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Biblioteca

MARC Lista (tabellare)
Basic stochastic processes / / Pierre Devolder, Jacques Janssen, Raimondo Manca
Basic stochastic processes / / Pierre Devolder, Jacques Janssen, Raimondo Manca
Autore Devolder Pierre
Edizione [First edition.]
Pubbl/distr/stampa London, England : , : Wiley, , 2015
Descrizione fisica 1 online resource (327 pages)
Disciplina 519.2
Collana Mathematics and Statistics Series
Soggetto topico Stochastic processes
ISBN 1-119-18454-1
1-119-18457-6
1-119-18458-4
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Chapter 1. Basic Probabilistic Tools for Stochastic Modeling / Pierre Devolder, Jacques Janssen, Raimondo Manca -- Chapter 2. Homogeneous and Non-Homogeneous Renewal Models / Pierre Devolder, Jacques Janssen, Raimondo Manca -- Chapter 3. Markov Chains / Pierre Devolder, Jacques Janssen, Raimondo Manca -- Chapter 4. Homogeneous and Non-Homogeneous Semi-Markov Models / Pierre Devolder, Jacques Janssen, Raimondo Manca -- Chapter 5. Stochastic Calculus / Pierre Devolder, Jacques Janssen, Raimondo Manca -- Chapter 6. Lévy Processes / Pierre Devolder, Jacques Janssen, Raimondo -- Chapter 7. Actuarial Evaluation, VaR and Stochastic Interest Rate Models.
Record Nr. UNINA-9910131640803321
Devolder Pierre  
London, England : , : Wiley, , 2015
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Basic stochastic processes / / Pierre Devolder, Jacques Janssen, Raimondo Manca
Basic stochastic processes / / Pierre Devolder, Jacques Janssen, Raimondo Manca
Autore Devolder Pierre
Edizione [First edition.]
Pubbl/distr/stampa London, England : , : Wiley, , 2015
Descrizione fisica 1 online resource (327 pages)
Disciplina 519.2
Collana Mathematics and Statistics Series
Soggetto topico Stochastic processes
ISBN 1-119-18454-1
1-119-18457-6
1-119-18458-4
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Chapter 1. Basic Probabilistic Tools for Stochastic Modeling / Pierre Devolder, Jacques Janssen, Raimondo Manca -- Chapter 2. Homogeneous and Non-Homogeneous Renewal Models / Pierre Devolder, Jacques Janssen, Raimondo Manca -- Chapter 3. Markov Chains / Pierre Devolder, Jacques Janssen, Raimondo Manca -- Chapter 4. Homogeneous and Non-Homogeneous Semi-Markov Models / Pierre Devolder, Jacques Janssen, Raimondo Manca -- Chapter 5. Stochastic Calculus / Pierre Devolder, Jacques Janssen, Raimondo Manca -- Chapter 6. Lévy Processes / Pierre Devolder, Jacques Janssen, Raimondo -- Chapter 7. Actuarial Evaluation, VaR and Stochastic Interest Rate Models.
Record Nr. UNINA-9910816655903321
Devolder Pierre  
London, England : , : Wiley, , 2015
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Big data for insurance companies / / edited by Marine Corlosquet-Habart, Jacques Janssen
Big data for insurance companies / / edited by Marine Corlosquet-Habart, Jacques Janssen
Pubbl/distr/stampa Hoboken, New Jersey : , : Wiley, , 2018
Descrizione fisica 1 online resource (142 pages) : illustrations (some color), tables
Disciplina 005.7
Collana Big Data, Artificial Intelligence and Data Analysis Set
Soggetto topico Big data
ISBN 1-119-48928-8
1-119-48936-9
1-119-48929-6
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Record Nr. UNINA-9910270944103321
Hoboken, New Jersey : , : Wiley, , 2018
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
VaR methodology for non-gaussian finance [[electronic resource] /] / Marine Habart-Corlosquet, Jacques Janssen, Raimondo Manca
VaR methodology for non-gaussian finance [[electronic resource] /] / Marine Habart-Corlosquet, Jacques Janssen, Raimondo Manca
Autore Habart-Corlosquet Marine
Pubbl/distr/stampa Hoboken, N.J., : ISTE Ltd./John Wiley and Sons Inc., 2013
Descrizione fisica 1 online resource (177 p.)
