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Advanced analytical models [[electronic resource] ] : over 800 models and 300 applications from the Basel II Accord to Wall Street and beyond / / Johnathan Mun
| Advanced analytical models [[electronic resource] ] : over 800 models and 300 applications from the Basel II Accord to Wall Street and beyond / / Johnathan Mun |
| Autore | Mun Johnathan |
| Pubbl/distr/stampa | Hoboken, N.J., : Wiley, c2008 |
| Descrizione fisica | 1 online resource (1034 p.) |
| Disciplina |
003/.3
332.015118 |
| Collana | Wiley finance series |
| Soggetto topico |
Finance - Mathematical models
Risk assessment - Mathematical models Mathematical models Computer simulation |
| ISBN |
1-119-19709-0
1-281-73261-3 9786611732615 0-470-25811-X |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Advanced Analytical Models: Over 800 Models and 300 Applications from the Basel II Accord to Wall Street and Beyond; Contents; Preface; Software Applications; Part I: Modeling Toolkit and Risk Simulator Applications; INTRODUCTION TO THE MODELING TOOLKIT SOFTWARE; INTRODUCTION TO RISK SIMULATOR; RUNNING A MONTE CARLO SIMULATION; USING FORECAST CHARTS AND CONFIDENCE INTERVALS; CORRELATIONS AND PRECISION CONTROL; TORNADO AND SENSITIVITY TOOLS IN SIMULATION; SENSITIVITY ANALYSIS; DISTRIBUTIONAL FITTING: SINGLE VARIABLE AND MULTIPLE VARIABLES; BOOTSTRAP SIMULATION; HYPOTHESIS TESTING
DATA EXTRACTION, SAVING SIMULATION RESULTS, AND GENERATING REPORTSREGRESSION AND FORECASTING DIAGNOSTIC TOOL; STATISTICAL ANALYSIS TOOL; DISTRIBUTIONAL ANALYSIS TOOL; PORTFOLIO OPTIMIZATION; OPTIMIZATION WITH DISCRETE INTEGER VARIABLES; FORECASTING; 1. Analytics- Central Limit Theorem; 2. Analytics- Central Limit Theorem-Winning Lottery Numbers; 3. Analytics- Flaw of Averages; 4. Analytics- Mathematical Integration Approximation Model; 5. Analytics- Projectile Motion; 6. Analytics- Regression Diagnostics; 7. Analytics- Ships in the Night; 8. Analytics- Statistical Analysis 9. Analytics- Weighting of Ratios10. Credit Analysis- Credit Premium; 11. Credit Analysis- Credit Default Swaps and Credit Spread Options; 12. Credit Analysis- Credit Risk Analysis and Effects on Prices; 13. Credit Analysis- External Debt Ratings and Spread; 14. Credit Analysis- Internal Credit Risk Rating Model; 15. Credit Analysis- Profit Cost Analysis of New Credit; 16. Debt Analysis- Asset-Equity Parity Model; 17. Debt Analysis- Cox Model on Price and Yield of Risky Debt with Mean-Reverting Rates; 18. Debt Analysis- Debt Repayment and Amortization 19. Debt Analysis- Debt Sensitivity Models20. Debt Analysis- Merton Price of Risky Debt with Stochastic Asset and Interest; 21. Debt Analysis- Vasicek Debt Option Valuation; 22. Debt Analysis- Vasicek Price and Yield of Risky Debt; 23. Decision Analysis- Decision Tree Basics; 24. Decision Analysis- Decision Tree with EVPI, Minimax, and Bayes' Theorem; 25. Decision Analysis- Economic Order Quantity and Inventory Reorder Point; 26. Decision Analysis- Economic Order Quantity and Optimal Manufacturing; 27. Decision Analysis- Expected Utility Analysis; 28. Decision Analysis- Inventory Control 29. Decision Analysis- Queuing Models30. Exotic Options- Accruals on Basket of Assets; 31. Exotic Options- American, Bermudan, and European Options with Sensitivities; 32. Exotic Options- American Call Option on Foreign Exchange; 33. Exotic Options- American Call Options on Index Futures; 34. Exotic Options- American Call Option with Dividends; 35. Exotic Options- Asian Lookback Options Using Arithmetic Averages; 36. Exotic Options- Asian Lookback Options Using Geometric Averages; 37. Exotic Options- Asset or Nothing Options; 38. Exotic Options- Barrier Options 39. Exotic Options- Binary Digital Options |
| Record Nr. | UNINA-9910782132403321 |
Mun Johnathan
|
||
| Hoboken, N.J., : Wiley, c2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Advanced analytical models [[electronic resource] ] : over 800 models and 300 applications from the Basel II Accord to Wall Street and beyond / / Johnathan Mun
| Advanced analytical models [[electronic resource] ] : over 800 models and 300 applications from the Basel II Accord to Wall Street and beyond / / Johnathan Mun |
| Autore | Mun Johnathan |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Hoboken, N.J., : Wiley, c2008 |
| Descrizione fisica | 1 online resource (1034 p.) |
| Disciplina |
003/.3
332.015118 |
| Collana | Wiley finance series |
| Soggetto topico |
Finance - Mathematical models
Risk assessment - Mathematical models Mathematical models Computer simulation |
| ISBN |
1-119-19709-0
1-281-73261-3 9786611732615 0-470-25811-X |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Advanced Analytical Models: Over 800 Models and 300 Applications from the Basel II Accord to Wall Street and Beyond; Contents; Preface; Software Applications; Part I: Modeling Toolkit and Risk Simulator Applications; INTRODUCTION TO THE MODELING TOOLKIT SOFTWARE; INTRODUCTION TO RISK SIMULATOR; RUNNING A MONTE CARLO SIMULATION; USING FORECAST CHARTS AND CONFIDENCE INTERVALS; CORRELATIONS AND PRECISION CONTROL; TORNADO AND SENSITIVITY TOOLS IN SIMULATION; SENSITIVITY ANALYSIS; DISTRIBUTIONAL FITTING: SINGLE VARIABLE AND MULTIPLE VARIABLES; BOOTSTRAP SIMULATION; HYPOTHESIS TESTING
DATA EXTRACTION, SAVING SIMULATION RESULTS, AND GENERATING REPORTSREGRESSION AND FORECASTING DIAGNOSTIC TOOL; STATISTICAL ANALYSIS TOOL; DISTRIBUTIONAL ANALYSIS TOOL; PORTFOLIO OPTIMIZATION; OPTIMIZATION WITH DISCRETE INTEGER VARIABLES; FORECASTING; 1. Analytics- Central Limit Theorem; 2. Analytics- Central Limit Theorem-Winning Lottery Numbers; 3. Analytics- Flaw of Averages; 4. Analytics- Mathematical Integration Approximation Model; 5. Analytics- Projectile Motion; 6. Analytics- Regression Diagnostics; 7. Analytics- Ships in the Night; 8. Analytics- Statistical Analysis 9. Analytics- Weighting of Ratios10. Credit Analysis- Credit Premium; 11. Credit Analysis- Credit Default Swaps and Credit Spread Options; 12. Credit Analysis- Credit Risk Analysis and Effects on Prices; 13. Credit Analysis- External Debt Ratings and Spread; 14. Credit Analysis- Internal Credit Risk Rating Model; 15. Credit Analysis- Profit Cost Analysis of New Credit; 16. Debt Analysis- Asset-Equity Parity Model; 17. Debt Analysis- Cox Model on Price and Yield of Risky Debt with Mean-Reverting Rates; 18. Debt Analysis- Debt Repayment and Amortization 19. Debt Analysis- Debt Sensitivity Models20. Debt Analysis- Merton Price of Risky Debt with Stochastic Asset and Interest; 21. Debt Analysis- Vasicek Debt Option Valuation; 22. Debt Analysis- Vasicek Price and Yield of Risky Debt; 23. Decision Analysis- Decision Tree Basics; 24. Decision Analysis- Decision Tree with EVPI, Minimax, and Bayes' Theorem; 25. Decision Analysis- Economic Order Quantity and Inventory Reorder Point; 26. Decision Analysis- Economic Order Quantity and Optimal Manufacturing; 27. Decision Analysis- Expected Utility Analysis; 28. Decision Analysis- Inventory Control 29. Decision Analysis- Queuing Models30. Exotic Options- Accruals on Basket of Assets; 31. Exotic Options- American, Bermudan, and European Options with Sensitivities; 32. Exotic Options- American Call Option on Foreign Exchange; 33. Exotic Options- American Call Options on Index Futures; 34. Exotic Options- American Call Option with Dividends; 35. Exotic Options- Asian Lookback Options Using Arithmetic Averages; 36. Exotic Options- Asian Lookback Options Using Geometric Averages; 37. Exotic Options- Asset or Nothing Options; 38. Exotic Options- Barrier Options 39. Exotic Options- Binary Digital Options |
| Record Nr. | UNINA-9910806228403321 |
|
Mun Johnathan
|
||
| Hoboken, N.J., : Wiley, c2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Computational finance: a scientific erspective / Cornelis A Los
| Computational finance: a scientific erspective / Cornelis A Los |
| Autore | LOS, Cornelis A. |
| Pubbl/distr/stampa | Singapore ; New Jersey ; London ; Hon Kong : World Scientific, 2001 |
| Descrizione fisica | 336 p. ; 22 cm |
| Disciplina | 332.015118(Economia finanziaria. Modelli matematici) |
| Soggetto topico | Finanza - Modelli matematici |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNISA-990005512160203316 |
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LOS, Cornelis A.
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| Singapore ; New Jersey ; London ; Hon Kong : World Scientific, 2001 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. di Salerno | ||
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Continuous stochastic calculus with applications to finance / Michael Meyer
| Continuous stochastic calculus with applications to finance / Michael Meyer |
| Autore | MEYER, Michael |
| Descrizione fisica | XVI, 319 p. ; 24 cm. |
| Disciplina | 332.015118(Economia finanziaria. Modelli matematici) |
| Collana | Applied mathematics |
| Soggetto topico |
Processo stocastico
Finanza - Modelli matematici |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNISA-990005499200203316 |
|
MEYER, Michael
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| Materiale a stampa | ||
| Lo trovi qui: Univ. di Salerno | ||
| ||
Credit risk : modeling, valuation and hedging / Tomasz R. Bielecki, Marek Rutkowski
| Credit risk : modeling, valuation and hedging / Tomasz R. Bielecki, Marek Rutkowski |
| Autore | Bielecki, Tomasz R |
| Pubbl/distr/stampa | Berlin [etc.] : Springer, 2002 |
| Descrizione fisica | xviii, 500 p. ; 25 cm |
| Disciplina | 332.015118 |
| Altri autori (Persone) | Rutkowski, Marekauthor |
| Collana | Springer finance |
| Soggetto topico | Credito - Rischi - Modelli matematici |
| ISBN | 3540675930 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNISALENTO-991003785349707536 |
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Bielecki, Tomasz R
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| Berlin [etc.] : Springer, 2002 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. del Salento | ||
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Credit risk: modeling, valuationand hedging / Tomazs R. Bielecki, Marek Rutkowski
| Credit risk: modeling, valuationand hedging / Tomazs R. Bielecki, Marek Rutkowski |
| Autore | Bielecki, Tomazs R. |
| Pubbl/distr/stampa | Berlin : Springer-Verlag, 2002 |
| Descrizione fisica | xviii, 500 p. ; 24 cm |
| Disciplina | 332.015118 |
| Altri autori (Persone) | Rutkowski, Marek |
| Collana | Springer finance |
| Soggetto non controllato |
Modelli matematici
Rischi |
| ISBN | 3-540-67593-0 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-990003874690403321 |
|
Bielecki, Tomazs R.
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| Berlin : Springer-Verlag, 2002 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Empirical finance : modelling and analysis of emerging financial and stock markets / Sardar M. N. Islam, Sethapong Watanapalachaikul
| Empirical finance : modelling and analysis of emerging financial and stock markets / Sardar M. N. Islam, Sethapong Watanapalachaikul |
| Autore | ISLAM, Sardar M. N. |
| Pubbl/distr/stampa | Heidelberg : Physica-Verlag, c2005 |
| Descrizione fisica | XIV, 200 p. : tab. ; 24 cm |
| Disciplina | 332.015118(Economia finanziaria. Modelli matematici) |
| Altri autori (Persone) | WATANAPALACHAIKUL, Sethapong |
| Collana | Contribution to economics. - New York |
| Soggetto topico | Mercati finanziari - Modelli econometrici |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNISA-990005516210203316 |
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ISLAM, Sardar M. N.
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| Heidelberg : Physica-Verlag, c2005 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. di Salerno | ||
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Financial markets in continuous time / Rose Anne Dana, Monique Jeanblanc ; translated by Anna Kennedy
| Financial markets in continuous time / Rose Anne Dana, Monique Jeanblanc ; translated by Anna Kennedy |
| Autore | DANA, Rose Anne |
| Pubbl/distr/stampa | Berlin : Springer, 2003 |
| Descrizione fisica | XI, 323 p. ; 24 cm |
| Disciplina | 332.015118(Economia finanziaria. Modelli matematici) |
| Altri autori (Persone) | JEANBLANC, Monique |
| Collana | Springer finance |
| Soggetto topico | Finanza - Modelli matematici |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNISA-990005508590203316 |
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DANA, Rose Anne
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| Berlin : Springer, 2003 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. di Salerno | ||
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Financial markets theory : equilibrium, efficiency and information / Emilio Barucci
| Financial markets theory : equilibrium, efficiency and information / Emilio Barucci |
| Autore | BARUCCI, Emilio |
| Pubbl/distr/stampa | London : Springer, 2003 |
| Descrizione fisica | XII, 467 p. ; 24 cm |
| Disciplina | 332.015118(Economia finanziaria. Modelli matematici) |
| Collana | Springer finance |
| Soggetto topico | Finanza - Modelli matematici |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNISA-990005508570203316 |
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BARUCCI, Emilio
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| London : Springer, 2003 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. di Salerno | ||
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Financial modelling: whit a section on Visual Basic for applications / Simon Benninga ; Benjamin Czaczkes
| Financial modelling: whit a section on Visual Basic for applications / Simon Benninga ; Benjamin Czaczkes |
| Autore | BENNINGA, Simon |
| Edizione | [2. ed] |
| Pubbl/distr/stampa | Cambridge ; London : The Mit Press, 2000 |
| Descrizione fisica | XIV, 622 p. : ill. ; 24 cm + 1 Cd Rom |
| Disciplina | 332.015118(Economia finanziaria. Modelli matematici) |
| Soggetto topico |
Finanza - Modelli matematici
Excel - Applicazioni alla finanza |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNISA-990005510690203316 |
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BENNINGA, Simon
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| Cambridge ; London : The Mit Press, 2000 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. di Salerno | ||
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