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Copulae in mathematical and quantitative finance : proceedings of the workshop held in Cracow, 10-11 July 2012 / / Piotr Jaworski, Fabrizio Durante, Wolfgang Karl Hardle
| Copulae in mathematical and quantitative finance : proceedings of the workshop held in Cracow, 10-11 July 2012 / / Piotr Jaworski, Fabrizio Durante, Wolfgang Karl Hardle |
| Edizione | [1st ed. 2013.] |
| Pubbl/distr/stampa | Berlin ; ; Heidelberg, : Springer-Verlag, 2013 |
| Descrizione fisica | 1 online resource (299 p.) |
| Disciplina | 519.535 |
| Altri autori (Persone) |
JaworskiPiotr
DuranteFabrizio HardleWolfgang |
| Collana | Lecture notes in statistics |
| Soggetto topico |
Mathematical statistics
Business mathematics |
| ISBN | 3-642-35407-6 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | A Convolution-based Autoregressive Process by Umberto Cherubini and Fabio Gobbi -- Selection of Vine Copulas by Claudia Czado, Eike Christian Brechmann and Lutz Gruber -- Copulas in Machine Learning by Gal Elidan -- An Overview of the Goodness-of-fit Test problem for Copulas by Jean-David Fermanian -- Assessing and Modeling Asymmetry in Bivariate Continuous data by Christian Genest and Johanna G. Nešehová -- Modeling Time-Varying Dependencies between Positive-Valued High-Frequency Time Series by Nikolaus Hautsch, Ostap Okhrin and Alexander Ristig -- The Limiting Properties of Copulas under Univariate Conditioning by Piotr Jaworski -- Singular Mixture Copulas by Dominic Lauterbach and Dietmar Pfeifer -- Toward a Copula Theory for Multivariate Regular Variation by Haijun Li -- CIID Frailty Models and Implied Copulas by Jan-Frederik Mai, Matthias Scherer and Rudi Zagst -- Copula-based Models for Multivariate Discrete Response Data by Aristidis K. Nikoloulopoulos -- Vector Generalized Linear Models: A Gaussian Copula Approach by Peter X -- K. Song, Mingyao Li and Peng Zhang -- APPENDIX A: Gaussian-Hermite Quadrature -- APPENDIX B: AREs of GEE and VGLM for binary -- Application of Bernstein Copulas to the Pricing of Multi-asset Derivatives by Bertrand Tavin. |
| Record Nr. | UNINA-9910739410803321 |
| Berlin ; ; Heidelberg, : Springer-Verlag, 2013 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Statistical tools for finance and insurance / / [edited by] Pavel Cizek, Wolfgang Hardle, Rafa Weron
| Statistical tools for finance and insurance / / [edited by] Pavel Cizek, Wolfgang Hardle, Rafa Weron |
| Edizione | [1st ed. 2005.] |
| Pubbl/distr/stampa | Berlin, : Springer, c2005 |
| Descrizione fisica | 1 online resource (IV, 518 p.) |
| Disciplina | 332'.015195 |
| Altri autori (Persone) |
CizekPavel
HardleWolfgang WeronRafa |
| Soggetto topico |
Finance - Mathematical models
Insurance - Mathematics |
| ISBN |
1-280-30608-4
9786610306084 3-540-27395-6 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Finance -- Stable Distributions -- Extreme Value Analysis and Copulas -- Tail Dependence -- Pricing of Catastrophe Bonds -- Common Functional Implied Volatility Analysis -- Implied Trinomial Trees -- Heston's Model and the Smile -- FFT-based Option Pricing -- Valuation of Mortgage Backed Securities: from Optimality to Reality -- Predicting Bankruptcy with Support Vector Machines -- Econometric and Fuzzy Modelling of Indonesian Money Demand -- Nonparametric Productivity Analysis -- Insurance -- Loss Distributions -- Modeling of the Risk Process -- Ruin Probabilities in Finite and Infinite Time -- Stable Diffusion Approximation of the Risk Process -- Risk Model of Good and Bad Periods -- Premiums in the Individual and Collective Risk Models -- Pure Risk Premiums under Deductibles -- Premiums, Investments, and Reinsurance -- General -- Working with the XQC. |
| Record Nr. | UNINA-9910678531103321 |
| Berlin, : Springer, c2005 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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