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Biblioteca

MARC Lista (tabellare)
Applied probabilistic calculus for financial engineering : an introduction using R / / by Bertram K.C. Chan
Applied probabilistic calculus for financial engineering : an introduction using R / / by Bertram K.C. Chan
Autore Chan B. K. C (Bertram Kim-Cheong)
Edizione [1st edition]
Pubbl/distr/stampa Hoboken, New Jersey : , : Wiley, , 2017
Descrizione fisica 1 online resource (1 volume) : illustrations
Disciplina 332.015192
Soggetto topico Financial engineering - Mathematical models
Probabilities
Calculus
R (Computer program language)
ISBN 1-119-38808-2
1-119-38805-8
1-119-38804-X
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Record Nr. UNINA-9910271007303321
Chan B. K. C (Bertram Kim-Cheong)  
Hoboken, New Jersey : , : Wiley, , 2017
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Applied probabilistic calculus for financial engineering : an introduction using R / / by Bertram K.C. Chan
Applied probabilistic calculus for financial engineering : an introduction using R / / by Bertram K.C. Chan
Autore Chan B. K. C (Bertram Kim-Cheong)
Edizione [1st edition]
Pubbl/distr/stampa Hoboken, New Jersey : , : Wiley, , 2017
Descrizione fisica 1 online resource (1 volume) : illustrations
Disciplina 332.015192
Soggetto topico Financial engineering - Mathematical models
Probabilities
Calculus
R (Computer program language)
ISBN 1-119-38808-2
1-119-38805-8
1-119-38804-X
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Record Nr. UNINA-9910815612803321
Chan B. K. C (Bertram Kim-Cheong)  
Hoboken, New Jersey : , : Wiley, , 2017
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Multifractal Detrended Analysis Method and Its Application in Financial Markets [[electronic resource] /] / by Guangxi Cao, Ling-Yun He, Jie Cao
Multifractal Detrended Analysis Method and Its Application in Financial Markets [[electronic resource] /] / by Guangxi Cao, Ling-Yun He, Jie Cao
Autore Cao Guangxi
Edizione [1st ed. 2018.]
Pubbl/distr/stampa Singapore : , : Springer Singapore : , : Imprint : Springer, , 2018
Descrizione fisica 1 online resource (255 pages) : illustrations
Disciplina 332.015192
Soggetto topico Financial engineering
Big data
Financial Engineering
Big Data/Analytics
ISBN 981-10-7916-1
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Chapter 1 Introduction -- Chapter 2 Long Memory Methods and Comparative Analysis -- Chapter 3 Multifractal Detrended Fluctuation Analysis (MF-DFA) -- Chapter 4 Multifractal Detrended Cross-Correlation Analysis (MF-DCCA) -- Chapter 5 Asymmetric Multifractal Detrended Fluctuation Analysis (MF-ADFA) -- Chapter 6 Asymmetric Multifractal Detrended Cross-Correlation Analysis (MF-ADCCA) -- Chapter 7 Asymmetric DCCA Cross-Correlation Coeffcient -- Chapter 8 Simulation - Taking DMCA as an Example -- Chapter 9 Multifractal Dentrend Method with Different Filtering -- Chapter 10 Risk Analysis Based on Multifractal Detrended Method.
Record Nr. UNINA-9910299655903321
Cao Guangxi  
Singapore : , : Springer Singapore : , : Imprint : Springer, , 2018
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Prices in financial markets / Michael U. Dothan
Prices in financial markets / Michael U. Dothan
Autore Dothan, Michael U
Pubbl/distr/stampa New York ; Oxford : Oxford University press, 1990
Descrizione fisica xv, 342 p. ; 25 cm
Disciplina 332.015192
Soggetto topico Finanza - Modelli matematici
ISBN 0195053125
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Record Nr. UNISALENTO-991000676629707536
Dothan, Michael U  
New York ; Oxford : Oxford University press, 1990
Materiale a stampa
Lo trovi qui: Univ. del Salento
Opac: Controlla la disponibilità qui
A probability metrics approach to financial risk measures [[electronic resource] /] / Svetlozar T. Rachev, Stoyan V. Stoyanov, Frank J. Fabozzi
A probability metrics approach to financial risk measures [[electronic resource] /] / Svetlozar T. Rachev, Stoyan V. Stoyanov, Frank J. Fabozzi
Autore Rachev S. T (Svetlozar Todorov)
Pubbl/distr/stampa Chichester, West Sussex, U.K. ; ; Malden, MA, : Wiley-Blackwell, 2011
Descrizione fisica 1 online resource (283 p.)
