top

  Info

  • Utilizzare la checkbox di selezione a fianco di ciascun documento per attivare le funzionalità di stampa, invio email, download nei formati disponibili del (i) record.

  Info

  • Utilizzare questo link per rimuovere la selezione effettuata.

Biblioteca

MARC Lista (tabellare)
C# for financial markets / / Daniel J. Duffy and Andrea Germani
C# for financial markets / / Daniel J. Duffy and Andrea Germani
Autore Duffy Daniel J
Edizione [1st edition]
Pubbl/distr/stampa Chichester, : John Wiley & Sons, 2013
Descrizione fisica 1 online resource (xxii, 831 pages) : illustrations
Disciplina 332.0285/5133
Collana Wiley finance
Soggetto topico Finance - Mathematical models
Finance - Data processing
C# (Computer program language)
ISBN 1-118-81857-1
1-299-18856-7
1-118-50281-7
1-118-50283-3
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto C# for Financial Markets; Contents; List of Figures; List of Tables; Introduction; 0.1 What Is This Book?; 0.2 Special Features in This Book; 0.3 Who Is This Book for and What Do You Learn?; 0.4 Structure of This Book; 0.5 C# Source Code; 1 Global Overview of the Book; 1.1 Introduction and Objectives; 1.2 Comparing C# and C++; 1.3 Using This Book; 2 C# Fundamentals; 2.1 Introduction and Objectives; 2.2 Background to C#; 2.3 Value Types, Reference Types and Memory Management; 2.4 Built-in Data Types in C#; 2.5 Character and String Types; 2.6 Operators; 2.7 Console Input and Output
2.8 User-defined Structs2.9 Mini Application: Option Pricing; 2.10 Summary and Conclusions; 2.11 Exercises and Projects; 3 Classes in C#; 3.1 Introduction and Objectives; 3.2 The Structure of a Class: Methods and Data; 3.3 The Keyword 'this'; 3.4 Properties; 3.5 Class Variables and Class Methods; 3.6 Creating and Using Objects in C#; 3.7 Example: European Option Price and Sensitivities; 3.7.1 Supporting Mathematical Functions; 3.7.2 Black-Scholes Formula; 3.7.3 C# Implementation; 3.7.4 Examples and Applications; 3.8 Enumeration Types; 3.9 Extension Methods
3.10 An Introduction to Inheritance in C#3.11 Example: Two-factor Payoff Hierarchies and Interfaces; 3.12 Exception Handling; 3.13 Summary and Conclusions; 3.14 Exercises and Projects; 4 Classes and C# Advanced Features; 4.1 Introduction and Objectives; 4.2 Interfaces; 4.3 Using Interfaces: Vasicek and Cox-Ingersoll-Ross (CIR) Bond and Option Pricing; 4.3.1 Defining Standard Interfaces; 4.3.2 Bond Models and Stochastic Differential Equations; 4.3.3 Option Pricing and the Visitor Pattern; 4.4 Interfaces in .NET and Some Advanced Features; 4.4.1 Copying Objects; 4.4.2 Interfaces and Properties
4.4.3 Comparing Abstract Classes and Interfaces4.4.4 Explicit Interfaces; 4.4.5 Casting an Object to an Interface; 4.5 Combining Interfaces, Inheritance and Composition; 4.5.1 Design Philosophy: Modular Programming; 4.5.2 A Model Problem and Interfacing; 4.5.3 Implementing the Interfaces; 4.5.4 Examples and Testing; 4.6 Introduction to Delegates and Lambda Functions; 4.6.1 Comparing Delegates and Interfaces; 4.7 Lambda Functions and Anonymous Methods; 4.8 Other Features in C#; 4.8.1 Static Constructors; 4.8.2 Finalisers; 4.8.3 Casting; 4.8.4 The var Keyword; 4.9 Advanced .NET Delegates
4.9.1 Provides and Requires Interfaces: Creating Plug-in Methods with Delegates4.9.2 Multicast Delegates; 4.9.3 Generic Delegate Types; 4.9.4 Delegates versus Interfaces, Again; 4.10 The Standard Event Pattern in .NET and the Observer Pattern; 4.11 Summary and Conclusions; 4.12 Exercises and Projects; 5 Data Structures and Collections; 5.1 Introduction and Objectives; 5.2 Arrays; 5.2.1 Rectangular and Jagged Arrays; 5.2.2 Bounds Checking; 5.3 Dates, Times and Time Zones; 5.3.1 Creating and Modifying Dates; 5.3.2 Formatting and Parsing Dates; 5.3.3 Working with Dates
5.4 Enumeration and Iterators
Record Nr. UNINA-9910141502803321
Duffy Daniel J  
Chichester, : John Wiley & Sons, 2013
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
C# for financial markets / / Daniel J. Duffy and Andrea Germani
C# for financial markets / / Daniel J. Duffy and Andrea Germani
