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Financial engineering and computation : principles, mathematics, algorithms / / Yuh-Dauh Lyuu [[electronic resource]]
| Financial engineering and computation : principles, mathematics, algorithms / / Yuh-Dauh Lyuu [[electronic resource]] |
| Autore | Lyuu Yuh-Dauh |
| Pubbl/distr/stampa | Cambridge : , : Cambridge University Press, , 2002 |
| Descrizione fisica | 1 online resource (xix, 627 pages) : digital, PDF file(s) |
| Disciplina | 332.6/01/51 |
| Soggetto topico |
Financial engineering
Investments - Mathematical models Derivative securities - Mathematical models |
| ISBN |
1-139-93089-3
1-107-12041-1 1-280-42980-1 0-511-17591-4 0-511-04094-6 0-511-15660-X 0-511-32262-3 0-511-54683-1 0-511-04606-5 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Cover; Half-title; Title; Copyright; Dedication; Contents; Preface; Useful Abbreviations; CHAPTER ONE Introduction; CHAPTER TWO Analysis of Algorithms; CHAPTER THREE Basic Financial Mathematics; CHAPTER FOUR Bond Price Volatility; CHAPTER FIVE Term Structure of Interest Rates; CHAPTER SIX Fundamental Statistical Concepts; CHAPTER SEVEN Option Basics; CHAPTER EIGHT Arbitrage in Option Pricing; CHAPTER NINE Option Pricing Models; CHAPTER TEN Sensitivity Analysis of Options; CHAPTER ELEVEN Extensions of Options Theory; CHAPTER TWELVE Forwards, Futures, Futures Options, Swaps
CHAPTER THIRTEEN Stochastic Processes and Brownian Motion CHAPTER FOURTEEN Continuous-Time Financial Mathematics; CHAPTER FIFTEEN Continuous-Time Derivatives Pricing; CHAPTER SIXTEEN Hedging; CHAPTER SEVENTEEN Trees; CHAPTER EIGHTEEN Numerical Methods; CHAPTER NINETEEN Matrix Computation; CHAPTER TWENTY Time Series Analysis; CHAPTER TWENTY-ONE Interest Rate Derivative Securities; CHAPTER TWENTY-TWO Term Structure Fitting; CHAPTER TWENTY-THREE Introduction to Term Structure Modeling; CHAPTER TWENTY-FOUR Foundations of Term Structure Modeling CHAPTER TWENTY-FIVE Equilibrium Term Structure Models CHAPTER TWENTY-SIX No-Arbitrage Term Structure Models; CHAPTER TWENTY-SEVEN Fixed-Income Securities; CHAPTER TWENTY-EIGHT Introduction to Mortgage-Backed Securities; CHAPTER TWENTY-NINE Analysis of Mortgage-Backed Securities; CHAPTER THIRTY Collateralized Mortgage Obligations; CHAPTER THIRTY-ONE Modern Portfolio Theory; CHAPTER THIRTY-TWO Software; CHAPTER THIRTY-THREE Answers to Selected Exercises; Bibliography; Glossary of Useful Notations; Index |
| Altri titoli varianti | Financial Engineering & Computation |
| Record Nr. | UNINA-9910449889103321 |
Lyuu Yuh-Dauh
|
||
| Cambridge : , : Cambridge University Press, , 2002 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Financial engineering and computation : principles, mathematics, algorithms / / Yuh-Dauh Lyuu [[electronic resource]]
| Financial engineering and computation : principles, mathematics, algorithms / / Yuh-Dauh Lyuu [[electronic resource]] |
| Autore | Lyuu Yuh-Dauh |
| Pubbl/distr/stampa | Cambridge : , : Cambridge University Press, , 2002 |
| Descrizione fisica | 1 online resource (xix, 627 pages) : digital, PDF file(s) |
| Disciplina | 332.6/01/51 |
| Soggetto topico |
Financial engineering
Investments - Mathematical models Derivative securities - Mathematical models |
| ISBN |
1-139-93089-3
1-107-12041-1 1-280-42980-1 0-511-17591-4 0-511-04094-6 0-511-15660-X 0-511-32262-3 0-511-54683-1 0-511-04606-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Cover; Half-title; Title; Copyright; Dedication; Contents; Preface; Useful Abbreviations; CHAPTER ONE Introduction; CHAPTER TWO Analysis of Algorithms; CHAPTER THREE Basic Financial Mathematics; CHAPTER FOUR Bond Price Volatility; CHAPTER FIVE Term Structure of Interest Rates; CHAPTER SIX Fundamental Statistical Concepts; CHAPTER SEVEN Option Basics; CHAPTER EIGHT Arbitrage in Option Pricing; CHAPTER NINE Option Pricing Models; CHAPTER TEN Sensitivity Analysis of Options; CHAPTER ELEVEN Extensions of Options Theory; CHAPTER TWELVE Forwards, Futures, Futures Options, Swaps