Disciplina 332.015192
Altri autori (Persone) StoyanovStoyan V
FabozziFrank J
Soggetto topico Financial risk management
Probabilities
Soggetto genere / forma Electronic books.
ISBN 1-4443-9269-7
1-4443-9271-9
1-283-40798-1
9786613407986
1-4443-9270-0
Classificazione BUS033070
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto ""Title Page""; ""Copyright""; ""Dedication""; ""Preface""; ""About the Authors""; ""Chapter 1: Introduction""; ""1.1 Probability Metrics""; ""1.2 Applications in Finance""; ""References""; ""Chapter 2: Probability Distances and Metrics""; ""2.1 Introduction""; ""2.2 Some Examples of Probability Metrics""; ""2.3 Distance and Semidistance Spaces""; ""2.4 Definitions of Probability Distances and Metrics""; ""2.5 Summary""; ""2.6 Technical Appendix""; ""References""; ""Chapter 3: Choice under Uncertainty""; ""3.1 Introduction""; ""3.2 Expected Utility Theory""; ""3.3 Stochastic Dominance""
""3.4 Probability Metrics and Stochastic Dominance""""3.5 Cumulative Prospect Theory""; ""3.6 Summary""; ""3.7 Technical Appendix""; ""References""; ""Chapter 4: A Classification of Probability Distances""; ""4.1 Introduction""; ""4.2 Primary Distances and Primary Metrics""; ""4.3 Simple Distances and Metrics""; ""4.4 Compound Distances and Moment Functions""; ""4.5 Ideal Probability Metrics""; ""4.6 Summary""; ""4.7 Technical Appendix""; ""References""; ""Chapter 5: Risk and Uncertainty""; ""5.1 Introduction""; ""5.2 Measures of Dispersion""
""5.3 Probability Metrics and Dispersion Measures""""5.4 Measures of Risk""; ""5.5 Risk Measures and Dispersion Measures""; ""5.6 Risk Measures and Stochastic Orders""; ""5.7 Summary""; ""5.8 Technical Appendix""; ""References""; ""Chapter 6: Average Value-at-Risk""; ""6.1 Introduction""; ""6.2 Average Value-at-Risk""; ""6.3 AVaR Estimation from a Sample""; ""6.4 Computing Portfolio AVaR in Practice""; ""6.5 Back-Testing of AVaR""; ""6.6 Spectral Risk Measures""; ""6.7 Risk Measures and Probability Metrics""; ""6.8 Risk Measures Based on Distortion Functionals""; ""6.9 Summary""
""6.10 Technical Appendix""""References""; ""Chapter 7: Computing AVaR through Monte Carlo""; ""7.1 Introduction""; ""7.2 An Illustration of Monte Carlo Variability""; ""7.3 Asymptotic Distribution, Classical Conditions""; ""7.4 Rate of Convergence to the Normal Distribution""; ""7.5 Asymptotic Distribution, Heavy-tailed Returns""; ""7.6 Rate of Convergence, Heavy-tailed Returns""; ""7.7 On the Choice of a Distributional Model""; ""7.8 Summary""; ""7.9 Technical Appendix""; ""References""; ""Chapter 8: Stochastic Dominance Revisited""; ""8.1 Introduction""
""8.2 Metrization of Preference Relations""""8.3 The Hausdorff Metric Structure""; ""8.4 Examples""; ""8.5 Utility-type Representations""; ""8.6 Almost Stochastic Orders and Degree of Violation""; ""8.7 Summary""; ""8.8 Technical Appendix""; ""References""; ""Index""
Record Nr. UNINA-9910208827003321
Rachev S. T (Svetlozar Todorov)  
Chichester, West Sussex, U.K. ; ; Malden, MA, : Wiley-Blackwell, 2011
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
A probability metrics approach to financial risk measures [[electronic resource] /] / Svetlozar T. Rachev, Stoyan V. Stoyanov, Frank J. Fabozzi
A probability metrics approach to financial risk measures [[electronic resource] /] / Svetlozar T. Rachev, Stoyan V. Stoyanov, Frank J. Fabozzi
Autore Rachev S. T (Svetlozar Todorov)
Pubbl/distr/stampa Chichester, West Sussex, U.K. ; ; Malden, MA, : Wiley-Blackwell, 2011
Descrizione fisica 1 online resource (283 p.)
