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Essential mathematics for market risk management [[electronic resource] /] / Simon Hubbert
| Essential mathematics for market risk management [[electronic resource] /] / Simon Hubbert |
| Autore | Hubbert Simon |
| Edizione | [2nd ed.] |
| Pubbl/distr/stampa | Hoboken, N.J., : Wiley, 2012 |
| Descrizione fisica | 1 online resource (354 p.) |
| Disciplina | 658.15/50151 |
| Collana | Wiley finance |
| Soggetto topico |
Risk management - Mathematical models
Capital market - Mathematical models |
| ISBN |
1-283-40482-6
9786613404824 1-118-37236-0 1-118-46721-3 1-119-95301-4 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Essential Mathematics for Market Risk Management; Contents; Preface; 1 Introduction; 1.1 Basic Challenges in Risk Management; 1.2 Value at Risk; 1.3 Further Challenges in Risk Management; 2 Applied Linear Algebra for Risk Managers; 2.1 Vectors and Matrices; 2.2 Matrix Algebra in Practice; 2.3 Eigenvectors and Eigenvalues; 2.4 Positive Definite Matrices; 3 Probability Theory for Risk Managers; 3.1 Univariate Theory; 3.1.1 Random variables; 3.1.2 Expectation; 3.1.3 Variance; 3.2 Multivariate Theory; 3.2.1 The joint distribution function; 3.2.2 The joint and marginal density functions
3.2.3 The notion of independence 3.2.4 The notion of conditional dependence; 3.2.5 Covariance and correlation; 3.2.6 The mean vector and covariance matrix; 3.2.7 Linear combinations of random variables; 3.3 The Normal Distribution; 4 Optimization Tools; 4.1 Background Calculus; 4.1.1 Single-variable functions; 4.1.2 Multivariable functions; 4.2 Optimizing Functions; 4.2.1 Unconstrained quadratic functions; 4.2.2 Constrained quadratic functions; 4.3 Over-determined Linear Systems; 4.4 Linear Regression; 5 Portfolio Theory I; 5.1 Measuring Returns 5.1.1 A comparison of the standard and log returns 5.2 Setting Up the Optimal Portfolio Problem; 5.3 Solving the Optimal Portfolio Problem; 6 Portfolio Theory II; 6.1 The Two-Fund Investment Service; 6.2 A Mathematical Investigation of the Optimal Frontier; 6.2.1 The minimum variance portfolio; 6.2.2 Covariance of frontier portfolios; 6.2.3 Correlation with the minimum variance portfolio; 6.2.4 The zero-covariance portfolio; 6.3 A Geometrical Investigation of the Optimal Frontier; 6.3.1 Equation of a tangent to an efficient portfolio; 6.3.2 Locating the zero-covariance portfolio 6.4 A Further Investigation of Covariance 6.5 The Optimal Portfolio Problem Revisited; 7 The Capital Asset Pricing Model (CAPM); 7.1 Connecting the Portfolio Frontiers; 7.2 The Tangent Portfolio; 7.2.1 The market's supply of risky assets; 7.3 The CAPM; 7.4 Applications of CAPM; 7.4.1 Decomposing risk; 8 Risk Factor Modelling; 8.1 General Factor Modelling; 8.2 Theoretical Properties of the Factor Model; 8.3 Models Based on Principal Component Analysis (PCA); 8.3.1 PCA in two dimensions; 8.3.2 PCA in higher dimensions; 9 The Value at Risk Concept; 9.1 A Framework for Value at Risk 9.1.1 A motivating example 9.1.2 Defining value at risk; 9.2 Investigating Value at Risk; 9.2.1 The suitability of value at risk to capital allocation; 9.3 Tail Value at Risk; 9.4 Spectral Risk Measures; 10 Value at Risk under a Normal Distribution; 10.1 Calculation of Value at Risk; 10.2 Calculation of Marginal Value at Risk; 10.3 Calculation of Tail Value at Risk; 10.4 Sub-additivity of Normal Value at Risk; 11 Advanced Probability Theory for Risk Managers; 11.1 Moments of a Random Variable; 11.2 The Characteristic Function; 11.2.1 Dealing with the sum of several random variables 11.2.2 Dealing with a scaling of a random variable |
| Record Nr. | UNINA-9910141227803321 |
Hubbert Simon
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| Hoboken, N.J., : Wiley, 2012 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Spherical Radial Basis Functions, Theory and Applications [[electronic resource] /] / by Simon Hubbert, Quôc Thông Le Gia, Tanya M. Morton
| Spherical Radial Basis Functions, Theory and Applications [[electronic resource] /] / by Simon Hubbert, Quôc Thông Le Gia, Tanya M. Morton |
| Autore | Hubbert Simon |
| Edizione | [1st ed. 2015.] |
| Pubbl/distr/stampa | Cham : , : Springer International Publishing : , : Imprint : Springer, , 2015 |
| Descrizione fisica | 1 online resource (150 p.) |
| Disciplina | 515.53 |
| Collana | SpringerBriefs in Mathematics |
| Soggetto topico |
Approximation theory
Partial differential equations Numerical analysis Global analysis (Mathematics) Manifolds (Mathematics) Geophysics Approximations and Expansions Partial Differential Equations Numerical Analysis Global Analysis and Analysis on Manifolds Geophysics/Geodesy |
| ISBN | 3-319-17939-X |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Motivation and Background Functional Analysis -- The Spherical Basis Function Method -- Error Bounds via Duchon's Technique -- Radial Basis Functions for the Sphere -- Fast Iterative Solvers for PDEs on Spheres -- Parabolic PDEs on Spheres. |
| Record Nr. | UNINA-9910299768503321 |
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Hubbert Simon
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| Cham : , : Springer International Publishing : , : Imprint : Springer, , 2015 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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