Disciplina 332.0151
Altri autori (Persone) JanssenJacques
MancaRaimondo
Collana Focus series in finance, business and management
Soggetto topico Financial risk management
ISBN 1-118-73398-3
1-118-73369-X
1-118-73390-8
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Cover; Title Page; Contents; INTRODUCTION; CHAPTER 1. USE OF VALUE-AT-RISK (VAR) TECHNIQUES FOR SOLVENCY II, BASEL II AND III; 1.1. Basic notions of VaR; 1.1.1. Definition; 1.1.2. Calculation methods; 1.1.3. Advantages and limits; 1.2. The use of VaR for insurance companies; 1.2.1. Regulatory approach; 1.2.2. Risk profile approach; 1.3. The use of VaR for banks; 1.3.1. Basel II; 1.3.2. Basel III; 1.4. Conclusion; CHAPTER 2. CLASSICAL VALUE-AT-RISK (VAR) METHODS; 2.1. Introduction; 2.2. Risk measures; 2.3. General form of the VaR; 2.4. VaR extensions: tail VaR and conditional VaR
2.5. VaR of an asset portfolio 2.5.1. VaR methodology; 2.6. A simulation example: the rates of investment of assets; CHAPTER 3. VAR EXTENSIONS FROM GAUSSIAN FINANCE TO NON-GAUSSIAN FINANCE; 3.1. Motivation; 3.2. The normal power approximation; 3.3. VaR computation with extreme values; 3.3.1. Extreme value theory; 3.3.2. VaR values; 3.3.3. Comparison of methods; 3.3.4. VaR values in extreme theory; 3.4. VaR value for a risk with Pareto distribution; 3.4.1. Forms of the Pareto distribution; 3.4.2. Explicit forms VaR and CVaR in Pareto case; 3.4.3. Example of computation by simulation
3.5. Conclusion CHAPTER 4. NEW VAR METHODS OF NON-GAUSSIAN FINANCE; 4.1. Lévy processes; 4.1.1. Motivation; 4.1.2. Notion of characteristic functions; 4.1.3. Lévy processes; 4.1.4. Lévy-Khintchine formula; 4.1.5. Examples of Lévy processes; 4.1.6. Variance gamma (VG) process; 4.1.7. Risk neutral measures for Lévy models in finance; 4.1.8. Particular Lévy processes: Poisson-Brownian model with jumps; 4.1.9. Particular Lévy processes: Merton model with jumps; 4.1.10. VaR techniques for Lévy processes; 4.2. Copula models and VaR techniques; 4.2.1. Introduction; 4.2.2. Sklar theorem (1959)
4.2.3. Particular case and Fréchet bounds 4.2.4. Examples of copula; 4.2.5. The normal copula; 4.2.6. Estimation of copula; 4.2.7. Dependence; 4.2.8. VaR with copula; 4.3. VaR for insurance; 4.3.1. VaR and SCR; 4.3.2. Particular cases; CHAPTER 5. NON-GAUSSIAN FINANCE: SEMI-MARKOV MODELS; 5.1. Introduction; 5.2. Homogeneous semi-Markov process; 5.2.1. Basic definitions; 5.2.2. Basic properties [JAN 09]; 5.2.3. Particular cases of MRP; 5.2.4. Asymptotic behavior of SMP; 5.2.5. Non-homogeneous semi-Markov process; 5.2.6. Discrete-time homogeneous and non-homogeneous semi-Markov processes
5.2.7. Semi-Markov backward processes in discrete time 5.2.8. Semi-Markov backward processes in discrete time; 5.3. Semi-Markov option model; 5.3.1. General model; 5.3.2. Semi-Markov Black-Scholes model; 5.3.3. Numerical application for the semi-Markov Black-Scholes model; 5.4. Semi-Markov VaR models; 5.4.1. The environment semi-Markov VaR (ESMVaR) model; 5.4.2. Numerical applications for the semi-MarkovVaR model; 5.4.3. Semi-Markov extension of the Merton's model; 5.5. The Semi-Markov Monte Carlo Model in a homogeneous environment; 5.5.1. Capital at Risk; 5.5.2. A credit risk example
CONCLUSION
Record Nr. UNINA-9910141562603321
Habart-Corlosquet Marine  
Hoboken, N.J., : ISTE Ltd./John Wiley and Sons Inc., 2013
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
VaR methodology for non-gaussian finance / / Marine Habart-Corlosquet, Jacques Janssen, Raimondo Manca
VaR methodology for non-gaussian finance / / Marine Habart-Corlosquet, Jacques Janssen, Raimondo Manca
Autore Habart-Corlosquet Marine
Edizione [1st ed.]