Disciplina 332.015192
Altri autori (Persone) StoyanovStoyan V
FabozziFrank J
Soggetto topico Financial risk management
Probabilities
ISBN 1-4443-9269-7
1-4443-9271-9
1-283-40798-1
9786613407986
1-4443-9270-0
Classificazione BUS033070
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto ""Title Page""; ""Copyright""; ""Dedication""; ""Preface""; ""About the Authors""; ""Chapter 1: Introduction""; ""1.1 Probability Metrics""; ""1.2 Applications in Finance""; ""References""; ""Chapter 2: Probability Distances and Metrics""; ""2.1 Introduction""; ""2.2 Some Examples of Probability Metrics""; ""2.3 Distance and Semidistance Spaces""; ""2.4 Definitions of Probability Distances and Metrics""; ""2.5 Summary""; ""2.6 Technical Appendix""; ""References""; ""Chapter 3: Choice under Uncertainty""; ""3.1 Introduction""; ""3.2 Expected Utility Theory""; ""3.3 Stochastic Dominance""
""3.4 Probability Metrics and Stochastic Dominance""""3.5 Cumulative Prospect Theory""; ""3.6 Summary""; ""3.7 Technical Appendix""; ""References""; ""Chapter 4: A Classification of Probability Distances""; ""4.1 Introduction""; ""4.2 Primary Distances and Primary Metrics""; ""4.3 Simple Distances and Metrics""; ""4.4 Compound Distances and Moment Functions""; ""4.5 Ideal Probability Metrics""; ""4.6 Summary""; ""4.7 Technical Appendix""; ""References""; ""Chapter 5: Risk and Uncertainty""; ""5.1 Introduction""; ""5.2 Measures of Dispersion""
""5.3 Probability Metrics and Dispersion Measures""""5.4 Measures of Risk""; ""5.5 Risk Measures and Dispersion Measures""; ""5.6 Risk Measures and Stochastic Orders""; ""5.7 Summary""; ""5.8 Technical Appendix""; ""References""; ""Chapter 6: Average Value-at-Risk""; ""6.1 Introduction""; ""6.2 Average Value-at-Risk""; ""6.3 AVaR Estimation from a Sample""; ""6.4 Computing Portfolio AVaR in Practice""; ""6.5 Back-Testing of AVaR""; ""6.6 Spectral Risk Measures""; ""6.7 Risk Measures and Probability Metrics""; ""6.8 Risk Measures Based on Distortion Functionals""; ""6.9 Summary""
""6.10 Technical Appendix""""References""; ""Chapter 7: Computing AVaR through Monte Carlo""; ""7.1 Introduction""; ""7.2 An Illustration of Monte Carlo Variability""; ""7.3 Asymptotic Distribution, Classical Conditions""; ""7.4 Rate of Convergence to the Normal Distribution""; ""7.5 Asymptotic Distribution, Heavy-tailed Returns""; ""7.6 Rate of Convergence, Heavy-tailed Returns""; ""7.7 On the Choice of a Distributional Model""; ""7.8 Summary""; ""7.9 Technical Appendix""; ""References""; ""Chapter 8: Stochastic Dominance Revisited""; ""8.1 Introduction""
""8.2 Metrization of Preference Relations""""8.3 The Hausdorff Metric Structure""; ""8.4 Examples""; ""8.5 Utility-type Representations""; ""8.6 Almost Stochastic Orders and Degree of Violation""; ""8.7 Summary""; ""8.8 Technical Appendix""; ""References""; ""Index""
Record Nr. UNINA-9910830374503321
Rachev S. T (Svetlozar Todorov)  
Chichester, West Sussex, U.K. ; ; Malden, MA, : Wiley-Blackwell, 2011
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
A probability metrics approach to financial risk measures [[electronic resource] /] / Svetlozar T. Rachev, Stoyan V. Stoyanov, Frank J. Fabozzi
A probability metrics approach to financial risk measures [[electronic resource] /] / Svetlozar T. Rachev, Stoyan V. Stoyanov, Frank J. Fabozzi
Autore Rachev S. T (Svetlozar Todorov)
Pubbl/distr/stampa Chichester, West Sussex, U.K. ; ; Malden, MA, : Wiley-Blackwell, 2011
Descrizione fisica 1 online resource (283 p.)
