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Dynamic term structure modeling [[electronic resource] ] : the fixed income valuation course / / Sanjay K. Nawalkha, Natalia A. Beliaeva, Gloria M. Soto
| Dynamic term structure modeling [[electronic resource] ] : the fixed income valuation course / / Sanjay K. Nawalkha, Natalia A. Beliaeva, Gloria M. Soto |
| Autore | Nawalkha Sanjay K |
| Pubbl/distr/stampa | Hoboken, N.J., : John Wiley & Sons, c2007 |
| Descrizione fisica | 1 online resource (722 p.) |
| Disciplina |
332.0151923
332.632 |
| Altri autori (Persone) |
Beli͡aevaNatalʹi͡a A <1975-> (Natalʹi͡a Anatolʹevna)
SotoGloria M |
| Collana | Wiley finance |
| Soggetto topico |
Finance
Stochastic processes |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-119-20157-8
1-280-90029-6 9786610900299 0-470-14006-2 |
| Classificazione | 85.30 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | A simple introduction to continuous-time stochastic processes -- Arbitrage-free valuation -- Valuing interest rate and credit derivatives : basic pricing frameworks -- Fundamental and preference-free single-factor Gaussian models -- Fundamental and preference-free jump-extended Gaussian models -- The fundamental Cox, Ingersoll, and Ross model with exponential and lognormal jumps -- Preference-free CIR and CEV models with jumps -- Fundamental and preference-free two-factor affine models -- Fundamental and preference-free multifactor affine models -- Fundamental and preference-free quadratic models -- The HJM forward rate models -- The LIBOR market model. |
| Record Nr. | UNINA-9910143408503321 |
Nawalkha Sanjay K
|
||
| Hoboken, N.J., : John Wiley & Sons, c2007 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Dynamic term structure modeling [[electronic resource] ] : the fixed income valuation course / / Sanjay K. Nawalkha, Natalia A. Beliaeva, Gloria M. Soto
| Dynamic term structure modeling [[electronic resource] ] : the fixed income valuation course / / Sanjay K. Nawalkha, Natalia A. Beliaeva, Gloria M. Soto |
| Autore | Nawalkha Sanjay K |
| Pubbl/distr/stampa | Hoboken, N.J., : John Wiley & Sons, c2007 |
| Descrizione fisica | 1 online resource (722 p.) |
| Disciplina |
332.0151923
332.632 |
| Altri autori (Persone) |
Beli͡aevaNatalʹi͡a A <1975-> (Natalʹi͡a Anatolʹevna)
SotoGloria M |
| Collana | Wiley finance |
| Soggetto topico |
Finance
Stochastic processes |
| ISBN |
1-119-20157-8
1-280-90029-6 9786610900299 0-470-14006-2 |
| Classificazione | 85.30 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | A simple introduction to continuous-time stochastic processes -- Arbitrage-free valuation -- Valuing interest rate and credit derivatives : basic pricing frameworks -- Fundamental and preference-free single-factor Gaussian models -- Fundamental and preference-free jump-extended Gaussian models -- The fundamental Cox, Ingersoll, and Ross model with exponential and lognormal jumps -- Preference-free CIR and CEV models with jumps -- Fundamental and preference-free two-factor affine models -- Fundamental and preference-free multifactor affine models -- Fundamental and preference-free quadratic models -- The HJM forward rate models -- The LIBOR market model. |
| Record Nr. | UNINA-9910829919903321 |
|
Nawalkha Sanjay K
|
||
| Hoboken, N.J., : John Wiley & Sons, c2007 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Dynamic term structure modeling [[electronic resource] ] : the fixed income valuation course / / Sanjay K. Nawalkha, Natalia A. Beliaeva, Gloria M. Soto