CHAPTER THIRTEEN Stochastic Processes and Brownian Motion CHAPTER FOURTEEN Continuous-Time Financial Mathematics; CHAPTER FIFTEEN Continuous-Time Derivatives Pricing; CHAPTER SIXTEEN Hedging; CHAPTER SEVENTEEN Trees; CHAPTER EIGHTEEN Numerical Methods; CHAPTER NINETEEN Matrix Computation; CHAPTER TWENTY Time Series Analysis; CHAPTER TWENTY-ONE Interest Rate Derivative Securities; CHAPTER TWENTY-TWO Term Structure Fitting; CHAPTER TWENTY-THREE Introduction to Term Structure Modeling; CHAPTER TWENTY-FOUR Foundations of Term Structure Modeling CHAPTER TWENTY-FIVE Equilibrium Term Structure Models CHAPTER TWENTY-SIX No-Arbitrage Term Structure Models; CHAPTER TWENTY-SEVEN Fixed-Income Securities; CHAPTER TWENTY-EIGHT Introduction to Mortgage-Backed Securities; CHAPTER TWENTY-NINE Analysis of Mortgage-Backed Securities; CHAPTER THIRTY Collateralized Mortgage Obligations; CHAPTER THIRTY-ONE Modern Portfolio Theory; CHAPTER THIRTY-TWO Software; CHAPTER THIRTY-THREE Answers to Selected Exercises; Bibliography; Glossary of Useful Notations; Index |
| Altri titoli varianti | Financial Engineering & Computation |
| Record Nr. | UNINA-9910777394403321 |
|
Lyuu Yuh-Dauh
|
||
| Cambridge : , : Cambridge University Press, , 2002 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Financial engineering and computation : principles, mathematics, algorithms / / Yuh-Dauh Lyuu [[electronic resource]]
| Financial engineering and computation : principles, mathematics, algorithms / / Yuh-Dauh Lyuu [[electronic resource]] |
| Autore | Lyuu Yuh-Dauh |
| Pubbl/distr/stampa | Cambridge : , : Cambridge University Press, , 2002 |
| Descrizione fisica | 1 online resource (xix, 627 pages) : digital, PDF file(s) |
| Disciplina | 332.6/01/51 |
| Soggetto topico |
Financial engineering
Investments - Mathematical models Derivative securities - Mathematical models |
| ISBN |
1-139-93089-3
1-107-12041-1 1-280-42980-1 0-511-17591-4 0-511-04094-6 0-511-15660-X 0-511-32262-3 0-511-54683-1 0-511-04606-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Cover; Half-title; Title; Copyright; Dedication; Contents; Preface; Useful Abbreviations; CHAPTER ONE Introduction; CHAPTER TWO Analysis of Algorithms; CHAPTER THREE Basic Financial Mathematics; CHAPTER FOUR Bond Price Volatility; CHAPTER FIVE Term Structure of Interest Rates; CHAPTER SIX Fundamental Statistical Concepts; CHAPTER SEVEN Option Basics; CHAPTER EIGHT Arbitrage in Option Pricing; CHAPTER NINE Option Pricing Models; CHAPTER TEN Sensitivity Analysis of Options; CHAPTER ELEVEN Extensions of Options Theory; CHAPTER TWELVE Forwards, Futures, Futures Options, Swaps
CHAPTER THIRTEEN Stochastic Processes and Brownian Motion CHAPTER FOURTEEN Continuous-Time Financial Mathematics; CHAPTER FIFTEEN Continuous-Time Derivatives Pricing; CHAPTER SIXTEEN Hedging; CHAPTER SEVENTEEN Trees; CHAPTER EIGHTEEN Numerical Methods; CHAPTER NINETEEN Matrix Computation; CHAPTER TWENTY Time Series Analysis; CHAPTER TWENTY-ONE Interest Rate Derivative Securities; CHAPTER TWENTY-TWO Term Structure Fitting; CHAPTER TWENTY-THREE Introduction to Term Structure Modeling; CHAPTER TWENTY-FOUR Foundations of Term Structure Modeling CHAPTER TWENTY-FIVE Equilibrium Term Structure Models CHAPTER TWENTY-SIX No-Arbitrage Term Structure Models; CHAPTER TWENTY-SEVEN Fixed-Income Securities; CHAPTER TWENTY-EIGHT Introduction to Mortgage-Backed Securities; CHAPTER TWENTY-NINE Analysis of Mortgage-Backed Securities; CHAPTER THIRTY Collateralized Mortgage Obligations; CHAPTER THIRTY-ONE Modern Portfolio Theory; CHAPTER THIRTY-TWO Software; CHAPTER THIRTY-THREE Answers to Selected Exercises; Bibliography; Glossary of Useful Notations; Index |
| Altri titoli varianti | Financial Engineering & Computation |
| Record Nr. | UNINA-9910813564903321 |
|
Lyuu Yuh-Dauh
|
||
| Cambridge : , : Cambridge University Press, , 2002 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
The interval market model in mathematical finance : game-theoretic methods / / Pierre Bernhard ... [et al.]
| The interval market model in mathematical finance : game-theoretic methods / / Pierre Bernhard ... [et al.] |
| Autore | Bernhard Pierre |
| Edizione | [1st ed. 2013.] |
| Pubbl/distr/stampa | New York, : Birkhauser, 2013 |
| Descrizione fisica | 1 online resource (347 p.) |
| Disciplina | 332.6/01/51 |
| Collana | Static & Dynamic Game Theory: Foundations & Applications |
| Soggetto topico | Investments - Mathematics |
| ISBN | 0-8176-8388-7 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | pt. I. Revisiting two classic results in dynamic portfolio management -- pt. II. Hedging in interval models -- pt. III. Robust-control approach to option pricing -- pt. IV. Game-theoretic analysis of rainbow options in incomplete markets -- pt. V. Viability approach to complex option pricing and portfolio insurance. |
| Record Nr. | UNINA-9910438136703321 |
|
Bernhard Pierre
|
||
| New York, : Birkhauser, 2013 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Mathematics of finance : proceedings of an AMS-IMS-SIAM Joint Summer Research Conference on Mathematics of Finance, June 22-26, 2003, Snowbird, Utah / / Geroge Yin, Qing Zhang, editors
| Mathematics of finance : proceedings of an AMS-IMS-SIAM Joint Summer Research Conference on Mathematics of Finance, June 22-26, 2003, Snowbird, Utah / / Geroge Yin, Qing Zhang, editors |
| Pubbl/distr/stampa | Providence, Rhode Island : , : American Mathematical Society, , [2004] |
| Descrizione fisica | 1 online resource (414 p.) |
| Disciplina | 332.6/01/51 |
| Collana | Contemporary mathematics |
| Soggetto topico | Business mathematics |
| Soggetto genere / forma | Electronic books. |
| ISBN |
0-8218-7941-3
0-8218-3412-6 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
""Contents""; ""Preface""; ""List of Speakers and Title of Talks""; ""Credit Barrier Models in a Discrete Framework""; ""Optimal Derivatives Design under Dynamic Risk Measures""; ""On Pricing of Forward and Futures Contracts on Zero-Coupon Bonds in the Cox-Ingersoll-Ross Model""; ""Pricing and Hedging of Credit Risk: Replication and Mean-Variance Approaches (I)""; ""Pricing and Hedging of Credit Risk: Replication and Mean-Variance Approaches (II)""; ""Spot Convenience Yield Models for the Energy Markets""; ""Optimal Portfolio Management with Consumption""
""Some Processes Associated with a Fractional Brownian Motion""""Pricing Claims on Non Tradable Assets""; ""Some Optimal Investment, Production and Consumption Models""; ""Asian Options under Multiscale Stochastic Volatility""; ""A Regime Switching Model: Statistical Estimation, Empirical Evidence, and Change Point Detection""; ""Multinomial Maximum Likelihood Estimation of Market Parameters for Stock Jump-Diffusion Models""; ""Optimal Terminal Wealth under Partial Information for HMM Stock Returns""; ""Computing Optimal Selling Rules for Stocks Using Linear Programming"" ""Optimization of Consumption and Portfolio and Minimization of Volatility""""Options: To Buy or not to Buy?""; ""Risk Sensitive Optimal Investment: Solutions of the Dynamical Programming Equation""; ""Hedging Default Risk in an Incomplete Market""; ""Mean-Variance Portfolio Choice with Discontinuous Asset Prices and Nonnegative Wealth Processes""; ""Indifference Prices of Early Exercise Claims""; ""Random Walk around Some Problems in Identification and Stochastic Adaptive Control with Applications to Finance""; ""Pricing and Hedging for Incomplete Jump Diffusion Benchmark Models"" ""Why is the Effect of Proportional Transaction Costs O(Î?2/3)?""""Estimation via Stochastic Filtering in Financial Market Models""; ""Stochastic Optimal Control Modeling of Debt Crises""; ""Duality and Risk Sensitive Portfolio Optimization""; ""Characterizing Option Prices by Linear Programs""; ""Pricing Defaultable Bond with Regime Switching""; ""Affine Regime-Switching Models for Interest Rate Term Structure""; ""Stochastic Approximation Methods for Some Finance Problems"" |
| Record Nr. | UNINA-9910480427303321 |
| Providence, Rhode Island : , : American Mathematical Society, , [2004] | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Mathematics of finance : proceedings of an AMS-IMS-SIAM Joint Summer Research Conference on Mathematics of Finance, June 22-26, 2003, Snowbird, Utah / / George Yin, Qing Zhang, editors
| Mathematics of finance : proceedings of an AMS-IMS-SIAM Joint Summer Research Conference on Mathematics of Finance, June 22-26, 2003, Snowbird, Utah / / George Yin, Qing Zhang, editors |
| Pubbl/distr/stampa | Providence, Rhode Island : , : American Mathematical Society, , [2004] |
| Descrizione fisica | 1 online resource (414 p.) |
| Disciplina | 332.6/01/51 |
| Collana | Contemporary mathematics |
| Soggetto topico | Business mathematics |
| ISBN |
0-8218-7941-3
0-8218-3412-6 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Credit barrier models in a discrete framework / Claudio Albanese and Oliver X. Chen -- Optimal derivatives design under dynamic risk measures / Pauline Barrieu and Nicole El Karoui -- On pricing of forward and futures contracts on zero-coupon bonds in the Cox-Ingersoll-Ross model / Jedrzej Bialkowski and Jacek Jakubowski -- Pricing and hedging of credit risk : replication and mean-variance approaches (I) / Tomasz R. Bielecki, Monique Jeanblanc and Marek Rutkowski -- Pricing and hedging of credit risk : replication and mean-variance approaches (II) / Tomasz R. Bielecki, Monique Jeanblanc and Marek Rutkowski -- Spot convenience yield models for the energy markets / Rene Carmona and Michael Ludkovski -- Optimal portfolio management with consumption / Netzahualcoyotl Castaneda-Leyva and Daniel Hernandez-Hernandez -- Some processes associated with a fractional Brownian motion / T. E. Duncan -- Pricing claims on non tradable assets / Robert J. Elliott and John van der Hoek -- Some optimal investment, production and consumption models / Wendell H. Fleming -- Asian options under multiscale stochastic volatility / Jean-Pierre Fouque and Chuan-Hsiang Han -- A regime switching model : statistical estimation, empirical evidence, and change point detection / Xin Guo -- Multinomial maximum likelihood estimation of market parameters for stock jump-diffusion models / Floyd B. Hanson, John J. Westman and Zongwu Zhu -- Optimal terminal wealth under partial information for HMM stock returns / Ulrich G. Haussmann and Jorn Sass -- Computing optimal selling rules for stocks using linear programming / Kurt Helmes -- Optimization of consumption and portfolio and minimization of volatility / Yaozhong Hu -- Options : to buy or not to buy? / Mattias Jonsson and Ronnie Sircar -- Risk sensitive optimal investment : solutions of the dynamical programming equation / H. Kaise and S. J. Sheu -- Hedging default risk in an incomplete market / Andrew E. B. Lim -- Mean-variance portfolio choice with discontinuous asset prices and nonnegative wealth processes / Andrew E. B. Lim and Xun Yu Zhou -- Indifference prices of early exercise claims / Marek Musiela and Thaleia Zariphopoulou -- Random walk around some problems in identification and stochastic adaptive control with applications to finance / Bozenna Pasik-Duncan -- Pricing and hedging for incomplete jump diffusion benchmark models / Eckhard Platen -- Why is the effect of proportional transaction costs O([delta][superscript 2/3])? / L. C. G. Rogers -- Estimation via stochastic filtering in financial market models / Wolfgang J. Runggaldier -- Stochastic optimal control modeling of debt crises / Jerome L. Stein -- Duality and risk sensitive portfolio optimization / Lukasz Stettner -- Characterizing option prices by linear programs / Richard H. Stockbridge -- Pricing defaultable bond with regime switching / J. W. Wang and Q. Zhang -- Affine regime-switching models for interest rate term structure / Shu Wu and Yong Zeng -- Stochastic approximation methods for some finance problems / G. Yin and Q. Zhang. |
| Record Nr. | UNINA-9910788666703321 |
| Providence, Rhode Island : , : American Mathematical Society, , [2004] | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Mathematics of finance : proceedings of an AMS-IMS-SIAM Joint Summer Research Conference on Mathematics of Finance, June 22-26, 2003, Snowbird, Utah / / George Yin, Qing Zhang, editors
| Mathematics of finance : proceedings of an AMS-IMS-SIAM Joint Summer Research Conference on Mathematics of Finance, June 22-26, 2003, Snowbird, Utah / / George Yin, Qing Zhang, editors |
| Pubbl/distr/stampa | Providence, Rhode Island : , : American Mathematical Society, , [2004] |
| Descrizione fisica | 1 online resource (414 p.) |
| Disciplina | 332.6/01/51 |
| Collana | Contemporary mathematics |
| Soggetto topico | Business mathematics |
| ISBN |
0-8218-7941-3
0-8218-3412-6 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Credit barrier models in a discrete framework / Claudio Albanese and Oliver X. Chen -- Optimal derivatives design under dynamic risk measures / Pauline Barrieu and Nicole El Karoui -- On pricing of forward and futures contracts on zero-coupon bonds in the Cox-Ingersoll-Ross model / Jedrzej Bialkowski and Jacek Jakubowski -- Pricing and hedging of credit risk : replication and mean-variance approaches (I) / Tomasz R. Bielecki, Monique Jeanblanc and Marek Rutkowski -- Pricing and hedging of credit risk : replication and mean-variance approaches (II) / Tomasz R. Bielecki, Monique Jeanblanc and Marek Rutkowski -- Spot convenience yield models for the energy markets / Rene Carmona and Michael Ludkovski -- Optimal portfolio management with consumption / Netzahualcoyotl Castaneda-Leyva and Daniel Hernandez-Hernandez -- Some processes associated with a fractional Brownian motion / T. E. Duncan -- Pricing claims on non tradable assets / Robert J. Elliott and John van der Hoek -- Some optimal investment, production and consumption models / Wendell H. Fleming -- Asian options under multiscale stochastic volatility / Jean-Pierre Fouque and Chuan-Hsiang Han -- A regime switching model : statistical estimation, empirical evidence, and change point detection / Xin Guo -- Multinomial maximum likelihood estimation of market parameters for stock jump-diffusion models / Floyd B. Hanson, John J. Westman and Zongwu Zhu -- Optimal terminal wealth under partial information for HMM stock returns / Ulrich G. Haussmann and Jorn Sass -- Computing optimal selling rules for stocks using linear programming / Kurt Helmes -- Optimization of consumption and portfolio and minimization of volatility / Yaozhong Hu -- Options : to buy or not to buy? / Mattias Jonsson and Ronnie Sircar -- Risk sensitive optimal investment : solutions of the dynamical programming equation / H. Kaise and S. J. Sheu -- Hedging default risk in an incomplete market / Andrew E. B. Lim -- Mean-variance portfolio choice with discontinuous asset prices and nonnegative wealth processes / Andrew E. B. Lim and Xun Yu Zhou -- Indifference prices of early exercise claims / Marek Musiela and Thaleia Zariphopoulou -- Random walk around some problems in identification and stochastic adaptive control with applications to finance / Bozenna Pasik-Duncan -- Pricing and hedging for incomplete jump diffusion benchmark models / Eckhard Platen -- Why is the effect of proportional transaction costs O([delta][superscript 2/3])? / L. C. G. Rogers -- Estimation via stochastic filtering in financial market models / Wolfgang J. Runggaldier -- Stochastic optimal control modeling of debt crises / Jerome L. Stein -- Duality and risk sensitive portfolio optimization / Lukasz Stettner -- Characterizing option prices by linear programs / Richard H. Stockbridge -- Pricing defaultable bond with regime switching / J. W. Wang and Q. Zhang -- Affine regime-switching models for interest rate term structure / Shu Wu and Yong Zeng -- Stochastic approximation methods for some finance problems / G. Yin and Q. Zhang. |
| Record Nr. | UNINA-9910828845903321 |
| Providence, Rhode Island : , : American Mathematical Society, , [2004] | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||