Disciplina 332.015192
Altri autori (Persone) StoyanovStoyan V
FabozziFrank J
Soggetto topico Financial risk management
Probabilities
ISBN 1-4443-9269-7
1-4443-9271-9
1-283-40798-1
9786613407986
1-4443-9270-0
Classificazione BUS033070
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto ""Title Page""; ""Copyright""; ""Dedication""; ""Preface""; ""About the Authors""; ""Chapter 1: Introduction""; ""1.1 Probability Metrics""; ""1.2 Applications in Finance""; ""References""; ""Chapter 2: Probability Distances and Metrics""; ""2.1 Introduction""; ""2.2 Some Examples of Probability Metrics""; ""2.3 Distance and Semidistance Spaces""; ""2.4 Definitions of Probability Distances and Metrics""; ""2.5 Summary""; ""2.6 Technical Appendix""; ""References""; ""Chapter 3: Choice under Uncertainty""; ""3.1 Introduction""; ""3.2 Expected Utility Theory""; ""3.3 Stochastic Dominance""
""3.4 Probability Metrics and Stochastic Dominance""""3.5 Cumulative Prospect Theory""; ""3.6 Summary""; ""3.7 Technical Appendix""; ""References""; ""Chapter 4: A Classification of Probability Distances""; ""4.1 Introduction""; ""4.2 Primary Distances and Primary Metrics""; ""4.3 Simple Distances and Metrics""; ""4.4 Compound Distances and Moment Functions""; ""4.5 Ideal Probability Metrics""; ""4.6 Summary""; ""4.7 Technical Appendix""; ""References""; ""Chapter 5: Risk and Uncertainty""; ""5.1 Introduction""; ""5.2 Measures of Dispersion""
""5.3 Probability Metrics and Dispersion Measures""""5.4 Measures of Risk""; ""5.5 Risk Measures and Dispersion Measures""; ""5.6 Risk Measures and Stochastic Orders""; ""5.7 Summary""; ""5.8 Technical Appendix""; ""References""; ""Chapter 6: Average Value-at-Risk""; ""6.1 Introduction""; ""6.2 Average Value-at-Risk""; ""6.3 AVaR Estimation from a Sample""; ""6.4 Computing Portfolio AVaR in Practice""; ""6.5 Back-Testing of AVaR""; ""6.6 Spectral Risk Measures""; ""6.7 Risk Measures and Probability Metrics""; ""6.8 Risk Measures Based on Distortion Functionals""; ""6.9 Summary""
""6.10 Technical Appendix""""References""; ""Chapter 7: Computing AVaR through Monte Carlo""; ""7.1 Introduction""; ""7.2 An Illustration of Monte Carlo Variability""; ""7.3 Asymptotic Distribution, Classical Conditions""; ""7.4 Rate of Convergence to the Normal Distribution""; ""7.5 Asymptotic Distribution, Heavy-tailed Returns""; ""7.6 Rate of Convergence, Heavy-tailed Returns""; ""7.7 On the Choice of a Distributional Model""; ""7.8 Summary""; ""7.9 Technical Appendix""; ""References""; ""Chapter 8: Stochastic Dominance Revisited""; ""8.1 Introduction""
""8.2 Metrization of Preference Relations""""8.3 The Hausdorff Metric Structure""; ""8.4 Examples""; ""8.5 Utility-type Representations""; ""8.6 Almost Stochastic Orders and Degree of Violation""; ""8.7 Summary""; ""8.8 Technical Appendix""; ""References""; ""Index""
Record Nr. UNINA-9910840523503321
Rachev S. T (Svetlozar Todorov)  
Chichester, West Sussex, U.K. ; ; Malden, MA, : Wiley-Blackwell, 2011
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Probability, finance and insurance [[electronic resource] ] : proceedings of a workshop at the University of Hong Kong, Hong Kong, 15-17 July 2002 / / editors, Tze Leung Lai, Hailiang Yang, Siu Pang Yung
Probability, finance and insurance [[electronic resource] ] : proceedings of a workshop at the University of Hong Kong, Hong Kong, 15-17 July 2002 / / editors, Tze Leung Lai, Hailiang Yang, Siu Pang Yung
Pubbl/distr/stampa Singapore ; ; River Edge, : World Scientific, c2004
Descrizione fisica 1 online resource (252 p.)
Disciplina 332.015192
Altri autori (Persone) LaiT. L
YangHailiang
YungSiu Pang
Soggetto topico Investments - Mathematics
Finance - Mathematical models
Insurance - Statistical methods
Soggetto genere / forma Electronic books.
ISBN 1-281-89874-0
9786611898748
981-270-271-7
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Preface; List of Participants; CONTENTS; Limit theorems for moving averages; 1. Introduction; 2. Strong limit theorems for moving averages; 3. Large deviation approximations for logarithmic window sizes; 4. Window sizes associated with moderate deviation approximations; 5. Maxima and boundary crossing probabilities of asymptotically Gaussian random fields; References; On large deviations for moving average processes; 1. Introduction; 2. Main results; 3. A priori estimation; 4. Proofs of Theorem 2.1 and Theorem 2.2; 5. Proofs of Theorem 2.3 Corollary 2.1
6. Proofs of Propositions 2.1 2.2 and Theorem 2.47. Appendix: proof of Lemma 3.3; References; Recent progress on self-normalized limit theorems; 1. Introduction; 2. Self-normalized saddlepoint approximations; 3. Limit distributions of self-normalized sums; 4. Weak invariance principle for self-normalized partial sum processes; 5. Darling-Erdos theorems for self-normalized sums; 6. Large and moderate deviations for self-normalized empirical processes; 7. Cramer type large deviations for independent random variables; 8. Exponential inequalities for self-normalized processes; References
Limit theorems for independent self-normalized sums1. Introduction; 2. Asymptotic Normality; 3. Uniform Berry-Esseen Bounds; 4. Non-Uniform Berry-Esseen Bounds; 5. Exponential Non-Uniform Berry-Esseen Bounds; 6. Edgeworth Expansions; 7. Moderate Deviations; 8. Large Deviations; 9. Saddlepoint Approximations; 10. LIL for Partial Sums; 11. LIL for Increments of Partial Sums; 12. Summary; References; Phase changes in random recursive structures and algorithms; 1. Phase changes related to the Poisson distribution; 2. Phase changes related to Quicksort; 3. Conclusions; References
Iterated random function system: convergence theorems1. Introduction; 2. Stochastic stability and ergodic theorem; 3. Central limit theorem and quick convergence: Poisson equation approach; References; Asymptotic properties of adaptive designs via strong approximations; 1. Introduction; 2. Play-the-Winner rule and Markov chain adaptive designs; 3. Randomized play-the-Winner rule and generalized Polya urn; 4. Doubly adaptive biased coin designs; 5. The drop-the-loss rule; 6. The minimum asymptotic variance; References; Johnson-Mehl tessellations: asymptotics and inferences; 1. Introduction
2. Asymptotics3. Statistics; References; Rapid simulation of correlated defaults and the valuation of basket default swaps; 1. Introduction; 2. Hazard rate model and calibration; 3. Pricing basket default swaps; 4. Conclusion; Appendix A. Explicit solution of the jump CIR generating function; Appendix B. Copula Functions; References; Optimal consumption and portfolio in a market where the volatility is driven by fractional Brownian motion; 1. Introduction; 2. General Results; 3. Some Particular Utility Functions; 4. Conclusion; References
MLE for change-point in ARMA-GARCH models with a changing drift
Record Nr. UNINA-9910454307403321
Singapore ; ; River Edge, : World Scientific, c2004
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Probability, finance and insurance [[electronic resource] ] : proceedings of a workshop at the University of Hong Kong, Hong Kong, 15-17 July 2002 / / editors, Tze Leung Lai, Hailiang Yang, Siu Pang Yung
Probability, finance and insurance [[electronic resource] ] : proceedings of a workshop at the University of Hong Kong, Hong Kong, 15-17 July 2002 / / editors, Tze Leung Lai, Hailiang Yang, Siu Pang Yung
Pubbl/distr/stampa Singapore ; ; River Edge, : World Scientific, c2004
Descrizione fisica 1 online resource (252 p.)