Autore Duffy Daniel J
Edizione [1st edition]
Pubbl/distr/stampa Chichester, : John Wiley & Sons, 2013
Descrizione fisica 1 online resource (xxii, 831 pages) : illustrations
Disciplina 332.0285/5133
Collana Wiley finance
Soggetto topico Finance - Mathematical models
Finance - Data processing
C# (Computer program language)
ISBN 1-118-81857-1
1-299-18856-7
1-118-50281-7
1-118-50283-3
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto C# for Financial Markets; Contents; List of Figures; List of Tables; Introduction; 0.1 What Is This Book?; 0.2 Special Features in This Book; 0.3 Who Is This Book for and What Do You Learn?; 0.4 Structure of This Book; 0.5 C# Source Code; 1 Global Overview of the Book; 1.1 Introduction and Objectives; 1.2 Comparing C# and C++; 1.3 Using This Book; 2 C# Fundamentals; 2.1 Introduction and Objectives; 2.2 Background to C#; 2.3 Value Types, Reference Types and Memory Management; 2.4 Built-in Data Types in C#; 2.5 Character and String Types; 2.6 Operators; 2.7 Console Input and Output
2.8 User-defined Structs2.9 Mini Application: Option Pricing; 2.10 Summary and Conclusions; 2.11 Exercises and Projects; 3 Classes in C#; 3.1 Introduction and Objectives; 3.2 The Structure of a Class: Methods and Data; 3.3 The Keyword 'this'; 3.4 Properties; 3.5 Class Variables and Class Methods; 3.6 Creating and Using Objects in C#; 3.7 Example: European Option Price and Sensitivities; 3.7.1 Supporting Mathematical Functions; 3.7.2 Black-Scholes Formula; 3.7.3 C# Implementation; 3.7.4 Examples and Applications; 3.8 Enumeration Types; 3.9 Extension Methods
3.10 An Introduction to Inheritance in C#3.11 Example: Two-factor Payoff Hierarchies and Interfaces; 3.12 Exception Handling; 3.13 Summary and Conclusions; 3.14 Exercises and Projects; 4 Classes and C# Advanced Features; 4.1 Introduction and Objectives; 4.2 Interfaces; 4.3 Using Interfaces: Vasicek and Cox-Ingersoll-Ross (CIR) Bond and Option Pricing; 4.3.1 Defining Standard Interfaces; 4.3.2 Bond Models and Stochastic Differential Equations; 4.3.3 Option Pricing and the Visitor Pattern; 4.4 Interfaces in .NET and Some Advanced Features; 4.4.1 Copying Objects; 4.4.2 Interfaces and Properties
4.4.3 Comparing Abstract Classes and Interfaces4.4.4 Explicit Interfaces; 4.4.5 Casting an Object to an Interface; 4.5 Combining Interfaces, Inheritance and Composition; 4.5.1 Design Philosophy: Modular Programming; 4.5.2 A Model Problem and Interfacing; 4.5.3 Implementing the Interfaces; 4.5.4 Examples and Testing; 4.6 Introduction to Delegates and Lambda Functions; 4.6.1 Comparing Delegates and Interfaces; 4.7 Lambda Functions and Anonymous Methods; 4.8 Other Features in C#; 4.8.1 Static Constructors; 4.8.2 Finalisers; 4.8.3 Casting; 4.8.4 The var Keyword; 4.9 Advanced .NET Delegates
4.9.1 Provides and Requires Interfaces: Creating Plug-in Methods with Delegates4.9.2 Multicast Delegates; 4.9.3 Generic Delegate Types; 4.9.4 Delegates versus Interfaces, Again; 4.10 The Standard Event Pattern in .NET and the Observer Pattern; 4.11 Summary and Conclusions; 4.12 Exercises and Projects; 5 Data Structures and Collections; 5.1 Introduction and Objectives; 5.2 Arrays; 5.2.1 Rectangular and Jagged Arrays; 5.2.2 Bounds Checking; 5.3 Dates, Times and Time Zones; 5.3.1 Creating and Modifying Dates; 5.3.2 Formatting and Parsing Dates; 5.3.3 Working with Dates
5.4 Enumeration and Iterators
Record Nr. UNINA-9910817063103321
Duffy Daniel J  
Chichester, : John Wiley & Sons, 2013
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Financial modelling in Python [[electronic resource] /] / S. Fletcher & C. Gardner
Financial modelling in Python [[electronic resource] /] / S. Fletcher & C. Gardner
Autore Fletcher S (Shayne)
Edizione [1st edition]
Pubbl/distr/stampa Chichester, : Wiley, 2009
Descrizione fisica 1 online resource (246 p.)
Disciplina 332.0285/5133
332.02855133
Altri autori (Persone) GardnerChristopher
Collana Wiley finance series
Soggetto topico Finance - Mathematical models - Computer programs
Python (Computer program language)
Soggetto genere / forma Electronic books.
ISBN 0-470-68500-X
1-282-88892-7
9786612888922
0-470-74789-7
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Financial Modelling in Python; Contents; 1 Welcome to Python; 1.1 Why Python?; 1.1.1 Python is a general-purpose high-level programming language; 1.1.2 Python integrates well with data analysis, visualisation and GUI toolkits; 1.1.3 Python 'plays well with others'; 1.2 Common misconceptions about Python; 1.3 Roadmap for this book; 2 The PPF Package; 2.1 PPF topology; 2.2 Unit testing; 2.2.1 doctest; 2.2.2 PyUnit; 2.3 Building and installing PPF; 2.3.1 Prerequisites and dependencies; 2.3.2 Building the C++ extension modules; 2.3.3 Installing the PPF package; 2.3.4 Testing a PPF installation
3 Extending Python from C++3.1 Boost.Date Time types; 3.1.1 Examples; 3.2 Boost.MultiArray and special functions; 3.3 NumPy arrays; 3.3.1 Accessing array data in C++; 3.3.2 Examples; 4 Basic Mathematical Tools; 4.1 Random number generation; 4.2 N(.); 4.3 Interpolation; 4.3.1 Linear interpolation; 4.3.2 Loglinear interpolation; 4.3.3 Linear on zero interpolation; 4.3.4 Cubic spline interpolation; 4.4 Root finding; 4.4.1 Bisection method; 4.4.2 Newton-Raphson method; 4.5 Linear algebra; 4.5.1 Matrix multiplication; 4.5.2 Matrix inversion; 4.5.3 Matrix pseudo-inverse
4.5.4 Solving linear systems4.5.5 Solving tridiagonal systems; 4.5.6 Solving upper diagonal systems; 4.5.7 Singular value decomposition; 4.6 Generalised linear least squares; 4.7 Quadratic and cubic roots; 4.8 Integration; 4.8.1 Piecewise constant polynomial fitting; 4.8.2 Piecewise polynomial integration; 4.8.3 Semi-analytic conditional expectations; 5 Market: Curves and Surfaces; 5.1 Curves; 5.2 Surfaces; 5.3 Environment; 6 Data Model; 6.1 Observables; 6.1.1 LIBOR; 6.1.2 Swap rate; 6.2 Flows; 6.3 Adjuvants; 6.4 Legs; 6.5 Exercises; 6.6 Trades; 6.7 Trade utilities
7 Timeline: Events and Controller7.1 Events; 7.2 Timeline; 7.3 Controller; 8 The Hull-White Model; 8.1 A component-based design; 8.1.1 Requestor; 8.1.2 State; 8.1.3 Filler; 8.1.4 Rollback; 8.1.5 Evolve; 8.1.6 Exercise; 8.2 The model and model factories; 8.3 Concluding remarks; 9 Pricing using Numerical Methods; 9.1 A lattice pricing framework; 9.2 A Monte-Carlo pricing framework; 9.2.1 Pricing non-callable trades; 9.2.2 Pricing callable trades; 9.3 Concluding remarks; 10 Pricing Financial Structures in Hull-White; 10.1 Pricing a Bermudan; 10.2 Pricing a TARN; 10.3 Concluding remarks
11 Hybrid Python/C++ Pricing Systems11.1 nth imm of year revisited; 11.2 Exercising nth imm of year from C++; 12 Python Excel Integration; 12.1 Black-scholes COM server; 12.1.1 VBS client; 12.1.2 VBA client; 12.2 Numerical pricing with PPF in Excel; 12.2.1 Common utilities; 12.2.2 Market server; 12.2.3 Trade server; 12.2.4 Pricer server; Appendices; A Python; A.1 Python interpreter modes; A.1.1 Interactive mode; A.1.2 Batch mode; A.2 Basic Python; A.2.1 Simple expressions; A.2.2 Built-in data types; A.2.3 Control flow statements; A.2.4 Functions; A.2.5 Classes; A.2.6 Modules and packages
A.3 Conclusion
Record Nr. UNINA-9910140162903321
Fletcher S (Shayne)  
Chichester, : Wiley, 2009
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Financial modelling in Python [[electronic resource] /] / S. Fletcher & C. Gardner
Financial modelling in Python [[electronic resource] /] / S. Fletcher & C. Gardner
Autore Fletcher S (Shayne)
Edizione [1st edition]
Pubbl/distr/stampa Chichester, : Wiley, 2009
Descrizione fisica 1 online resource (246 p.)
Disciplina 332.0285/5133
332.02855133
Altri autori (Persone) GardnerChristopher
Collana Wiley finance series
Soggetto topico Finance - Mathematical models - Computer programs
Python (Computer program language)
ISBN 0-470-68500-X
1-282-88892-7
9786612888922
0-470-74789-7
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Financial Modelling in Python; Contents; 1 Welcome to Python; 1.1 Why Python?; 1.1.1 Python is a general-purpose high-level programming language; 1.1.2 Python integrates well with data analysis, visualisation and GUI toolkits; 1.1.3 Python 'plays well with others'; 1.2 Common misconceptions about Python; 1.3 Roadmap for this book; 2 The PPF Package; 2.1 PPF topology; 2.2 Unit testing; 2.2.1 doctest; 2.2.2 PyUnit; 2.3 Building and installing PPF; 2.3.1 Prerequisites and dependencies; 2.3.2 Building the C++ extension modules; 2.3.3 Installing the PPF package; 2.3.4 Testing a PPF installation
3 Extending Python from C++3.1 Boost.Date Time types; 3.1.1 Examples; 3.2 Boost.MultiArray and special functions; 3.3 NumPy arrays; 3.3.1 Accessing array data in C++; 3.3.2 Examples; 4 Basic Mathematical Tools; 4.1 Random number generation; 4.2 N(.); 4.3 Interpolation; 4.3.1 Linear interpolation; 4.3.2 Loglinear interpolation; 4.3.3 Linear on zero interpolation; 4.3.4 Cubic spline interpolation; 4.4 Root finding; 4.4.1 Bisection method; 4.4.2 Newton-Raphson method; 4.5 Linear algebra; 4.5.1 Matrix multiplication; 4.5.2 Matrix inversion; 4.5.3 Matrix pseudo-inverse
4.5.4 Solving linear systems4.5.5 Solving tridiagonal systems; 4.5.6 Solving upper diagonal systems; 4.5.7 Singular value decomposition; 4.6 Generalised linear least squares; 4.7 Quadratic and cubic roots; 4.8 Integration; 4.8.1 Piecewise constant polynomial fitting; 4.8.2 Piecewise polynomial integration; 4.8.3 Semi-analytic conditional expectations; 5 Market: Curves and Surfaces; 5.1 Curves; 5.2 Surfaces; 5.3 Environment; 6 Data Model; 6.1 Observables; 6.1.1 LIBOR; 6.1.2 Swap rate; 6.2 Flows; 6.3 Adjuvants; 6.4 Legs; 6.5 Exercises; 6.6 Trades; 6.7 Trade utilities
7 Timeline: Events and Controller7.1 Events; 7.2 Timeline; 7.3 Controller; 8 The Hull-White Model; 8.1 A component-based design; 8.1.1 Requestor; 8.1.2 State; 8.1.3 Filler; 8.1.4 Rollback; 8.1.5 Evolve; 8.1.6 Exercise; 8.2 The model and model factories; 8.3 Concluding remarks; 9 Pricing using Numerical Methods; 9.1 A lattice pricing framework; 9.2 A Monte-Carlo pricing framework; 9.2.1 Pricing non-callable trades; 9.2.2 Pricing callable trades; 9.3 Concluding remarks; 10 Pricing Financial Structures in Hull-White; 10.1 Pricing a Bermudan; 10.2 Pricing a TARN; 10.3 Concluding remarks
11 Hybrid Python/C++ Pricing Systems11.1 nth imm of year revisited; 11.2 Exercising nth imm of year from C++; 12 Python Excel Integration; 12.1 Black-scholes COM server; 12.1.1 VBS client; 12.1.2 VBA client; 12.2 Numerical pricing with PPF in Excel; 12.2.1 Common utilities; 12.2.2 Market server; 12.2.3 Trade server; 12.2.4 Pricer server; Appendices; A Python; A.1 Python interpreter modes; A.1.1 Interactive mode; A.1.2 Batch mode; A.2 Basic Python; A.2.1 Simple expressions; A.2.2 Built-in data types; A.2.3 Control flow statements; A.2.4 Functions; A.2.5 Classes; A.2.6 Modules and packages
A.3 Conclusion
Record Nr. UNINA-9910831174303321
Fletcher S (Shayne)  
Chichester, : Wiley, 2009
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Financial modelling in Python / / S. Fletcher & C. Gardner
Financial modelling in Python / / S. Fletcher & C. Gardner
Autore Fletcher S (Shayne)
Edizione [1st edition]
Pubbl/distr/stampa Chichester, : Wiley, 2009
Descrizione fisica 1 online resource (246 p.)
Disciplina 332.0285/5133
Altri autori (Persone) GardnerChristopher
Collana Wiley finance series
Soggetto topico Finance - Mathematical models - Computer programs
Python (Computer program language)
ISBN 0-470-68500-X
1-282-88892-7
9786612888922
0-470-74789-7
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Financial Modelling in Python; Contents; 1 Welcome to Python; 1.1 Why Python?; 1.1.1 Python is a general-purpose high-level programming language; 1.1.2 Python integrates well with data analysis, visualisation and GUI toolkits; 1.1.3 Python 'plays well with others'; 1.2 Common misconceptions about Python; 1.3 Roadmap for this book; 2 The PPF Package; 2.1 PPF topology; 2.2 Unit testing; 2.2.1 doctest; 2.2.2 PyUnit; 2.3 Building and installing PPF; 2.3.1 Prerequisites and dependencies; 2.3.2 Building the C++ extension modules; 2.3.3 Installing the PPF package; 2.3.4 Testing a PPF installation
3 Extending Python from C++3.1 Boost.Date Time types; 3.1.1 Examples; 3.2 Boost.MultiArray and special functions; 3.3 NumPy arrays; 3.3.1 Accessing array data in C++; 3.3.2 Examples; 4 Basic Mathematical Tools; 4.1 Random number generation; 4.2 N(.); 4.3 Interpolation; 4.3.1 Linear interpolation; 4.3.2 Loglinear interpolation; 4.3.3 Linear on zero interpolation; 4.3.4 Cubic spline interpolation; 4.4 Root finding; 4.4.1 Bisection method; 4.4.2 Newton-Raphson method; 4.5 Linear algebra; 4.5.1 Matrix multiplication; 4.5.2 Matrix inversion; 4.5.3 Matrix pseudo-inverse
4.5.4 Solving linear systems4.5.5 Solving tridiagonal systems; 4.5.6 Solving upper diagonal systems; 4.5.7 Singular value decomposition; 4.6 Generalised linear least squares; 4.7 Quadratic and cubic roots; 4.8 Integration; 4.8.1 Piecewise constant polynomial fitting; 4.8.2 Piecewise polynomial integration; 4.8.3 Semi-analytic conditional expectations; 5 Market: Curves and Surfaces; 5.1 Curves; 5.2 Surfaces; 5.3 Environment; 6 Data Model; 6.1 Observables; 6.1.1 LIBOR; 6.1.2 Swap rate; 6.2 Flows; 6.3 Adjuvants; 6.4 Legs; 6.5 Exercises; 6.6 Trades; 6.7 Trade utilities
