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Advanced Modelling in Mathematical Finance : In Honour of Ernst Eberlein / / edited by Jan Kallsen, Antonis Papapantoleon
| Advanced Modelling in Mathematical Finance : In Honour of Ernst Eberlein / / edited by Jan Kallsen, Antonis Papapantoleon |
| Edizione | [1st ed. 2016.] |
| Pubbl/distr/stampa | Cham : , : Springer International Publishing : , : Imprint : Springer, , 2016 |
| Descrizione fisica | 1 online resource (XXIV, 496 p. 79 illus., 69 illus. in color.) |
| Disciplina | 332.60151 |
| Collana | Springer Proceedings in Mathematics & Statistics |
| Soggetto topico |
Economics, Mathematical
Probabilities Quantitative Finance Probability Theory and Stochastic Processes |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Preface -- An Interview with Ernst Eberlein -- Part I: Flexible Lévy-based models. E. A. v. Hammerstein: Tail behaviour and tail dependence of generalized hyperbolic distributions -- O. Barndorff-Nielsen: Gamma kernels and BSS/LSS processes -- M. Mandjes and P. Spreij: Explicit computations for some Markov modulated counting processes -- Part II: Statistics and risk -- H. Geman and B. Liu: The outlook of energy markets in 2015: introducing distances between forward curves -- D. Madan: Three non-Gaussian models of dependence in returns -- A. Kimura and N. Yoshida: Estimation of correlation between latent processes -- J. Beirlant, W. Schoutens, J. De Spiegeleer, T. Reynkens, and K. Herrmann: Hunting for black swans in the European banking sector using extreme value analysis -- E. Lütkebohmert-Holtz and Y. Xiao: Collateralized borrowing and default risk -- G. Stahl: Model uncertainty in a holistic perspective -- Part III: Derivative pricing, hedging, and optimization -- Ch. Bayer and J. Schoenmakers: Option pricing in affine generalized Merton models -- G. Jahncke and J. Kallsen: Approximate pricing of call options on the quadratic variation in Lévy models -- A. Černý: Dynamic discrete-time hedging of barrier options under leptokurtic returns driven by an exponential Lévy model -- M. Musiela, E. Sokolova, and Th. Zariphopoulou: Exponential forward indifference prices in incomplete binomial models -- M. Feodoria and J. Kallsen: Almost surely optimal portfolios under propotional transaction costs -- J. M. Corcuera, J. Fajardo, and O. Pamen: On the optimal payoffs -- L. Rüschendorf and V. Wolf: Construction and hedging of optimal payoffs in Lévy Models -- Part IV: Term-structure modelling -- I. Klein, Th. Schmidt, and J. Teichmann: No arbitrage theory for bond markets -- K. Glau, Z. Grbac, and Antonis Papapantoleon: A unified view of LIBOR models -- Z. Grbac, D. Krief, and P. Tankov: Approximate option pricing in the Lévy LIBOR model -- F. E. Benth: Cointegrated commodity markets and pricing of derivatives in a non-Gaussian framework. |
| Record Nr. | UNINA-9910155301603321 |
| Cham : , : Springer International Publishing : , : Imprint : Springer, , 2016 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Analisi statistica dei mercati monetari e finanziari : analisi univariata / Giuseppe Storti, Cosimo D. Vitale
| Analisi statistica dei mercati monetari e finanziari : analisi univariata / Giuseppe Storti, Cosimo D. Vitale |
| Autore | Storti, Giuseppe <docente di statistica economica> |
| Pubbl/distr/stampa | Napoli ; Roma, : Edizioni scientifiche italiane, 2011 |
| Descrizione fisica | IX, 391 p. : ill. ; 24 cm. |
| Disciplina | 332.60151 |
| Altri autori (Persone) | Vitale, Cosimo |
| Collana | Manlio Rossi-Doria |
| Soggetto topico |
Matematica finanziaria - Metodi statistici
Mercati finanziari - Analisi |
| ISBN | 9788849521511 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | ita |
| Record Nr. | UNISANNIO-UBS0000417 |
Storti, Giuseppe <docente di statistica economica>
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| Napoli ; Roma, : Edizioni scientifiche italiane, 2011 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. del Sannio | ||
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Asset Management : tecniche e stile di gestione del portafoglio / Gabriele Sampagnaro
| Asset Management : tecniche e stile di gestione del portafoglio / Gabriele Sampagnaro |
| Autore | Sampagnaro, Gabriele |
| Pubbl/distr/stampa | Milano : Franco Angeli, 2005 |
| Descrizione fisica | 181 p. ; 23 cm |
| Disciplina | 332.60151 |
| Collana | Economia e politica industriale |
| Soggetto non controllato |
PortafoglioGestioneModelli matematici
InvestimentiGestione |
| ISBN | 88-464-7282-9 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | ita |
| Titolo uniforme | |
| Record Nr. | UNIPARTHENOPE-000007207 |
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Sampagnaro, Gabriele
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| Milano : Franco Angeli, 2005 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Parthenope | ||
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An elementary introduction to mathematical finance : options and other topics / Sheldon M. Ross
| An elementary introduction to mathematical finance : options and other topics / Sheldon M. Ross |
| Autore | Ross, Sheldon M. |
| Edizione | [2nd ed.] |
| Pubbl/distr/stampa | Cambridge, U. K. : Cambridge University Press, 2003 |
| Descrizione fisica | xv, 253 p. : ill. ; 24 cm |
| Disciplina | 332.60151 |
| Soggetto topico |
Investments - Mathematics
Stochastic analysis Options (Finance) - Mathematical models Securities - Prices - Mathematical models |
| ISBN | 0521814294 |
| Classificazione |
AMS 91B28
LC HG4515.3.R67 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Contents: Probability ; Normal random variables ; Geometric Brownian motion ; Interest rates and present value analysis ; Pricing contracts via Arbitrage ; The Arbitrage Theorem ; The Black-Scholes formula ; Additional results on options ; Valuing by expected utility ; Optimization models ; Exotic options ; Beyond geometric Brownian motion models ; Autogressive models and mean reversion. |
| Record Nr. | UNISALENTO-991001560059707536 |
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Ross, Sheldon M.
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| Cambridge, U. K. : Cambridge University Press, 2003 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. del Salento | ||
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Essential of stochastic finance : factal, models, theory / by Albert N. Shiryaev ; traslated from Russian by N. Kruzhilin
| Essential of stochastic finance : factal, models, theory / by Albert N. Shiryaev ; traslated from Russian by N. Kruzhilin |
| Autore | SHIRYAEV, Albert N. |
| Pubbl/distr/stampa | New Jersey [ecc.] : World Scientific, 1999 |
| Descrizione fisica | XVI, 834 p. : ill. ; 23 cm |
| Disciplina | 332.60151 |
| Collana | Advanced series on statistical science & applied probability |
| Soggetto topico | Investimenti - Modelli matematici |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNISA-990005512070203316 |
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SHIRYAEV, Albert N.
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| New Jersey [ecc.] : World Scientific, 1999 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. di Salerno | ||
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Essential of stochastic finance : factal, models, theory / by Albert N. Shiryaev ; traslated from Russian by N. Kruzhilin
| Essential of stochastic finance : factal, models, theory / by Albert N. Shiryaev ; traslated from Russian by N. Kruzhilin |
| Autore | Shiryaev, Albert N. |
| Pubbl/distr/stampa | New Jersey [ecc.] : World Scientific, c1999 |
| Descrizione fisica | XVI, 834 p. : ill. ; 23 cm |
| Disciplina | 332.60151 |
| Collana | Advanced series on statistical science & applied probability |
| Soggetto topico | Investimenti - MODELLI MATEMATICI |
| ISBN | 978-981-02-3605-2 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNISA-990003606930203316 |
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Shiryaev, Albert N.
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| New Jersey [ecc.] : World Scientific, c1999 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. di Salerno | ||
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Finanza e investimenti : fondamenti matematici / David G. Luenberger
| Finanza e investimenti : fondamenti matematici / David G. Luenberger |
| Autore | Luenberger, David G. |
| Pubbl/distr/stampa | Milano : Apogeo, 2011 |
| Descrizione fisica | XIII, 509 p. ; 24 cm |
| Disciplina | 332.60151 |
| Collana | Idee & Strumenti |
| Soggetto non controllato | Investimenti |
| ISBN | 978-88-503-3094-2 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | ita |
| Record Nr. | UNINA-990009512280403321 |
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Luenberger, David G.
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| Milano : Apogeo, 2011 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Finanza e investimenti : fondamenti matematici / David G. Luenberger ; edizione italiana a cura di Sergio Scarlatti
| Finanza e investimenti : fondamenti matematici / David G. Luenberger ; edizione italiana a cura di Sergio Scarlatti |
| Autore | LUENBERGER, David G. |
| Pubbl/distr/stampa | Milano : Apogeo, 2011 |
| Descrizione fisica | XVIII, 501 p. ; 25 cm |
| Disciplina | 332.60151 |
| Collana | Idee & strumenti |
| Soggetto topico | Investimenti - Modelli matematici |
| ISBN | 978-88-503-3094-2 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | ita |
| Record Nr. | UNISA-990005796010203316 |
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LUENBERGER, David G.
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| Milano : Apogeo, 2011 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. di Salerno | ||
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Finanza e investimenti : fondamenti matematici / David G. Luenberger ; edizione italiana a cura di Sergio Scarlatti
| Finanza e investimenti : fondamenti matematici / David G. Luenberger ; edizione italiana a cura di Sergio Scarlatti |
| Autore | LUENBERGER, David G. |
| Pubbl/distr/stampa | Milano : Apogeo, copyr. 2006 |
| Descrizione fisica | XVIII, 509 p. ; 25 cm |
| Disciplina | 332.60151 |
| Collana | Idee & strumenti |
| Soggetto topico | Investimenti - Modelli matematici |
| ISBN | 88-503-2496-0 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | ita |
| Record Nr. | UNISA-990002880770203316 |
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LUENBERGER, David G.