| Dynamic term structure modeling [[electronic resource] ] : the fixed income valuation course / / Sanjay K. Nawalkha, Natalia A. Beliaeva, Gloria M. Soto |
| Autore | Nawalkha Sanjay K |
| Pubbl/distr/stampa | Hoboken, N.J., : John Wiley & Sons, c2007 |
| Descrizione fisica | 1 online resource (722 p.) |
| Disciplina |
332.0151923
332.632 |
| Altri autori (Persone) |
Beli͡aevaNatalʹi͡a A <1975-> (Natalʹi͡a Anatolʹevna)
SotoGloria M |
| Collana | Wiley finance |
| Soggetto topico |
Finance
Stochastic processes |
| ISBN |
1-119-20157-8
1-280-90029-6 9786610900299 0-470-14006-2 |
| Classificazione | 85.30 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | A simple introduction to continuous-time stochastic processes -- Arbitrage-free valuation -- Valuing interest rate and credit derivatives : basic pricing frameworks -- Fundamental and preference-free single-factor Gaussian models -- Fundamental and preference-free jump-extended Gaussian models -- The fundamental Cox, Ingersoll, and Ross model with exponential and lognormal jumps -- Preference-free CIR and CEV models with jumps -- Fundamental and preference-free two-factor affine models -- Fundamental and preference-free multifactor affine models -- Fundamental and preference-free quadratic models -- The HJM forward rate models -- The LIBOR market model. |
| Record Nr. | UNINA-9910876779203321 |
|
Nawalkha Sanjay K
|
||
| Hoboken, N.J., : John Wiley & Sons, c2007 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Random dynamical systems in finance / Anatoliy Swishchuk, Shafiqul Islam
| Random dynamical systems in finance / Anatoliy Swishchuk, Shafiqul Islam |
| Autore | Svishchuk, A. V. (Anatoliæi Vital§evich) |
| Pubbl/distr/stampa | Boca Raton, FL : CRC Press, 2013 |
| Descrizione fisica | XVII, 339 p. ; 24 cm |
| Disciplina | 332.0151923 |
| Altri autori (Persone) | Islam, Shafiqulauthor |
| Soggetto topico |
Finance - Mathematical models
Finanza - Metodi statistici |
| ISBN | 9781439867181 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNISALENTO-991002123139707536 |
|
Svishchuk, A. V. (Anatoliæi Vital§evich)
|
||
| Boca Raton, FL : CRC Press, 2013 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. del Salento | ||
| ||
Stochastic simulation and applications in finance with MATLAB programs / Huu Tue Huynh, Van Son Lai and Issouf Soumaré
| Stochastic simulation and applications in finance with MATLAB programs / Huu Tue Huynh, Van Son Lai and Issouf Soumaré |
| Autore | HUYNH, Huu Tue |
| Pubbl/distr/stampa | Chichester : Wiley, 2008 |
| Disciplina | 332.0151923 |
| Altri autori (Persone) |
LAI, Van Son
SOUMARÉ, Issouf |
| Collana | The Wiley finance series |
| Soggetto topico | Finanza - Processi stocastici |
| ISBN | 978-0-470-72538-2 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | ita |
| Record Nr. | UNISA-990003606000203316 |
|
HUYNH, Huu Tue
|
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| Chichester : Wiley, 2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. di Salerno | ||
| ||
Stochastic simulation and applications in finance with MATLAB programs [[electronic resource] /] / Huu Tue Huynh, Van Son Lai and Issouf Soumaré
| Stochastic simulation and applications in finance with MATLAB programs [[electronic resource] /] / Huu Tue Huynh, Van Son Lai and Issouf Soumaré |
| Autore | Huynh Huu Tue |
| Pubbl/distr/stampa | Chichester, England ; ; Hoboken, N.J., : John Wiley & Sons, c2008 |
| Descrizione fisica | 1 online resource (356 p.) |
| Disciplina |
332.01/51923
332.0151923 |
| Altri autori (Persone) |
LaiVan Son
SoumaréIssouf |
| Collana | Wiley finance |
| Soggetto topico |
Finance - Mathematical models
Stochastic models |
| ISBN |
1-283-37237-1
9786613372376 1-118-46737-X 0-470-72213-4 |
| Classificazione |
DAT 306f
MAT 605f QP 890 ST 601 M35 WIR 160f |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Stochastic Simulation and Applications in Finance with MATLAB® Programs; Contents; Preface; 1 Introduction to Probability; 1.1 Intuitive Explanation; 1.1.1 Frequencies; 1.1.2 Number of Favorable Cases Over The Total Number of Cases; 1.2 Axiomatic Definition; 1.2.1 Random Experiment; 1.2.2 Event; 1.2.3 Algebra of Events; 1.2.4 Probability Axioms; 1.2.5 Conditional Probabilities; 1.2.6 Independent Events; 2 Introduction to Random Variables; 2.1 Random Variables; 2.1.1 Cumulative Distribution Function; 2.1.2 Probability Density Function
2.1.3 Mean, Variance and Higher Moments of a Random Variable2.1.4 Characteristic Function of a Random Variable; 2.2 Random vectors; 2.2.1 Cumulative Distribution Function of a Random Vector; 2.2.2 Probability Density Function of a Random Vector; 2.2.3 Marginal Distribution of a Random Vector; 2.2.4 Conditional Distribution of a Random Vector; 2.2.5 Mean, Variance and Higher Moments of a Random Vector; 2.2.6 Characteristic Function of a Random Vector; 2.3 Transformation of Random Variables; 2.4 Transformation of Random Vectors 2.5 Approximation of the Standard Normal Cumulative Distribution Function3 Random Sequences; 3.1 Sum of Independent Random Variables; 3.2 Law of Large Numbers; 3.3 Central Limit Theorem; 3.4 Convergence of Sequences of Random Variables; 3.4.1 Sure Convergence; 3.4.2 Almost Sure Convergence; 3.4.3 Convergence in Probability; 3.4.4 Convergence in Quadratic Mean; 4 Introduction to Computer Simulation of Random Variables; 4.1 Uniform Random Variable Generator; 4.2 Generating Discrete Random Variables; 4.2.1 Finite Discrete Random Variables 4.2.2 Infinite Discrete Random Variables: Poisson Distribution4.3 Simulation of Continuous Random Variables; 4.3.1 Cauchy Distribution; 4.3.2 Exponential Law; 4.3.3 Rayleigh Random Variable; 4.3.4 Gaussian Distribution; 4.4 Simulation of Random Vectors; 4.4.1 Case of a Two-Dimensional Random Vector; 4.4.2 Cholesky Decomposition of the Variance-Covariance Matrix; 4.4.3 Eigenvalue Decomposition of the Variance-Covariance Matrix; 4.4.4 Simulation of a Gaussian Random Vector with MATLAB; 4.5 Acceptance-Rejection Method; 4.6 Markov Chain Monte Carlo Method (MCMC) 4.6.1 Definition of a Markov Process4.6.2 Description of the MCMC Technique; 5 Foundations of Monte Carlo Simulations; 5.1 Basic Idea; 5.2 Introduction to the Concept of Precision; 5.3 Quality of Monte Carlo Simulations Results; 5.4 Improvement of the Quality of Monte Carlo Simulations or Variance Reduction Techniques; 5.4.1 Quadratic Resampling; 5.4.2 Reduction of the Number of Simulations Using Antithetic Variables; 5.4.3 Reduction of the Number of Simulations Using Control Variates; 5.4.4 Importance Sampling; 5.5 Application Cases of Random Variables Simulations 5.5.1 Application Case: Generation of Random Variables as a Function of the Number of Simulations |
| Record Nr. | UNINA-9910139741303321 |
|
Huynh Huu Tue
|
||
| Chichester, England ; ; Hoboken, N.J., : John Wiley & Sons, c2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Stochastic simulation and applications in finance with MATLAB programs [[electronic resource] /] / Huu Tue Huynh, Van Son Lai and Issouf Soumaré
| Stochastic simulation and applications in finance with MATLAB programs [[electronic resource] /] / Huu Tue Huynh, Van Son Lai and Issouf Soumaré |
| Autore | Huynh Huu Tue |
| Pubbl/distr/stampa | Chichester, England ; ; Hoboken, N.J., : John Wiley & Sons, c2008 |
| Descrizione fisica | 1 online resource (356 p.) |
| Disciplina |
332.01/51923
332.0151923 |
| Altri autori (Persone) |
LaiVan Son
SoumaréIssouf |
| Collana | Wiley finance |
| Soggetto topico |
Finance - Mathematical models
Stochastic models |
| ISBN |
1-283-37237-1
9786613372376 1-118-46737-X 0-470-72213-4 |
| Classificazione |
DAT 306f
MAT 605f QP 890 ST 601 M35 WIR 160f |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Stochastic Simulation and Applications in Finance with MATLAB® Programs; Contents; Preface; 1 Introduction to Probability; 1.1 Intuitive Explanation; 1.1.1 Frequencies; 1.1.2 Number of Favorable Cases Over The Total Number of Cases; 1.2 Axiomatic Definition; 1.2.1 Random Experiment; 1.2.2 Event; 1.2.3 Algebra of Events; 1.2.4 Probability Axioms; 1.2.5 Conditional Probabilities; 1.2.6 Independent Events; 2 Introduction to Random Variables; 2.1 Random Variables; 2.1.1 Cumulative Distribution Function; 2.1.2 Probability Density Function
2.1.3 Mean, Variance and Higher Moments of a Random Variable2.1.4 Characteristic Function of a Random Variable; 2.2 Random vectors; 2.2.1 Cumulative Distribution Function of a Random Vector; 2.2.2 Probability Density Function of a Random Vector; 2.2.3 Marginal Distribution of a Random Vector; 2.2.4 Conditional Distribution of a Random Vector; 2.2.5 Mean, Variance and Higher Moments of a Random Vector; 2.2.6 Characteristic Function of a Random Vector; 2.3 Transformation of Random Variables; 2.4 Transformation of Random Vectors 2.5 Approximation of the Standard Normal Cumulative Distribution Function3 Random Sequences; 3.1 Sum of Independent Random Variables; 3.2 Law of Large Numbers; 3.3 Central Limit Theorem; 3.4 Convergence of Sequences of Random Variables; 3.4.1 Sure Convergence; 3.4.2 Almost Sure Convergence; 3.4.3 Convergence in Probability; 3.4.4 Convergence in Quadratic Mean; 4 Introduction to Computer Simulation of Random Variables; 4.1 Uniform Random Variable Generator; 4.2 Generating Discrete Random Variables; 4.2.1 Finite Discrete Random Variables 4.2.2 Infinite Discrete Random Variables: Poisson Distribution4.3 Simulation of Continuous Random Variables; 4.3.1 Cauchy Distribution; 4.3.2 Exponential Law; 4.3.3 Rayleigh Random Variable; 4.3.4 Gaussian Distribution; 4.4 Simulation of Random Vectors; 4.4.1 Case of a Two-Dimensional Random Vector; 4.4.2 Cholesky Decomposition of the Variance-Covariance Matrix; 4.4.3 Eigenvalue Decomposition of the Variance-Covariance Matrix; 4.4.4 Simulation of a Gaussian Random Vector with MATLAB; 4.5 Acceptance-Rejection Method; 4.6 Markov Chain Monte Carlo Method (MCMC) 4.6.1 Definition of a Markov Process4.6.2 Description of the MCMC Technique; 5 Foundations of Monte Carlo Simulations; 5.1 Basic Idea; 5.2 Introduction to the Concept of Precision; 5.3 Quality of Monte Carlo Simulations Results; 5.4 Improvement of the Quality of Monte Carlo Simulations or Variance Reduction Techniques; 5.4.1 Quadratic Resampling; 5.4.2 Reduction of the Number of Simulations Using Antithetic Variables; 5.4.3 Reduction of the Number of Simulations Using Control Variates; 5.4.4 Importance Sampling; 5.5 Application Cases of Random Variables Simulations 5.5.1 Application Case: Generation of Random Variables as a Function of the Number of Simulations |
| Record Nr. | UNINA-9910814678603321 |
|
Huynh Huu Tue
|
||
| Chichester, England ; ; Hoboken, N.J., : John Wiley & Sons, c2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||