Info
- Utilizzare la checkbox di selezione a fianco di ciascun documento per attivare le funzionalità di stampa, invio email, download nei formati disponibili del (i) record.
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 | ||
| ||
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 | ||
| ||
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 | ||
| ||
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 | ||
| ||
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 |
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-9910827088103321 |
|
Habart-Corlosquet Marine
|
||
| Hoboken, N.J., : ISTE Ltd./John Wiley and Sons Inc., 2013 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||