7 Timeline: Events and Controller7.1 Events; 7.2 Timeline; 7.3 Controller; 8 The Hull-White Model; 8.1 A component-based design; 8.1.1 Requestor; 8.1.2 State; 8.1.3 Filler; 8.1.4 Rollback; 8.1.5 Evolve; 8.1.6 Exercise; 8.2 The model and model factories; 8.3 Concluding remarks; 9 Pricing using Numerical Methods; 9.1 A lattice pricing framework; 9.2 A Monte-Carlo pricing framework; 9.2.1 Pricing non-callable trades; 9.2.2 Pricing callable trades; 9.3 Concluding remarks; 10 Pricing Financial Structures in Hull-White; 10.1 Pricing a Bermudan; 10.2 Pricing a TARN; 10.3 Concluding remarks
11 Hybrid Python/C++ Pricing Systems11.1 nth imm of year revisited; 11.2 Exercising nth imm of year from C++; 12 Python Excel Integration; 12.1 Black-scholes COM server; 12.1.1 VBS client; 12.1.2 VBA client; 12.2 Numerical pricing with PPF in Excel; 12.2.1 Common utilities; 12.2.2 Market server; 12.2.3 Trade server; 12.2.4 Pricer server; Appendices; A Python; A.1 Python interpreter modes; A.1.1 Interactive mode; A.1.2 Batch mode; A.2 Basic Python; A.2.1 Simple expressions; A.2.2 Built-in data types; A.2.3 Control flow statements; A.2.4 Functions; A.2.5 Classes; A.2.6 Modules and packages
A.3 Conclusion
Record Nr. UNINA-9910876599003321
Fletcher S (Shayne)  
Chichester, : Wiley, 2009
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Financial risk modelling and portfolio optimization with R / / Bernhard Pfaff
Financial risk modelling and portfolio optimization with R / / Bernhard Pfaff
Autore Pfaff Bernhard
Edizione [Second edition.]
Pubbl/distr/stampa Chichester, [England] : , : Wiley, , 2016
Descrizione fisica 1 online resource (497 p.)
Disciplina 332.0285/5133
Collana THEi Wiley ebooks
Soggetto topico Financial risk - Mathematical models
Portfolio management
R (Computer program language)
ISBN 1-119-11967-7
1-119-11968-5
1-119-11969-3
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Title Page; Copyright; Table of Contents; Preface to the Second Edition; Preface; Abbreviations; About the Companion Website; Part I: Motivation; Chapter 1: Introduction; Reference; Chapter 2: A brief course in R; 2.1 Origin and development; 2.2 Getting help; 2.3 Working with R; 2.4 Classes, methods, and functions; 2.5 The accompanying package FRAPO; References; Chapter 3: Financial market data; 3.1 Stylized facts of financial market returns; 3.2 Implications for risk models; References; Chapter 4: Measuring risks; 4.1 Introduction; 4.2 Synopsis of risk measures; 4.3 Portfolio risk concepts
ReferencesChapter 5: Modern portfolio theory; 5.1 Introduction; 5.2 Markowitz portfolios; 5.3 Empirical mean-variance portfolios; References; Part II: Risk modelling; Chapter 6: Suitable distributions for returns; 6.1 Preliminaries; 6.2 The generalized hyperbolic distribution; 6.3 The generalized lambda distribution; 6.4 Synopsis of R packages for GHD; 6.5 Synopsis of R packages for GLD; 6.6 Applications of the GHD to risk modelling; 6.7 Applications of the GLD to risk modelling and data analysis; References; Chapter 7: Extreme value theory; 7.1 Preliminaries
7.2 Extreme value methods and models7.3 Synopsis of R packages; 7.4 Empirical applications of EVT; References; Chapter 8: Modelling volatility; 8.1 Preliminaries; 8.2 The class of ARCH models; 8.3 Synopsis of R packages; 8.4 Empirical application of volatility models; References; Chapter 9: Modelling dependence; 9.1 Overview; 9.2 Correlation, dependence, and distributions; 9.3 Copulae; 9.4 Synopsis of R packages; 9.5 Empirical applications of copulae; References; Part III: Portfolio optimization approaches; Chapter 10: Robust portfolio optimization; 10.1 Overview; 10.2 Robust statistics
10.3 Robust optimization10.4 Synopsis of R packages; 10.5 Empirical applications; References; Chapter 11: Diversification reconsidered; 11.1 Introduction; 11.2 Most-diversified portfolio; 11.3 Risk contribution constrained portfolios; 11.4 Optimal tail-dependent portfolios; 11.5 Synopsis of R packages; 11.6 Empirical applications; References; Chapter 12: Risk-optimal portfolios; 12.1 Overview; 12.2 Mean-VaR portfolios; 12.3 Optimal CVaR portfolios; 12.4 Optimal draw-down portfolios; 12.5 Synopsis of R packages; 12.6 Empirical applications; References; Chapter 13: Tactical asset allocation
13.1 Overview13.2 Survey of selected time series models; 13.3 The Black-Litterman approach; 13.4 Copula opinion and entropy pooling; 13.5 Synopsis of R packages; References; Chapter 14: Probabilistic utility; 14.1 Overview; 14.2 The concept of probabilistic utility; 14.3 Markov chain Monte Carlo; 14.4 Synopsis of R packages; 14.5 Empirical application; References; Appendix A: Package overview; A.1 Packages in alphabetical order; A.2 Packages ordered by topic; References; Appendix B: Time series data; B.1 Date/time classes; B.2 The ts class in the base package stats
B.3 Irregularly spaced time series
Record Nr. UNINA-9910135020703321
Pfaff Bernhard  
Chichester, [England] : , : Wiley, , 2016
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Financial risk modelling and portfolio optimization with R / / Bernhard Pfaff
Financial risk modelling and portfolio optimization with R / / Bernhard Pfaff
Autore Pfaff Bernhard
Edizione [Second edition.]
Pubbl/distr/stampa Chichester, [England] : , : Wiley, , 2016
Descrizione fisica 1 online resource (497 p.)
Disciplina 332.0285/5133
Collana THEi Wiley ebooks
Soggetto topico Financial risk - Mathematical models
Portfolio management
R (Computer program language)
ISBN 1-119-11967-7
1-119-11968-5
1-119-11969-3
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Title Page; Copyright; Table of Contents; Preface to the Second Edition; Preface; Abbreviations; About the Companion Website; Part I: Motivation; Chapter 1: Introduction; Reference; Chapter 2: A brief course in R; 2.1 Origin and development; 2.2 Getting help; 2.3 Working with R; 2.4 Classes, methods, and functions; 2.5 The accompanying package FRAPO; References; Chapter 3: Financial market data; 3.1 Stylized facts of financial market returns; 3.2 Implications for risk models; References; Chapter 4: Measuring risks; 4.1 Introduction; 4.2 Synopsis of risk measures; 4.3 Portfolio risk concepts
ReferencesChapter 5: Modern portfolio theory; 5.1 Introduction; 5.2 Markowitz portfolios; 5.3 Empirical mean-variance portfolios; References; Part II: Risk modelling; Chapter 6: Suitable distributions for returns; 6.1 Preliminaries; 6.2 The generalized hyperbolic distribution; 6.3 The generalized lambda distribution; 6.4 Synopsis of R packages for GHD; 6.5 Synopsis of R packages for GLD; 6.6 Applications of the GHD to risk modelling; 6.7 Applications of the GLD to risk modelling and data analysis; References; Chapter 7: Extreme value theory; 7.1 Preliminaries
7.2 Extreme value methods and models7.3 Synopsis of R packages; 7.4 Empirical applications of EVT; References; Chapter 8: Modelling volatility; 8.1 Preliminaries; 8.2 The class of ARCH models; 8.3 Synopsis of R packages; 8.4 Empirical application of volatility models; References; Chapter 9: Modelling dependence; 9.1 Overview; 9.2 Correlation, dependence, and distributions; 9.3 Copulae; 9.4 Synopsis of R packages; 9.5 Empirical applications of copulae; References; Part III: Portfolio optimization approaches; Chapter 10: Robust portfolio optimization; 10.1 Overview; 10.2 Robust statistics
10.3 Robust optimization10.4 Synopsis of R packages; 10.5 Empirical applications; References; Chapter 11: Diversification reconsidered; 11.1 Introduction; 11.2 Most-diversified portfolio; 11.3 Risk contribution constrained portfolios; 11.4 Optimal tail-dependent portfolios; 11.5 Synopsis of R packages; 11.6 Empirical applications; References; Chapter 12: Risk-optimal portfolios; 12.1 Overview; 12.2 Mean-VaR portfolios; 12.3 Optimal CVaR portfolios; 12.4 Optimal draw-down portfolios; 12.5 Synopsis of R packages; 12.6 Empirical applications; References; Chapter 13: Tactical asset allocation
13.1 Overview13.2 Survey of selected time series models; 13.3 The Black-Litterman approach; 13.4 Copula opinion and entropy pooling; 13.5 Synopsis of R packages; References; Chapter 14: Probabilistic utility; 14.1 Overview; 14.2 The concept of probabilistic utility; 14.3 Markov chain Monte Carlo; 14.4 Synopsis of R packages; 14.5 Empirical application; References; Appendix A: Package overview; A.1 Packages in alphabetical order; A.2 Packages ordered by topic; References; Appendix B: Time series data; B.1 Date/time classes; B.2 The ts class in the base package stats
B.3 Irregularly spaced time series
Record Nr. UNINA-9910811486003321
Pfaff Bernhard  
Chichester, [England] : , : Wiley, , 2016
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
How to implement market models using VBA / / Francois Goossens
How to implement market models using VBA / / Francois Goossens
Autore Goossens Francois <1960->
Pubbl/distr/stampa West Sussex : , : John Wiley & Sons, Inc., , 2015
Descrizione fisica 1 online resource (312 p.)
Disciplina 332.0285/5133
Collana Wiley finance series
Soggetto topico Finance - Mathematical models - Computer programs
Visual Basic for Applications (Computer program language)
ISBN 1-119-06583-6
1-118-96198-6
Classificazione BUS027000
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto ""Cover ""; ""Title Page ""; ""Copyright""; ""Contents ""; ""Preface ""; ""Acknowledgements ""; ""Abbreviations ""; ""About the Author ""; ""Chapter 1 The Basics of VBA Programming ""; ""1.1 Getting started ""; ""1.2 VBA objects and syntax ""; ""1.2.1 The object-oriented basic syntax ""
""1.2.2 Using objects """"1.3 Variables ""; ""1.3.1 Variable declaration ""; ""1.3.2 Some usual objects ""; ""1.3.3 Arrays ""; ""1.4 Arithmetic ""; ""1.5 Subroutines and functions ""; ""1.5.1 Subroutines ""; ""1.5.2 Functions ""; ""1.5.3 Operations on one-dimensional arrays ""
""1.5.4 Operations on two-dimensional arrays (matrices) """"1.5.5 Operations with dates ""; ""1.6 Custom objects ""; ""1.6.1 Types ""; ""1.6.2 Classes ""; ""1.7 Debugging ""; ""1.7.1 Error handling ""; ""1.7.2 Tracking the code execution ""; ""Chapter 2 Mathematical Algorithms ""
""2.1 Introduction """"2.2 Sorting lists ""; ""2.2.1 Shell sort ""; ""2.2.2 Quick sort ""; ""2.3 Implicit equations ""; ""2.4 Search for extrema ""; ""2.4.1 The Nelder-Mead algorithm ""; ""2.4.2 The simulated annealing ""; ""2.5 Linear algebra ""; ""2.5.1 Matrix inversion ""
""2.5.2 Cholesky decomposition """"2.5.3 Interpolation ""; ""2.5.4 Integration ""; ""2.5.5 Principal Component Analysis ""; ""Chapter 3 Vanilla Instruments ""; ""3.1 Definitions ""; ""3.2 Fixed income ""; ""3.2.1 Bond market ""; ""3.2.2 Interbank market ""; ""3.3 Vanilla derivatives ""
""3.3.1 Forward contracts ""
Record Nr. UNINA-9910132284803321
Goossens Francois <1960->  
West Sussex : , : John Wiley & Sons, Inc., , 2015
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
How to implement market models using VBA / / Francois Goossens
How to implement market models using VBA / / Francois Goossens
Autore Goossens Francois <1960->
Pubbl/distr/stampa West Sussex : , : John Wiley & Sons, Inc., , 2015
Descrizione fisica 1 online resource (312 p.)
Disciplina 332.0285/5133
Collana Wiley finance series
Soggetto topico Finance - Mathematical models - Computer programs
Visual Basic for Applications (Computer program language)
ISBN 1-119-06583-6
1-118-96198-6
Classificazione BUS027000
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto ""Cover ""; ""Title Page ""; ""Copyright""; ""Contents ""; ""Preface ""; ""Acknowledgements ""; ""Abbreviations ""; ""About the Author ""; ""Chapter 1 The Basics of VBA Programming ""; ""1.1 Getting started ""; ""1.2 VBA objects and syntax ""; ""1.2.1 The object-oriented basic syntax ""
""1.2.2 Using objects """"1.3 Variables ""; ""1.3.1 Variable declaration ""; ""1.3.2 Some usual objects ""; ""1.3.3 Arrays ""; ""1.4 Arithmetic ""; ""1.5 Subroutines and functions ""; ""1.5.1 Subroutines ""; ""1.5.2 Functions ""; ""1.5.3 Operations on one-dimensional arrays ""
""1.5.4 Operations on two-dimensional arrays (matrices) """"1.5.5 Operations with dates ""; ""1.6 Custom objects ""; ""1.6.1 Types ""; ""1.6.2 Classes ""; ""1.7 Debugging ""; ""1.7.1 Error handling ""; ""1.7.2 Tracking the code execution ""; ""Chapter 2 Mathematical Algorithms ""
""2.1 Introduction """"2.2 Sorting lists ""; ""2.2.1 Shell sort ""; ""2.2.2 Quick sort ""; ""2.3 Implicit equations ""; ""2.4 Search for extrema ""; ""2.4.1 The Nelder-Mead algorithm ""; ""2.4.2 The simulated annealing ""; ""2.5 Linear algebra ""; ""2.5.1 Matrix inversion ""
""2.5.2 Cholesky decomposition """"2.5.3 Interpolation ""; ""2.5.4 Integration ""; ""2.5.5 Principal Component Analysis ""; ""Chapter 3 Vanilla Instruments ""; ""3.1 Definitions ""; ""3.2 Fixed income ""; ""3.2.1 Bond market ""; ""3.2.2 Interbank market ""; ""3.3 Vanilla derivatives ""
""3.3.1 Forward contracts ""
Record Nr. UNINA-9910807254203321
Goossens Francois <1960->  
West Sussex : , : John Wiley & Sons, Inc., , 2015
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Intermediate structured finance modeling : everaging excel, VBA, access, and powerpoint / / William Preinitz with Matthew Niedermaier
Intermediate structured finance modeling : everaging excel, VBA, access, and powerpoint / / William Preinitz with Matthew Niedermaier
Autore Preinitz William <1950->
Pubbl/distr/stampa Hoboken, New Jersey : , : John Wiley & Sons, Inc., , 2011
Descrizione fisica 1 online resource (1984 p.)
Disciplina 332.015195
332.0285/5133
Collana Wiley Finance
Soggetto topico Finance - Computer simulation
Finance - Mathematical models
ISBN 1-119-19984-0
0-470-92875-1
0-470-92878-6
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Cover; Series; Title Page; Copyright; Dedication; Preface; GOALS OF THE BOOK; WHAT YOU SHOULD KNOW; SETTING THE CONTEXT FOR LEARNING; THE STRUCTURE OF THE BOOK; A FISH STORY; A PERSPECTIVE ON MODELING; APPROACHING THIS MATERIAL; STYLE; A PARTING REMARK; On the Web Site; OVERVIEW; Acknowledgments; Part One: First Steps; Chapter 1: Introduction; OVERVIEW; WHY WAS THIS BOOK WRITTEN?; WHO IS THE TARGET AUDIENCE?; WHAT IS THE PURPOSE OF THE BOOK?; EXPANDING YOUR SOFTWARE SKILLS; EXPANDING YOUR MODEL DESIGN SKILLS; EXPANDING YOUR FINANCE KNOWLEDGE; ORGANIZED TO TEACH; CHAPTER ORGANIZATION
ACCOMPANYING WEB SITELEARNING THE "HARD" WAY; NOTE; Chapter 2: The Existing Model; OVERVIEW; DELIVERABLES; UNDER CONSTRUCTION; CRISIS DU JOUR; OVERVIEW OF THE CURRENT MODEL; CURRENT MODEL ENVIRONMENT; ON THE WEB SITE; Chapter 3: Conventions and Advice; OVERVIEW; DELIVERABLES; VBA CONVENTIONS; COMMON SENSE; ON THE WEB SITE; Chapter 4: Segregation of the Existing Model's Functionality; OVERVIEW; DELIVERABLES; UNDER CONSTRUCTION; DELIVERABLES CHECKLIST; BREAKING UP IS HARD TO DO; ACCOMMODATING OUR DESIGN NEEDS; ADVANTAGES OF FUNCTIONAL SEGREGATION; DISADVANTAGES OF FUNCTIONAL SEGREGATION
ON THE WEB SITEChapter 5: Creating the Base Asset Model; OVERVIEW; DELIVERABLES; UNDER CONSTRUCTION; THE BIG PICTURE: "JUST THE ASSETS, MA'AM"; STEPPING THROUGH THE MODEL; TESTING THE COMPLETED BASE ASSET MODEL; ON THE WEB SITE; Chapter 6: Building the Base Liabilities Model; OVERVIEW; DELIVERABLES; UNDER CONSTRUCTION; LIABILITIES SIDE OF THE MODEL; WHAT TO LEAVE IN; STEPPING THROUGH THE MODEL; READING THE CASH FLOWS AND ASSUMPTIONS FROM A FILE; TESTING THE COMPLETED BASE LIABILITIES MODEL; ON THE WEB SITE; Chapter 7: Establishing the Model Environment; OVERVIEW; DELIVERABLES
UNDER CONSTRUCTIONIMPORTANCE OF A STANDARDIZED DIRECTORY STRUCTURE; CREATING DIRECTORIES AND DEFINING THEIR FUNCTIONS; OPERATING DIRECTORIES; ADMINISTRATIVE DIRECTORIES; CREATING NEW DIRECTORIES FOR THE MODEL AS WE NEED THEM; ON THE WEB SITE; Part Two: Building the New Assets Model; Chapter 8: Designing the New Collateral Cash Flow Generator; OVERVIEW; DELIVERABLES; UNDER CONSTRUCTION; IMPROVING THE CCFG MENUS: CONVERSION TO USERFORMS; IMPROVING THE CCFG DATA-HANDLING CAPABILITIES; IMPROVING THE CCFG COLLATERAL SELECTION PROCESS; IMPROVING THE CCFG CASH FLOW GENERATION PROCESS
IMPROVING THE CCFG REPORT GENERATION PROCESSIMPROVING THE CCFG MESSAGING PROCESS; ON THE WEB SITE; Chapter 9: Writing the CCFG Menus and Data Sheets; OVERVIEW; DELIVERABLES; UNDER CONSTRUCTION; MENUS AND USERFORMS; MENUS OF THE CCFG; MAIN MENU; RUN OPTIONS MENU; COLLATERAL POOL MENU; COLLATERAL GEOGRAPHIC SELECTION CRITERIA MENU; FINANCIAL SELECTION CRITERIA MENU; CASH FLOW AMORTIZATION PARAMETERS MENU; COLLATERAL REPORTS MENU; ON THE WEB SITE; Chapter 10: Writing the Collateral Data Handling Code; OVERVIEW; DELIVERABLES; UNDER CONSTRUCTION; MANAGING MULTIPLE PORTFOLIO FILES
INITIAL DATA SCREENING
Record Nr. UNINA-9910141138203321
Preinitz William <1950->  
Hoboken, New Jersey : , : John Wiley & Sons, Inc., , 2011
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui