed Brownian Copulas; 3.3.1 CEV Clock Brownian Copulas; 3.3.2 VG Clock Brownian Copulas; 3.4 Copulas and Martingale Processes; 3.4.1 C-Convolution; 3.4.2 Markov Processes with Independent Increments; 3.4.3 Markov Processes with Dependent Increments; 3.4.4 Extracting Dependent Increments in Markov Processes; 3.4.5 Martingale Processes; 3.5 Multivariate Processes; 3.5.1 Multivariate Markov Processes 3.5.2 Granger Causality and the Martingale Condition4 Copula-based Econometrics of Dynamic Processes; 4.1 Dynamic Copula Quantile Regressions; 4.2 Copula-based Markov Processes: Non-linear Quantile Autoregression; 4.3 Copula-based Markov Processes: Semi-parametric Estimation; 4.4 Copula-based Markov Processes: Non-parametric Estimation; 4.5 Copula-based Markov Processes: Mixing Properties; 4.6 Persistence and Long Memory; 4.7 C-convolution-based Markov Processes: The Likelihood Function; 5 Multivariate Equity Products; 5.1 Multivariate Equity Products 5.1.1 European Multivariate Equity Derivatives5.1.2 Path-dependent Equity Derivatives; 5.2 Recursions of Running Maxima and Minima; 5.3 The Memory Feature; 5.4 Risk-neutral Pricing Restrictions; 5.5 Time-changed Brownian Copulas; 5.6 Variance Swaps; 5.7 Semi-parametric Pricing of Path-dependent Derivatives; 5.8 The Multivariate Pricing Setting; 5.9 H-Condition and Granger Causality; 5.10 Multivariate Pricing Recursion; 5.11 Hedging Multivariate Equity Derivatives; 5.12 Correlation Swaps; 5.13 The Term Structure of Multivariate Equity Derivatives; 5.13.1 Altiplanos; 5.13.2 Everest 5.13.3 Spread Options |
| Record Nr. | UNINA-9910139577603321 |
| Hoboken, NJ, : Wiley, 2011 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Dynamic copula methods in finance / / Umberto Cherubini ... [et al.]
| Dynamic copula methods in finance / / Umberto Cherubini ... [et al.] |
| Edizione | [2nd ed.] |
| Pubbl/distr/stampa | Hoboken, NJ, : Wiley, 2011 |
| Descrizione fisica | 1 online resource (286 p.) |
| Disciplina | 332.01/519233 |
| Altri autori (Persone) | CherubiniUmberto |
| Collana | The wiley finance series |
| Soggetto topico |
Finance - Mathematical models
Mathematics Finances Models matemàtics |
| Soggetto genere / forma | Llibres electrònics |
| ISBN |
1-118-46740-X
1-283-29530-X 9786613295309 1-119-95451-7 |
| Classificazione | BUS027000 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Dynamic Copula Methods in Finance; Contents; Preface; 1 Correlation Risk in Finance; 1.1 Correlation Risk in Pricing and Risk Management; 1.2 Implied vs Realized Correlation; 1.3 Bottom-up vs Top-down Models; 1.4 Copula Functions; 1.5 Spatial and Temporal Dependence; 1.6 Long-range Dependence; 1.7 Multivariate GARCH Models; 1.8 Copulas and Convolution; 2 Copula Functions: The State of the Art; 2.1 Copula Functions: The Basic Recipe; 2.2 Market Co-movements; 2.3 Delta Hedging Multivariate Digital Products; 2.4 Linear Correlation; 2.5 Rank Correlation; 2.6 Multivariate Spearman's Rho
2.7 Survival Copulas and Radial Symmetry2.8 Copula Volume and Survival Copulas; 2.9 Tail Dependence; 2.10 Long/Short Correlation; 2.11 Families of Copulas; 2.11.1 Elliptical Copulas; 2.11.2 Archimedean Copulas; 2.12 Kendall Function; 2.13 Exchangeability; 2.14 Hierarchical Copulas; 2.15 Conditional Probability and Factor Copulas; 2.16 Copula Density and Vine Copulas; 2.17 Dynamic Copulas; 2.17.1 Conditional Copulas; 2.17.2 Pseudo-copulas; 3 Copula Functions and Asset Price Dynamics; 3.1 The Dynamics of Speculative Prices; 3.2 Copulas and Markov Processes: The DNO approach 3.2.1 The * and Product Operators3.2.2 Product Operators and Markov Processes; 3.2.3 Self-similar Copulas; 3.2.4 Simulating Markov Chains with Copulas; 3.3 Time-changed Brownian Copulas; 3.3.1 CEV Clock Brownian Copulas; 3.3.2 VG Clock Brownian Copulas; 3.4 Copulas and Martingale Processes; 3.4.1 C-Convolution; 3.4.2 Markov Processes with Independent Increments; 3.4.3 Markov Processes with Dependent Increments; 3.4.4 Extracting Dependent Increments in Markov Processes; 3.4.5 Martingale Processes; 3.5 Multivariate Processes; 3.5.1 Multivariate Markov Processes 3.5.2 Granger Causality and the Martingale Condition4 Copula-based Econometrics of Dynamic Processes; 4.1 Dynamic Copula Quantile Regressions; 4.2 Copula-based Markov Processes: Non-linear Quantile Autoregression; 4.3 Copula-based Markov Processes: Semi-parametric Estimation; 4.4 Copula-based Markov Processes: Non-parametric Estimation; 4.5 Copula-based Markov Processes: Mixing Properties; 4.6 Persistence and Long Memory; 4.7 C-convolution-based Markov Processes: The Likelihood Function; 5 Multivariate Equity Products; 5.1 Multivariate Equity Products 5.1.1 European Multivariate Equity Derivatives5.1.2 Path-dependent Equity Derivatives; 5.2 Recursions of Running Maxima and Minima; 5.3 The Memory Feature; 5.4 Risk-neutral Pricing Restrictions; 5.5 Time-changed Brownian Copulas; 5.6 Variance Swaps; 5.7 Semi-parametric Pricing of Path-dependent Derivatives; 5.8 The Multivariate Pricing Setting; 5.9 H-Condition and Granger Causality; 5.10 Multivariate Pricing Recursion; 5.11 Hedging Multivariate Equity Derivatives; 5.12 Correlation Swaps; 5.13 The Term Structure of Multivariate Equity Derivatives; 5.13.1 Altiplanos; 5.13.2 Everest 5.13.3 Spread Options |
| Record Nr. | UNINA-9910811657703321 |
| Hoboken, NJ, : Wiley, 2011 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Fourier transform methods in finance [[electronic resource] /] / Umberto Cherubini ... [et al.]
| Fourier transform methods in finance [[electronic resource] /] / Umberto Cherubini ... [et al.] |
| Pubbl/distr/stampa | Chichester ; ; [Hoboken, NJ], : John Wiley & Sons, c2010 |
| Descrizione fisica | 1 online resource (258 p.) |
| Disciplina | 332.01515723 |
| Altri autori (Persone) | CherubiniUmberto |
| Collana | The Wiley Finance Series |
| Soggetto topico |
Options (Finance) - Mathematical models
Securities - Prices - Mathematical models Finance - Mathematical models Fourier analysis |
| ISBN |
0-470-68492-5
1-119-20782-7 1-282-48313-7 9786612483134 0-470-68822-X |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Fourier Transform Methods in Finance; Contents; Preface; List of Symbols; 1 Fourier Pricing Methods; 2 The Dynamics of Asset Prices; 3 Non-stationary Market Dynamics; 4 Arbitrage-Free Pricing; 5 Generalized Functions; 6 The Fourier Transform; 7 Fourier Transforms at Work; Appendices; A Elements of Probability; B Elements of Complex Analysis; C Complex Integration; D Vector Spaces and Function Spaces; E The Fast Fourier Transform; F The Fractional Fast Fourier Transform; G Affine Models: The Path Integral Approach; Bibliography; Index |
| Record Nr. | UNINA-9910139507903321 |
| Chichester ; ; [Hoboken, NJ], : John Wiley & Sons, c2010 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Fourier transform methods in finance / / Umberto Cherubini ... [et al.]
| Fourier transform methods in finance / / Umberto Cherubini ... [et al.] |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Chichester ; ; [Hoboken, NJ], : John Wiley & Sons, c2010 |
| Descrizione fisica | 1 online resource (258 p.) |
| Disciplina | 332.01515723 |
| Altri autori (Persone) | CherubiniUmberto |
| Collana | The Wiley Finance Series |
| Soggetto topico |
Options (Finance) - Mathematical models
Securities - Prices - Mathematical models Finance - Mathematical models Fourier analysis |
| ISBN |
0-470-68492-5
1-119-20782-7 1-282-48313-7 9786612483134 0-470-68822-X |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Fourier Transform Methods in Finance; Contents; Preface; List of Symbols; 1 Fourier Pricing Methods; 2 The Dynamics of Asset Prices; 3 Non-stationary Market Dynamics; 4 Arbitrage-Free Pricing; 5 Generalized Functions; 6 The Fourier Transform; 7 Fourier Transforms at Work; Appendices; A Elements of Probability; B Elements of Complex Analysis; C Complex Integration; D Vector Spaces and Function Spaces; E The Fast Fourier Transform; F The Fractional Fast Fourier Transform; G Affine Models: The Path Integral Approach; Bibliography; Index |
| Record Nr. | UNINA-9910826274803321 |
| Chichester ; ; [Hoboken, NJ], : John Wiley & Sons, c2010 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Marshall Olkin Distributions - Advances in Theory and Applications : Bologna, Italy, October 2013 / / edited by Umberto Cherubini, Fabrizio Durante, Sabrina Mulinacci
| Marshall Olkin Distributions - Advances in Theory and Applications : Bologna, Italy, October 2013 / / edited by Umberto Cherubini, Fabrizio Durante, Sabrina Mulinacci |
| Edizione | [1st ed. 2015.] |
| Pubbl/distr/stampa | Cham : , : Springer International Publishing : , : Imprint : Springer, , 2015 |
| Descrizione fisica | 1 online resource (126 p.) |
| Disciplina | 519.24 |
| Collana | Springer Proceedings in Mathematics & Statistics |
| Soggetto topico |
Statistics
Mathematics Econometrics Statistical Theory and Methods Applications of Mathematics Statistics in Business, Management, Economics, Finance, Insurance |
| ISBN | 3-319-19039-3 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | A Survey of Dynamic Representations and Generalizations of the Marshall–Olkin Distribution German Bernhart, Lexuri Fernández, Jan-Frederik Mai, Steffen Schenk , and Matthias Scherer -- Copulas Based on Marshall–Olkin Machinery by Fabrizio Durante and Stéphane Girard, and Gildas Mazo -- The mean of Marshall–Olkin dependent exponential random by Lexuri Fernández and Jan-Frederik Mai and Matthias Scherer -- General Marshall-Olkin Models, Dependence Orders and Comparisons of Environmental Processes by Esther Frostig and Franco Pellerey -- Marshall-Olkin Machinery and Power Mixing: the Mixed Generalized Marshall-Olkin Distribution by Sabrina Mulinacci -- Extended Marshall-Olkin Model and Its Dual Version by Jayme Pinto and Nikolai Kolev. |
| Record Nr. | UNINA-9910299771103321 |
| Cham : , : Springer International Publishing : , : Imprint : Springer, , 2015 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||