Disciplina 332.015192
Altri autori (Persone) LaiT. L
YangHailiang
YungSiu Pang
Soggetto topico Investments - Mathematics
Finance - Mathematical models
Insurance - Statistical methods
ISBN 1-281-89874-0
9786611898748
981-270-271-7
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Preface; List of Participants; CONTENTS; Limit theorems for moving averages; 1. Introduction; 2. Strong limit theorems for moving averages; 3. Large deviation approximations for logarithmic window sizes; 4. Window sizes associated with moderate deviation approximations; 5. Maxima and boundary crossing probabilities of asymptotically Gaussian random fields; References; On large deviations for moving average processes; 1. Introduction; 2. Main results; 3. A priori estimation; 4. Proofs of Theorem 2.1 and Theorem 2.2; 5. Proofs of Theorem 2.3 Corollary 2.1
6. Proofs of Propositions 2.1 2.2 and Theorem 2.47. Appendix: proof of Lemma 3.3; References; Recent progress on self-normalized limit theorems; 1. Introduction; 2. Self-normalized saddlepoint approximations; 3. Limit distributions of self-normalized sums; 4. Weak invariance principle for self-normalized partial sum processes; 5. Darling-Erdos theorems for self-normalized sums; 6. Large and moderate deviations for self-normalized empirical processes; 7. Cramer type large deviations for independent random variables; 8. Exponential inequalities for self-normalized processes; References
Limit theorems for independent self-normalized sums1. Introduction; 2. Asymptotic Normality; 3. Uniform Berry-Esseen Bounds; 4. Non-Uniform Berry-Esseen Bounds; 5. Exponential Non-Uniform Berry-Esseen Bounds; 6. Edgeworth Expansions; 7. Moderate Deviations; 8. Large Deviations; 9. Saddlepoint Approximations; 10. LIL for Partial Sums; 11. LIL for Increments of Partial Sums; 12. Summary; References; Phase changes in random recursive structures and algorithms; 1. Phase changes related to the Poisson distribution; 2. Phase changes related to Quicksort; 3. Conclusions; References
Iterated random function system: convergence theorems1. Introduction; 2. Stochastic stability and ergodic theorem; 3. Central limit theorem and quick convergence: Poisson equation approach; References; Asymptotic properties of adaptive designs via strong approximations; 1. Introduction; 2. Play-the-Winner rule and Markov chain adaptive designs; 3. Randomized play-the-Winner rule and generalized Polya urn; 4. Doubly adaptive biased coin designs; 5. The drop-the-loss rule; 6. The minimum asymptotic variance; References; Johnson-Mehl tessellations: asymptotics and inferences; 1. Introduction
2. Asymptotics3. Statistics; References; Rapid simulation of correlated defaults and the valuation of basket default swaps; 1. Introduction; 2. Hazard rate model and calibration; 3. Pricing basket default swaps; 4. Conclusion; Appendix A. Explicit solution of the jump CIR generating function; Appendix B. Copula Functions; References; Optimal consumption and portfolio in a market where the volatility is driven by fractional Brownian motion; 1. Introduction; 2. General Results; 3. Some Particular Utility Functions; 4. Conclusion; References
MLE for change-point in ARMA-GARCH models with a changing drift
Record Nr. UNINA-9910782120603321
Singapore ; ; River Edge, : World Scientific, c2004
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Probability, finance and insurance [[electronic resource] ] : proceedings of a workshop at the University of Hong Kong, Hong Kong, 15-17 July 2002 / / editors, Tze Leung Lai, Hailiang Yang, Siu Pang Yung
Probability, finance and insurance [[electronic resource] ] : proceedings of a workshop at the University of Hong Kong, Hong Kong, 15-17 July 2002 / / editors, Tze Leung Lai, Hailiang Yang, Siu Pang Yung
Pubbl/distr/stampa Singapore ; ; River Edge, : World Scientific, c2004
Descrizione fisica 1 online resource (252 p.)
Disciplina 332.015192
Altri autori (Persone) LaiT. L
YangHailiang
YungSiu Pang
Soggetto topico Investments - Mathematics
Finance - Mathematical models
Insurance - Statistical methods
ISBN 1-281-89874-0
9786611898748
981-270-271-7
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Preface; List of Participants; CONTENTS; Limit theorems for moving averages; 1. Introduction; 2. Strong limit theorems for moving averages; 3. Large deviation approximations for logarithmic window sizes; 4. Window sizes associated with moderate deviation approximations; 5. Maxima and boundary crossing probabilities of asymptotically Gaussian random fields; References; On large deviations for moving average processes; 1. Introduction; 2. Main results; 3. A priori estimation; 4. Proofs of Theorem 2.1 and Theorem 2.2; 5. Proofs of Theorem 2.3 Corollary 2.1
6. Proofs of Propositions 2.1 2.2 and Theorem 2.47. Appendix: proof of Lemma 3.3; References; Recent progress on self-normalized limit theorems; 1. Introduction; 2. Self-normalized saddlepoint approximations; 3. Limit distributions of self-normalized sums; 4. Weak invariance principle for self-normalized partial sum processes; 5. Darling-Erdos theorems for self-normalized sums; 6. Large and moderate deviations for self-normalized empirical processes; 7. Cramer type large deviations for independent random variables; 8. Exponential inequalities for self-normalized processes; References
Limit theorems for independent self-normalized sums1. Introduction; 2. Asymptotic Normality; 3. Uniform Berry-Esseen Bounds; 4. Non-Uniform Berry-Esseen Bounds; 5. Exponential Non-Uniform Berry-Esseen Bounds; 6. Edgeworth Expansions; 7. Moderate Deviations; 8. Large Deviations; 9. Saddlepoint Approximations; 10. LIL for Partial Sums; 11. LIL for Increments of Partial Sums; 12. Summary; References; Phase changes in random recursive structures and algorithms; 1. Phase changes related to the Poisson distribution; 2. Phase changes related to Quicksort; 3. Conclusions; References
Iterated random function system: convergence theorems1. Introduction; 2. Stochastic stability and ergodic theorem; 3. Central limit theorem and quick convergence: Poisson equation approach; References; Asymptotic properties of adaptive designs via strong approximations; 1. Introduction; 2. Play-the-Winner rule and Markov chain adaptive designs; 3. Randomized play-the-Winner rule and generalized Polya urn; 4. Doubly adaptive biased coin designs; 5. The drop-the-loss rule; 6. The minimum asymptotic variance; References; Johnson-Mehl tessellations: asymptotics and inferences; 1. Introduction
2. Asymptotics3. Statistics; References; Rapid simulation of correlated defaults and the valuation of basket default swaps; 1. Introduction; 2. Hazard rate model and calibration; 3. Pricing basket default swaps; 4. Conclusion; Appendix A. Explicit solution of the jump CIR generating function; Appendix B. Copula Functions; References; Optimal consumption and portfolio in a market where the volatility is driven by fractional Brownian motion; 1. Introduction; 2. General Results; 3. Some Particular Utility Functions; 4. Conclusion; References
MLE for change-point in ARMA-GARCH models with a changing drift
Record Nr. UNINA-9910809705503321
Singapore ; ; River Edge, : World Scientific, c2004
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui