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Bayesian Machine Learning in Quantitative Finance : Theory and Practical Applications / / by Wilson Tsakane Mongwe, Rendani Mbuvha, Tshilidzi Marwala
| Bayesian Machine Learning in Quantitative Finance : Theory and Practical Applications / / by Wilson Tsakane Mongwe, Rendani Mbuvha, Tshilidzi Marwala |
| Autore | Mongwe Wilson Tsakane |
| Edizione | [1st ed. 2025.] |
| Pubbl/distr/stampa | Cham : , : Springer Nature Switzerland : , : Imprint : Palgrave Macmillan, , 2025 |
| Descrizione fisica | 1 online resource (350 pages) |
| Disciplina | 332.01519542 |
| Altri autori (Persone) |
MbuvhaRendani
MarwalaTshilidzi |
| Soggetto topico |
Business enterprises - Finance
Econometrics Computer science Probabilities Corporate Finance Quantitative Economics Computer Science Probability Theory |
| ISBN | 3-031-88431-0 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | 1 Introduction To Bayesian Machine Learning In Quantitative Finance -- 2 Background To Bayesian Machine Learning In Quantitative Finance -- 3 On the Stochastic Alpha Beta Rho Model and Hamiltonian Monte Carlo Techniques -- 4 Learning Equity Volatility Surfaces using Sparse Gaussian Processes -- 5 Analyzing South African Equity Option Prices Using Normalizing Flows -- 6 Sparse and Distributed Gaussian Processes For Modeling Corporate Credit Ratings -- 7 Bayesian Detection Of Recovery On Charged-Off Loan Accounts -- 8 Bayesian Audit Outcome Model Selection Using Normalising Flows -- 9 Bayesian Detection Of Unauthorized Expenditure Using Langevin and Hamiltonian Monte Carlo -- 10 Bayesian Neural Network Inference Of Motor Insurance Claims -- 11 Shadow and Adaptive Hamiltonian Monte Carlo Methods For Calibrating The Nelson and Siegel Model -- 12 Static and Dynamic Nested Sampling For Yield Curve Model Selection -- 13 A Bayesian Investment Analyst On The Johannesburg Stock Exchange -- 14 Conclusions to Bayesian Machine Learning In Quantitative Finance. |
| Record Nr. | UNINA-9911011778803321 |
Mongwe Wilson Tsakane
|
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| Cham : , : Springer Nature Switzerland : , : Imprint : Palgrave Macmillan, , 2025 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Bayesian methods in finance [[electronic resource] /] / Svetlozar T. Rachev ... [et al.]
| Bayesian methods in finance [[electronic resource] /] / Svetlozar T. Rachev ... [et al.] |
| Pubbl/distr/stampa | Hoboken, N.J., : Wiley, c2008 |
| Descrizione fisica | 1 online resource (351 p.) |
| Disciplina |
332
332.01519542 |
| Altri autori (Persone) | RachevS. T (Svetlozar Todorov) |
| Collana | The Frank J. Fabozzi series |
| Soggetto topico |
Finance - Mathematical models
Bayesian statistical decision theory |
| ISBN |
1-119-20214-0
1-281-21726-3 9786611217266 0-470-24924-2 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Bayesian Methods in Finance; Contents; Preface; About the Authors; CHAPTER 1 Introduction; A FEW NOTES ON NOTATION; OVERVIEW; CHAPTER 2 The Bayesian Paradigm; THE LIKELIHOOD FUNCTION; THE BAYES' THEOREM; SUMMARY; CHAPTER 3 Prior and Posterior Information, Predictive Inference; PRIOR INFORMATION; POSTERIOR INFERENCE; BAYESIAN PREDICTIVE INFERENCE; ILLUSTRATION: POSTERIOR TRADE-OFF AND THENORMAL MEAN PARAMETER; SUMMARY; APPENDIX: DEFINITIONS OF SOME UNIVARIATE AND MULTIVARIATE STATISTICAL DISTRIBUTIONS; CHAPTER 4 Bayesian Linear Regression Model; THE UNIVARIATE LINEAR REGRESSION MODEL
THE MULTIVARIATE LINEAR REGRESSION MODELSUMMARY; CHAPTER 5 Bayesian Numerical Computation; MONTE CARLO INTEGRATION; ALGORITHMS FOR POSTERIOR SIMULATION; APPROXIMATION METHODS: LOGISTIC REGRESSION; SUMMARY; CHAPTER 6 Bayesian Framework for Portfolio Allocation; CLASSICAL PORTFOLIO SELECTION; BAYESIAN PORTFOLIO SELECTION; SHRINKAGE ESTIMATORS; UNEQUAL HISTORIES OF RETURNS; SUMMARY; CHAPTER 7 Prior Beliefs and Asset Pricing Models; PRIOR BELIEFS AND ASSET PRICING MODELS; MODEL UNCERTAINTY; SUMMARY; APPENDIX A: NUMERICAL SIMULATION OF THE PREDICTIVE DISTRIBUTION APPENDIX B: LIKELIHOOD FUNCTION OF A CANDIDATE MODELCHAPTER 8 The Black-Litterman Portfolio Selection Framework; PRELIMINARIES; COMBINING MARKET EQUILIBRIUM AND INVESTOR VIEWS; THE CHOICE OF τ AND ω; THE OPTIMAL PORTFOLIO ALLOCATION; INCORPORATING TRADING STRATEGIES INTO THE BLACK-LITTERMAN MODEL; ACTIVE PORTFOLIO MANAGEMENT AND THE BLACK-LITTERMAN MODEL; COVARIANCE MATRIX ESTIMATION; SUMMARY; CHAPTER 9 Market Efficiency and Return Predictability; TESTS OF MEAN-VARIANCE EFFICIENCY; INEFFICIENCY MEASURES IN TESTING THE CAPM; TESTING THE APT; RETURN PREDICTABILITY ILLUSTRATION: PREDICTABILITY AND THE INVESTMENT HORIZONSUMMARY; APPENDIX: VECTOR AUTOREGRESSIVE SETUP; CHAPTER 10 Volatility Models; GARCH MODELS OF VOLATILITY; STOCHASTIC VOLATILITY MODELS; ILLUSTRATION: FORECASTING VALUE-AT-RISK; AN ARCH-TYPE MODEL OR A STOCHASTIC VOLATILITY MODEL?; WHERE DO BAYESIAN METHODS FIT?; CHAPTER 11 Bayesian Estimation of ARCH-Type Volatility Models; BAYESIAN ESTIMATION OF THE SIMPLE GARCH(1,1) MODEL; MARKOV REGIME-SWITCHING GARCH MODELS; SUMMARY; APPENDIX: GRIDDY GIBBS SAMPLER; CHAPTER 12 Bayesian Estimation of Stochastic Volatility Models PRELIMINARIES OF SV MODEL ESTIMATIONTHE SINGLE-MOVE MCMC ALGORITHM FOR SV MODEL ESTIMATION; THE MULTIMOVE MCMC ALGORITHM FOR SV MODEL ESTIMATION; JUMP EXTENSION OF THE SIMPLE SV MODEL; VOLATILITY FORECASTING AND RETURN PREDICTION; SUMMARY; APPENDIX: KALMAN FILTERING AND SMOOTHING; CHAPTER 13 Advanced Techniques for Bayesian Portfolio Selection; DISTRIBUTIONAL RETURN ASSUMPTIONS ALTERNATIVE TO NORMALITY; PORTFOLIO SELECTION IN THE SETTING OF NONNORMALITY: PRELIMINARIES; MAXIMIZATION OF UTILITY WITH HIGHER MOMENTS; EXTENDING THE BLACK-LITTERMAN APPROACH: COPULA OPINION POOLING EXTENDING THE BLACK-LITTERMAN APPROACH: STABLE DISTRIBUTION |
| Record Nr. | UNINA-9910145695803321 |
| Hoboken, N.J., : Wiley, c2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Bayesian methods in finance / / Svetlozar T. Rachev ... [et al.]
| Bayesian methods in finance / / Svetlozar T. Rachev ... [et al.] |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Hoboken, N.J., : Wiley, c2008 |
| Descrizione fisica | 1 online resource (351 p.) |
| Disciplina |
332
332.01519542 |
| Altri autori (Persone) | RachevS. T (Svetlozar Todorov) |
| Collana | The Frank J. Fabozzi series |
| Soggetto topico |
Finance - Mathematical models
Bayesian statistical decision theory |
| ISBN |
9786611217266
9781119202141 1119202140 9781281217264 1281217263 9780470249246 0470249242 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Bayesian Methods in Finance; Contents; Preface; About the Authors; CHAPTER 1 Introduction; A FEW NOTES ON NOTATION; OVERVIEW; CHAPTER 2 The Bayesian Paradigm; THE LIKELIHOOD FUNCTION; THE BAYES' THEOREM; SUMMARY; CHAPTER 3 Prior and Posterior Information, Predictive Inference; PRIOR INFORMATION; POSTERIOR INFERENCE; BAYESIAN PREDICTIVE INFERENCE; ILLUSTRATION: POSTERIOR TRADE-OFF AND THENORMAL MEAN PARAMETER; SUMMARY; APPENDIX: DEFINITIONS OF SOME UNIVARIATE AND MULTIVARIATE STATISTICAL DISTRIBUTIONS; CHAPTER 4 Bayesian Linear Regression Model; THE UNIVARIATE LINEAR REGRESSION MODEL
THE MULTIVARIATE LINEAR REGRESSION MODELSUMMARY; CHAPTER 5 Bayesian Numerical Computation; MONTE CARLO INTEGRATION; ALGORITHMS FOR POSTERIOR SIMULATION; APPROXIMATION METHODS: LOGISTIC REGRESSION; SUMMARY; CHAPTER 6 Bayesian Framework for Portfolio Allocation; CLASSICAL PORTFOLIO SELECTION; BAYESIAN PORTFOLIO SELECTION; SHRINKAGE ESTIMATORS; UNEQUAL HISTORIES OF RETURNS; SUMMARY; CHAPTER 7 Prior Beliefs and Asset Pricing Models; PRIOR BELIEFS AND ASSET PRICING MODELS; MODEL UNCERTAINTY; SUMMARY; APPENDIX A: NUMERICAL SIMULATION OF THE PREDICTIVE DISTRIBUTION APPENDIX B: LIKELIHOOD FUNCTION OF A CANDIDATE MODELCHAPTER 8 The Black-Litterman Portfolio Selection Framework; PRELIMINARIES; COMBINING MARKET EQUILIBRIUM AND INVESTOR VIEWS; THE CHOICE OF τ AND ω; THE OPTIMAL PORTFOLIO ALLOCATION; INCORPORATING TRADING STRATEGIES INTO THE BLACK-LITTERMAN MODEL; ACTIVE PORTFOLIO MANAGEMENT AND THE BLACK-LITTERMAN MODEL; COVARIANCE MATRIX ESTIMATION; SUMMARY; CHAPTER 9 Market Efficiency and Return Predictability; TESTS OF MEAN-VARIANCE EFFICIENCY; INEFFICIENCY MEASURES IN TESTING THE CAPM; TESTING THE APT; RETURN PREDICTABILITY ILLUSTRATION: PREDICTABILITY AND THE INVESTMENT HORIZONSUMMARY; APPENDIX: VECTOR AUTOREGRESSIVE SETUP; CHAPTER 10 Volatility Models; GARCH MODELS OF VOLATILITY; STOCHASTIC VOLATILITY MODELS; ILLUSTRATION: FORECASTING VALUE-AT-RISK; AN ARCH-TYPE MODEL OR A STOCHASTIC VOLATILITY MODEL?; WHERE DO BAYESIAN METHODS FIT?; CHAPTER 11 Bayesian Estimation of ARCH-Type Volatility Models; BAYESIAN ESTIMATION OF THE SIMPLE GARCH(1,1) MODEL; MARKOV REGIME-SWITCHING GARCH MODELS; SUMMARY; APPENDIX: GRIDDY GIBBS SAMPLER; CHAPTER 12 Bayesian Estimation of Stochastic Volatility Models PRELIMINARIES OF SV MODEL ESTIMATIONTHE SINGLE-MOVE MCMC ALGORITHM FOR SV MODEL ESTIMATION; THE MULTIMOVE MCMC ALGORITHM FOR SV MODEL ESTIMATION; JUMP EXTENSION OF THE SIMPLE SV MODEL; VOLATILITY FORECASTING AND RETURN PREDICTION; SUMMARY; APPENDIX: KALMAN FILTERING AND SMOOTHING; CHAPTER 13 Advanced Techniques for Bayesian Portfolio Selection; DISTRIBUTIONAL RETURN ASSUMPTIONS ALTERNATIVE TO NORMALITY; PORTFOLIO SELECTION IN THE SETTING OF NONNORMALITY: PRELIMINARIES; MAXIMIZATION OF UTILITY WITH HIGHER MOMENTS; EXTENDING THE BLACK-LITTERMAN APPROACH: COPULA OPINION POOLING EXTENDING THE BLACK-LITTERMAN APPROACH: STABLE DISTRIBUTION |
| Record Nr. | UNINA-9910817059303321 |
| Hoboken, N.J., : Wiley, c2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||