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From Probability to Finance [[electronic resource] ] : Lecture Notes of BICMR Summer School on Financial Mathematics / / edited by Ying Jiao
| From Probability to Finance [[electronic resource] ] : Lecture Notes of BICMR Summer School on Financial Mathematics / / edited by Ying Jiao |
| Edizione | [1st ed. 2020.] |
| Pubbl/distr/stampa | Singapore : , : Springer Singapore : , : Imprint : Springer, , 2020 |
| Descrizione fisica | 1 online resource (VII, 248 p. 25 illus., 20 illus. in color.) |
| Disciplina | 332.0151922 |
| Collana | Mathematical Lectures from Peking University |
| Soggetto topico |
Applied mathematics
Engineering mathematics Probabilities Applications of Mathematics Probability Theory and Stochastic Processes |
| ISBN | 981-15-1576-X |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Zenghu Li: Continuous-state branching processes with immigration -- Christophette Blanchet-Scalliet and Monique Jeanblanc: Enlargement of filtration in discrete time -- Guillaume Bernis and Simone Scotti: Clustering Effects via Hawkes Processes -- Jingping Yang, Fang Wang and Zongkai Xie: Bernstein Copulas and Composite Bernstein Copulas -- Claudio Albanese, Marc Chataigner and Stéphane Crépey: Wealth Transfers, Indifference Pricing, and XVA Compression Schemes. |
| Record Nr. | UNISA-996418278803316 |
| Singapore : , : Springer Singapore : , : Imprint : Springer, , 2020 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. di Salerno | ||
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From Probability to Finance : Lecture Notes of BICMR Summer School on Financial Mathematics / / edited by Ying Jiao
| From Probability to Finance : Lecture Notes of BICMR Summer School on Financial Mathematics / / edited by Ying Jiao |
| Edizione | [1st ed. 2020.] |
| Pubbl/distr/stampa | Singapore : , : Springer Singapore : , : Imprint : Springer, , 2020 |
| Descrizione fisica | 1 online resource (VII, 248 p. 25 illus., 20 illus. in color.) |
| Disciplina | 332.0151922 |
| Collana | Mathematical Lectures from Peking University |
| Soggetto topico |
Applied mathematics
Engineering mathematics Probabilities Applications of Mathematics Probability Theory and Stochastic Processes |
| ISBN | 981-15-1576-X |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Zenghu Li: Continuous-state branching processes with immigration -- Christophette Blanchet-Scalliet and Monique Jeanblanc: Enlargement of filtration in discrete time -- Guillaume Bernis and Simone Scotti: Clustering Effects via Hawkes Processes -- Jingping Yang, Fang Wang and Zongkai Xie: Bernstein Copulas and Composite Bernstein Copulas -- Claudio Albanese, Marc Chataigner and Stéphane Crépey: Wealth Transfers, Indifference Pricing, and XVA Compression Schemes. |
| Record Nr. | UNINA-9910484073403321 |
| Singapore : , : Springer Singapore : , : Imprint : Springer, , 2020 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Mathematical finance : deterministic and stochastic models / Jacques Janssen, Raimondo Manca, Ernesto Volpe di Prignano
| Mathematical finance : deterministic and stochastic models / Jacques Janssen, Raimondo Manca, Ernesto Volpe di Prignano |
| Autore | Janssen, Jacques <1939-> |
| Pubbl/distr/stampa | London : wiley, 2009 |
| Descrizione fisica | xx, 852 p. ; 24 cm |
| Disciplina | 332.0151922 |
| Altri autori (Persone) |
Manca, Raimondo
Volpe, Ernesto |
| Soggetto non controllato |
Matematica finanziaria
Processi stocastici |
| ISBN | 978-1-84821-081-3 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-990009495530403321 |
Janssen, Jacques <1939->
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| London : wiley, 2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Problems and solutions in mathematical finance . Volume 2, : Equity derivatives / / Eric Chin, Dian Nel, Sverrir Olafsson
| Problems and solutions in mathematical finance . Volume 2, : Equity derivatives / / Eric Chin, Dian Nel, Sverrir Olafsson |
| Autore | Chin Eric <1971-> |
| Pubbl/distr/stampa | Chichester, West Sussex, England : , : Wiley, , 2017 |
| Descrizione fisica | 1 online resource (859 pages) : illustrations, tables |
| Disciplina | 332.0151922 |
| Collana | Wiley Finance Series |
| Soggetto topico |
Finance - Mathematical models
Stochastic analysis |
| ISBN |
1-119-96611-6
1-119-96610-8 1-119-19219-6 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910158568003321 |
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Chin Eric <1971->
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| Chichester, West Sussex, England : , : Wiley, , 2017 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Proceedings of the First International Forum on Financial Mathematics and Financial Technology / / Zhiyong Zheng, editor
| Proceedings of the First International Forum on Financial Mathematics and Financial Technology / / Zhiyong Zheng, editor |
| Pubbl/distr/stampa | Gateway East, Singapore : , : Springer, , [2021] |
| Descrizione fisica | 1 online resource (238 pages) |
| Disciplina | 332.0151922 |
| Collana | Financial mathematics and FinTech |
| Soggetto topico | Business mathematics |
| ISBN | 981-15-8373-0 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910484958603321 |
| Gateway East, Singapore : , : Springer, , [2021] | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Stochastic analysis, stochastic systems, and applications to finance [[electronic resource] /] / edited by Allanus Tsoi, David Nualart, George Yin
| Stochastic analysis, stochastic systems, and applications to finance [[electronic resource] /] / edited by Allanus Tsoi, David Nualart, George Yin |
| Pubbl/distr/stampa | Singapore, : World Scientific, c2011 |
| Descrizione fisica | 1 online resource (274 p.) |
| Disciplina | 332.0151922 |
| Altri autori (Persone) |
TsoiAllanus Hak-Man <1955->
NualartDavid <1951-> YinGeorge <1954-> |
| Soggetto topico |
Finance - Mathematical models
Stochastic systems Stochastic analysis |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-283-43395-8
9786613433954 981-4355-71-2 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | pt. 1. Stochastic analysis and systems -- pt. 2. Finance and stochastics. |
| Record Nr. | UNINA-9910464515603321 |
| Singapore, : World Scientific, c2011 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Stochastic analysis, stochastic systems, and applications to finance [[electronic resource] /] / edited by Allanus Tsoi, David Nualart, George Yin
| Stochastic analysis, stochastic systems, and applications to finance [[electronic resource] /] / edited by Allanus Tsoi, David Nualart, George Yin |
| Pubbl/distr/stampa | Singapore, : World Scientific, c2011 |
| Descrizione fisica | 1 online resource (274 p.) |
| Disciplina | 332.0151922 |
| Altri autori (Persone) |
TsoiAllanus Hak-Man <1955->
NualartDavid <1951-> YinGeorge <1954-> |
| Soggetto topico |
Finance - Mathematical models
Stochastic systems Stochastic analysis |
| ISBN |
1-283-43395-8
9786613433954 981-4355-71-2 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | pt. 1. Stochastic analysis and systems -- pt. 2. Finance and stochastics. |
| Record Nr. | UNINA-9910789068903321 |
| Singapore, : World Scientific, c2011 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Stochastic calculus for finance / Steven E. Shreve
| Stochastic calculus for finance / Steven E. Shreve |
| Autore | Shreve, Steven E |
| Pubbl/distr/stampa | New York : Springer, c2004 |
| Descrizione fisica | 2 v. ; 24 cm |
| Disciplina | 332.0151922 |
| Collana | Springer finance. Textbook |
| Soggetto topico | Calcolo finanziario |
| ISBN |
9780387401003 (v. 1)
9780387401010 (v. 2) |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | 1.: The binomial asset pricing model. - XV, 187 p |
| Record Nr. | UNISALENTO-991003597429707536 |
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Shreve, Steven E
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| New York : Springer, c2004 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. del Salento | ||
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Stochastic optimization models in finance / / editors, W. T. Ziemba, R. G. Vickson
| Stochastic optimization models in finance / / editors, W. T. Ziemba, R. G. Vickson |
| Autore | Ziemba W. T. |
| Pubbl/distr/stampa | New York : , : Academic Press, , 1975 |
| Descrizione fisica | 1 online resource (xvi, 719 pages) : illustrations |
| Disciplina |
332.01/51922
332.0151922 |
| Collana | Economic Theory and Mathematical Economics |
| Soggetto topico |
Finance - Mathematical models
Mathematical optimization Stochastic processes |
| ISBN | 1-4832-7399-7 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Front Cover; Stochastic Optimization Models in Finance; Copyright Page; Dedication; Table of Contents; PREFACE; ACKNOWLEDGMENTS; Part I: Mathematical Tools; INTRODUCTION; I. Expected Utility Theory; II. Convexity and the Kuhn-Tucker Conditions; III. Dynamic Programming; SECTION1: EXPECTED UTILITY THEORY; CHAPTER 1. A GENERAL THEORY OF SUBJECTIVE PROBABILITIESAND EXPECTED UTILITIES; 1.Introduction; 2. Definitions andnotation; 3. Axioms and summarytheorem; 4.Theorems; 5. Proof of Theorem3; 6. Proof of Theorem4; SECTION2: CONVEXITY AND THE KUHN-TUCKERCONDITIONS; CHAPTER2. PSEUDO-CONVEX FUNCTIONS
Abstract1.Introduction; 2. Properties of pseudo-convex functions and applications; 3. Remarks on pseudo-convex functions; 4.Acknowledgement; CHAPTER3. CONVEXITY, PSEUDO-CONVEXITY AND QUASI-CONVEXITY OF COMPOSITE FUNCTIONS; ABSTRACT; Preliminaries; Principal result; Applications; SECTION3: DYNAMIC PROGRAMMING; Chapter4. Introduction to Dynamic Programming; I. Introduction; II. Sequential Decision Processes; III. Terminating Process; IV. The Main Theorem and an Algorithm; V. Nonterminating Processes; ACKNOWLEDGMENT; REFERENCES; CHAPTER5. COMPUTATIONAL AND REVIEW EXERCISES; Exercise Source Notes CHAPTER6. MIND-EXPANDING EXERCISES Exercise Source Notes; Part II: Qualitative Economic Results; INTRODUCTION; I. Stochastic Dominance; II. Measures of Risk Aversion; III. Separation Theorems; IV. Additional Reading Material; SECTION1: STOCHASTIC DOMINANCE; Chapter 1. The Efficiency Analysis of Choices Involving Risk; I. INTRODUCTION; II. UNRESTRICTED UTILITY-THE GENERALEFFICIENCY CRITERION; III. EFFICIENCY IN THE FACE OF RISK AVERSION; IV. THE LIMITATIONS OF THE MEAN-VARIANCEEFFICIENCY CRITERION; V. CONCLUSION; REFERENCES; Chapter 2. A Unified Approach to Stochastic Dominance I. Introduction to Stochastic Dominance II. Examples of Stochastic Dominance Relations; III. Probabilistic Content of Stochastic Dominance; REFERENCES; SECTION2: MEASURES OF RISK AVERSION; CHAPTER3. RISK AVERSION IN THE SMALL AND IN THE LARGE; 1. SUMMARY AND INTRODUCTION; 2. THE RISK PREMIUM; 3. LOCAL RISK AVERSION; 4. CONCAVITY; 5. COMPARATIVE RISK AVERSION; 6. CONSTANT RISK AVERSION; 7. INCREASING AND DECREASING RISK AVERSION; 8. OPERATIONS WHICH PRESERVE DECREASING RISK AVERSION; 9. EXAMPLES; 10. PROPORTIONAL RISK AVERSION; 11. CONSTANT PROPORTIONAL RISK AVERSION 12. INCREASING AND DECREASING PROPORTIONAL RISK AVERSION13. RELATED WORK OF ARROW; ADDENDUM; SECTION3: SEPARATION THEOREMS; CHAPTER 4. THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCKPORTFOLIOS AND CAPITAL BUDGETS; Introduction and Preview of Some Conclusions; I - Portfolio Selection for an Individual Investor: The Separation Theorem; II -Portfolio Selection: The Optimal Stock Mix; Ill Risk Premiums and Other Properties of Stocks Held Long or Short in Optimal Portfolios; IV - Market Prices of Shares Implied by Shareholder Optimization in Purely Competitive Markets Under Idealized Uncertainty |
| Record Nr. | UNINA-9910786796003321 |
|
Ziemba W. T.
|
||
| New York : , : Academic Press, , 1975 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Stochastic optimization models in finance / / editors, W. T. Ziemba, R. G. Vickson
| Stochastic optimization models in finance / / editors, W. T. Ziemba, R. G. Vickson |
| Autore | Ziemba W. T. |
| Pubbl/distr/stampa | New York : , : Academic Press, , 1975 |
| Descrizione fisica | 1 online resource (xvi, 719 pages) : illustrations |
| Disciplina |
332.01/51922
332.0151922 |
| Collana | Economic Theory and Mathematical Economics |
| Soggetto topico |
Finance - Mathematical models
Mathematical optimization Stochastic processes |
| ISBN | 1-4832-7399-7 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Front Cover; Stochastic Optimization Models in Finance; Copyright Page; Dedication; Table of Contents; PREFACE; ACKNOWLEDGMENTS; Part I: Mathematical Tools; INTRODUCTION; I. Expected Utility Theory; II. Convexity and the Kuhn-Tucker Conditions; III. Dynamic Programming; SECTION1: EXPECTED UTILITY THEORY; CHAPTER 1. A GENERAL THEORY OF SUBJECTIVE PROBABILITIESAND EXPECTED UTILITIES; 1.Introduction; 2. Definitions andnotation; 3. Axioms and summarytheorem; 4.Theorems; 5. Proof of Theorem3; 6. Proof of Theorem4; SECTION2: CONVEXITY AND THE KUHN-TUCKERCONDITIONS; CHAPTER2. PSEUDO-CONVEX FUNCTIONS
Abstract1.Introduction; 2. Properties of pseudo-convex functions and applications; 3. Remarks on pseudo-convex functions; 4.Acknowledgement; CHAPTER3. CONVEXITY, PSEUDO-CONVEXITY AND QUASI-CONVEXITY OF COMPOSITE FUNCTIONS; ABSTRACT; Preliminaries; Principal result; Applications; SECTION3: DYNAMIC PROGRAMMING; Chapter4. Introduction to Dynamic Programming; I. Introduction; II. Sequential Decision Processes; III. Terminating Process; IV. The Main Theorem and an Algorithm; V. Nonterminating Processes; ACKNOWLEDGMENT; REFERENCES; CHAPTER5. COMPUTATIONAL AND REVIEW EXERCISES; Exercise Source Notes CHAPTER6. MIND-EXPANDING EXERCISES Exercise Source Notes; Part II: Qualitative Economic Results; INTRODUCTION; I. Stochastic Dominance; II. Measures of Risk Aversion; III. Separation Theorems; IV. Additional Reading Material; SECTION1: STOCHASTIC DOMINANCE; Chapter 1. The Efficiency Analysis of Choices Involving Risk; I. INTRODUCTION; II. UNRESTRICTED UTILITY-THE GENERALEFFICIENCY CRITERION; III. EFFICIENCY IN THE FACE OF RISK AVERSION; IV. THE LIMITATIONS OF THE MEAN-VARIANCEEFFICIENCY CRITERION; V. CONCLUSION; REFERENCES; Chapter 2. A Unified Approach to Stochastic Dominance I. Introduction to Stochastic Dominance II. Examples of Stochastic Dominance Relations; III. Probabilistic Content of Stochastic Dominance; REFERENCES; SECTION2: MEASURES OF RISK AVERSION; CHAPTER3. RISK AVERSION IN THE SMALL AND IN THE LARGE; 1. SUMMARY AND INTRODUCTION; 2. THE RISK PREMIUM; 3. LOCAL RISK AVERSION; 4. CONCAVITY; 5. COMPARATIVE RISK AVERSION; 6. CONSTANT RISK AVERSION; 7. INCREASING AND DECREASING RISK AVERSION; 8. OPERATIONS WHICH PRESERVE DECREASING RISK AVERSION; 9. EXAMPLES; 10. PROPORTIONAL RISK AVERSION; 11. CONSTANT PROPORTIONAL RISK AVERSION 12. INCREASING AND DECREASING PROPORTIONAL RISK AVERSION13. RELATED WORK OF ARROW; ADDENDUM; SECTION3: SEPARATION THEOREMS; CHAPTER 4. THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCKPORTFOLIOS AND CAPITAL BUDGETS; Introduction and Preview of Some Conclusions; I - Portfolio Selection for an Individual Investor: The Separation Theorem; II -Portfolio Selection: The Optimal Stock Mix; Ill Risk Premiums and Other Properties of Stocks Held Long or Short in Optimal Portfolios; IV - Market Prices of Shares Implied by Shareholder Optimization in Purely Competitive Markets Under Idealized Uncertainty |
| Record Nr. | UNINA-9910812511103321 |
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Ziemba W. T.
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| New York : , : Academic Press, , 1975 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