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| Milano : Apogeo, copyr. 2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. di Salerno | ||
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Finite difference methods in financial engineering [[electronic resource] ] : a partial differential equation approach / / Daniel J. Duffy
| Finite difference methods in financial engineering [[electronic resource] ] : a partial differential equation approach / / Daniel J. Duffy |
| Autore | Duffy Daniel J |
| Pubbl/distr/stampa | Chichester, England ; ; Hoboken, NJ, : John Wiley, c2006 |
| Descrizione fisica | 1 online resource (441 p.) |
| Disciplina | 332.60151 |
| Collana | Wiley finance series |
| Soggetto topico |
Financial engineering - Mathematics
Derivative securities - Prices - Mathematical models Finite differences Differential equations, Partial - Numerical solutions |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-118-85648-1
1-118-67344-1 1-280-41120-1 9786610411207 0-470-85883-4 |
| Classificazione |
QK 660
SK 980 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
0 Goals of this Book and Global Overview; Contents; 0.1 What is this Book?; 0.2 Why has this Book Been Written?; 0.3 For Whom is this Book Intended?; 0.4 Why Should I Read this Book?; 0.5 The Structure of this Book; 0.6 What this Book Does Not Cover; 0.7 Contact, Feedback and More Information; Part I The Continuous Theory Of Partial DifferentialI Equations; 1 An Introduction to Ordinary Differential Equations; 1.1 Introduction and Objectives; 1.2 Two-Point Boundary Value Problem; 1.2.1 Special Kinds of Boundary Condition; 1.3 Linear Boundary Value Problems; 1.4 Initial Value Problems
1.5 Some Special Cases1.6 Summary and Conclusions; 2 An Introduction to Partial Differential Equations; 2.1 Introduction and Objectives; 2.2 Partial Differential Equations; 2.3 Specialisations; 2.3.1 Elliptic Equations; 2.3.2 Free Boundary Value Problems; 2.4 Parabolic Partial Differential Equations; 2.4.1 Special Cases; 2.5 Hyperbolic Equations; 2.5.1 Second-Order Equations; 2.5.2 First-Order Equations; 2.6 Systems of Equations; 2.6.1 Parabolic Systems; 2.6.2 First-Order Hyperbolic Systems; 2.7 Equations Containing Integrals; 2.8 Summary and Conclusions 3 Second-Order Parabolic Differential Equations3.1 Introduction and Objectives; 3.2 Linear Parabolic Equations; 3.3 The Continuous Problem; 3.4 The Maximum Principle for Parabolic Equations; 3.5 A Special Case: One-Factor Generalised Black-Scholes Models; 3.6 Fundamental Solution and the Green's Function; 3.7 Integral Representation of the Solution of Parabolic PDEs; 3.8 Parabolic Equations in One Space Dimension; 3.9 Summary and Conclusions; 4 An Introduction to the Heat Equation in One Dimension; 4.1 Introduction and Objectives; 4.2 Motivation and Background 4.3 The Heat Equation and Financial Engineering4.4 The Separation of Variables Technique; 4.4.1 Heat Flow in a Road with Ends Held at Constant Temperature; 4.4.2 Heat Flow in a Rod Whose Ends are at a Specified Variable Temperature; 4.4.3 Heat Flow in an Infinite Rod; 4.4.4 Eigenfunction Expansions; 4.5 Transformation Techniques for the Heat Equation; 4.5.1 Laplace Transform; 4.5.2 Fourier Transform for the Heat Equation; 4.6 Summary and Conclusions; 5 An Introduction to the Method of Characteristics; 5.1 Introduction and Objectives; 5.2 First-Order Hyperbolic Equations; 5.2.1 An Example 5.3 Second-Order Hyperbolic Equations5.3.1 Numerical Integration Along the Characteristic Lines; 5.4 Applications to Financial Engineering; 5.4.1 Generalisations; 5.5 Systems of Equations; 5.5.1 An Example; 5.6 Propagation of Discontinuities; 5.6.1 Other Problems; 5.7 Summary and Conclusions; Part II FiniteI DifferenceI Methods: The Fundamentals; 6 An Introduction to the Finite Difference Method; 6.1 Introduction and Objectives; 6.2 Fundamentals of Numerical Differentiation; 6.3 Caveat: Accuracy and Round-Off Errors; 6.4 Where are Divided Differences Used in Instrument Pricing? 6.5 Initial Value Problems |
| Record Nr. | UNINA-9910145039503321 |
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Duffy Daniel J
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| Chichester, England ; ; Hoboken, NJ, : John Wiley, c2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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