Pubbl/distr/stampa Hoboken, N.J., : ISTE Ltd./John Wiley and Sons Inc., 2013
Descrizione fisica 1 online resource (177 p.)
Disciplina 332.0151
Altri autori (Persone) JanssenJacques
MancaRaimondo
Collana Focus series in finance, business and management
Soggetto topico Financial risk management
ISBN 9781118733981
1118733983
9781118733691
111873369X
9781118733905
1118733908
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Cover; Title Page; Contents; INTRODUCTION; CHAPTER 1. USE OF VALUE-AT-RISK (VAR) TECHNIQUES FOR SOLVENCY II, BASEL II AND III; 1.1. Basic notions of VaR; 1.1.1. Definition; 1.1.2. Calculation methods; 1.1.3. Advantages and limits; 1.2. The use of VaR for insurance companies; 1.2.1. Regulatory approach; 1.2.2. Risk profile approach; 1.3. The use of VaR for banks; 1.3.1. Basel II; 1.3.2. Basel III; 1.4. Conclusion; CHAPTER 2. CLASSICAL VALUE-AT-RISK (VAR) METHODS; 2.1. Introduction; 2.2. Risk measures; 2.3. General form of the VaR; 2.4. VaR extensions: tail VaR and conditional VaR
2.5. VaR of an asset portfolio 2.5.1. VaR methodology; 2.6. A simulation example: the rates of investment of assets; CHAPTER 3. VAR EXTENSIONS FROM GAUSSIAN FINANCE TO NON-GAUSSIAN FINANCE; 3.1. Motivation; 3.2. The normal power approximation; 3.3. VaR computation with extreme values; 3.3.1. Extreme value theory; 3.3.2. VaR values; 3.3.3. Comparison of methods; 3.3.4. VaR values in extreme theory; 3.4. VaR value for a risk with Pareto distribution; 3.4.1. Forms of the Pareto distribution; 3.4.2. Explicit forms VaR and CVaR in Pareto case; 3.4.3. Example of computation by simulation
3.5. Conclusion CHAPTER 4. NEW VAR METHODS OF NON-GAUSSIAN FINANCE; 4.1. Lévy processes; 4.1.1. Motivation; 4.1.2. Notion of characteristic functions; 4.1.3. Lévy processes; 4.1.4. Lévy-Khintchine formula; 4.1.5. Examples of Lévy processes; 4.1.6. Variance gamma (VG) process; 4.1.7. Risk neutral measures for Lévy models in finance; 4.1.8. Particular Lévy processes: Poisson-Brownian model with jumps; 4.1.9. Particular Lévy processes: Merton model with jumps; 4.1.10. VaR techniques for Lévy processes; 4.2. Copula models and VaR techniques; 4.2.1. Introduction; 4.2.2. Sklar theorem (1959)
4.2.3. Particular case and Fréchet bounds 4.2.4. Examples of copula; 4.2.5. The normal copula; 4.2.6. Estimation of copula; 4.2.7. Dependence; 4.2.8. VaR with copula; 4.3. VaR for insurance; 4.3.1. VaR and SCR; 4.3.2. Particular cases; CHAPTER 5. NON-GAUSSIAN FINANCE: SEMI-MARKOV MODELS; 5.1. Introduction; 5.2. Homogeneous semi-Markov process; 5.2.1. Basic definitions; 5.2.2. Basic properties [JAN 09]; 5.2.3. Particular cases of MRP; 5.2.4. Asymptotic behavior of SMP; 5.2.5. Non-homogeneous semi-Markov process; 5.2.6. Discrete-time homogeneous and non-homogeneous semi-Markov processes
5.2.7. Semi-Markov backward processes in discrete time 5.2.8. Semi-Markov backward processes in discrete time; 5.3. Semi-Markov option model; 5.3.1. General model; 5.3.2. Semi-Markov Black-Scholes model; 5.3.3. Numerical application for the semi-Markov Black-Scholes model; 5.4. Semi-Markov VaR models; 5.4.1. The environment semi-Markov VaR (ESMVaR) model; 5.4.2. Numerical applications for the semi-MarkovVaR model; 5.4.3. Semi-Markov extension of the Merton's model; 5.5. The Semi-Markov Monte Carlo Model in a homogeneous environment; 5.5.1. Capital at Risk; 5.5.2. A credit risk example
CONCLUSION
Record Nr. UNINA-9910827088103321
Habart-Corlosquet Marine  
Hoboken, N.J., : ISTE Ltd./John Wiley and Sons Inc., 2013
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui