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Applied quantitative methods for trading and investment [[electronic resource] /] / edited by Christian L. Dunis, Jason Laws, and Patrick Naïm
| Applied quantitative methods for trading and investment [[electronic resource] /] / edited by Christian L. Dunis, Jason Laws, and Patrick Naïm |
| Pubbl/distr/stampa | Chichester, West Sussex ; ; Hoboken, N.J., : John Wiley, c2003 |
| Descrizione fisica | 1 online resource (427 p.) |
| Disciplina |
332.6/01/5195
332.6015195 |
| Altri autori (Persone) |
DunisChristian
LawsJason NaïmPatrick |
| Collana | Wiley finance series |
| Soggetto topico |
Finance - Mathematical models
Investments - Mathematical models Speculation - Mathematical models |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-280-27398-4
9786610273980 0-470-29950-9 0-470-87134-2 0-470-01326-5 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Applied Quantitative Methods for Trading and Investment; Contents; About the Contributors; Preface; 1 Applications of Advanced Regression Analysis for Trading and Investment; Abstract; 1.1 Introduction; 1.2 Literature review; 1.3 The exchange rate and related financial data; 1.4 Benchmark models: theory and methodology; 1.5 Neural network models: theory and methodology; 1.6 Forecasting accuracy and trading simulation; 1.7 Concluding remarks; References; 2 Using Cointegration to Hedge and Trade International Equities; Abstract; 2.1 Introduction; 2.2 Time series modelling and cointegration
2.3 Implicit hedging of unknown common risk factors2.4 Relative value and statistical arbitrage; 2.5 Illustration of cointegration in a controlled simulation; 2.6 Application to international equities; 2.7 Discussion and conclusions; References; 3 Modelling the Term Structure of Interest Rates: An Application of Gaussian Affine Models to the German Yield Curve; Abstract; 3.1 Introduction; 3.2 Background issues on asset pricing; 3.3 Duffie-Kan affine models of the term structure; 3.4 A forward rate test of the expectations theory; 3.5 Identification 3.6 Econometric methodology and applications3.7 Estimation results; 3.8 Conclusions; References; 4 Forecasting and Trading Currency Volatility: An Application of Recurrent Neural Regression and Model Combination; Abstract; 4.1 Introduction; 4.2 The exchange rate and volatility data; 4.3 The GARCH (1,1) benchmark volatility forecasts; 4.4 The neural network volatility forecasts; 4.5 Model combinations and forecasting accuracy; 4.6 Foreign exchange volatility trading models; 4.7 Concluding remarks and further work; Acknowledgements; Appendix A; Appendix B; Appendix C; Appendix D; Appendix E Appendix FAppendix G; References; 5 Implementing Neural Networks, Classification Trees, and Rule Induction Classification Techniques: An Application to Credit Risk; Abstract; 5.1 Introduction; 5.2 Data description; 5.3 Neural networks for classification in Excel; 5.4 Classification tree in Excel; 5.5 See5 classifier; 5.6 Conclusions; References; 6 Switching Regime Volatility: An Empirical Evaluation; Abstract; 6.1 Introduction; 6.2 The model; 6.3 Maximum likelihood estimation; 6.4 An application to foreign exchange rates; 6.5 Conclusion; References Appendix A: Gauss code for maximum likelihood for variance switching models7 Quantitative Equity Investment Management with Time-Varying Factor Sensitivities; Abstract; 7.1 Introduction; 7.2 Factor sensitivities defined; 7.3 OLS to estimate factor sensitivities: a simple, popular but inaccurate method; 7.4 WLS to estimate factor sensitivities: a better but still sub-optimal method; 7.5 The stochastic parameter regression model and the Kalman filter: the best way to estimate factor sensitivities; 7.6 Conclusion; References 8 Stochastic Volatility Models: A Survey with Applications to Option Pricing and Value at Risk |
| Record Nr. | UNINA-9910143228603321 |
| Chichester, West Sussex ; ; Hoboken, N.J., : John Wiley, c2003 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Applied quantitative methods for trading and investment [[electronic resource] /] / edited by Christian L. Dunis, Jason Laws, and Patrick Naïm
| Applied quantitative methods for trading and investment [[electronic resource] /] / edited by Christian L. Dunis, Jason Laws, and Patrick Naïm |
| Pubbl/distr/stampa | Chichester, West Sussex ; ; Hoboken, N.J., : John Wiley, c2003 |
| Descrizione fisica | 1 online resource (427 p.) |
| Disciplina |
332.6/01/5195
332.6015195 |
| Altri autori (Persone) |
DunisChristian
LawsJason NaïmPatrick |
| Collana | Wiley finance series |
| Soggetto topico |
Finance - Mathematical models
Investments - Mathematical models Speculation - Mathematical models |
| ISBN |
1-280-27398-4
9786610273980 0-470-29950-9 0-470-87134-2 0-470-01326-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Applied Quantitative Methods for Trading and Investment; Contents; About the Contributors; Preface; 1 Applications of Advanced Regression Analysis for Trading and Investment; Abstract; 1.1 Introduction; 1.2 Literature review; 1.3 The exchange rate and related financial data; 1.4 Benchmark models: theory and methodology; 1.5 Neural network models: theory and methodology; 1.6 Forecasting accuracy and trading simulation; 1.7 Concluding remarks; References; 2 Using Cointegration to Hedge and Trade International Equities; Abstract; 2.1 Introduction; 2.2 Time series modelling and cointegration
2.3 Implicit hedging of unknown common risk factors2.4 Relative value and statistical arbitrage; 2.5 Illustration of cointegration in a controlled simulation; 2.6 Application to international equities; 2.7 Discussion and conclusions; References; 3 Modelling the Term Structure of Interest Rates: An Application of Gaussian Affine Models to the German Yield Curve; Abstract; 3.1 Introduction; 3.2 Background issues on asset pricing; 3.3 Duffie-Kan affine models of the term structure; 3.4 A forward rate test of the expectations theory; 3.5 Identification 3.6 Econometric methodology and applications3.7 Estimation results; 3.8 Conclusions; References; 4 Forecasting and Trading Currency Volatility: An Application of Recurrent Neural Regression and Model Combination; Abstract; 4.1 Introduction; 4.2 The exchange rate and volatility data; 4.3 The GARCH (1,1) benchmark volatility forecasts; 4.4 The neural network volatility forecasts; 4.5 Model combinations and forecasting accuracy; 4.6 Foreign exchange volatility trading models; 4.7 Concluding remarks and further work; Acknowledgements; Appendix A; Appendix B; Appendix C; Appendix D; Appendix E Appendix FAppendix G; References; 5 Implementing Neural Networks, Classification Trees, and Rule Induction Classification Techniques: An Application to Credit Risk; Abstract; 5.1 Introduction; 5.2 Data description; 5.3 Neural networks for classification in Excel; 5.4 Classification tree in Excel; 5.5 See5 classifier; 5.6 Conclusions; References; 6 Switching Regime Volatility: An Empirical Evaluation; Abstract; 6.1 Introduction; 6.2 The model; 6.3 Maximum likelihood estimation; 6.4 An application to foreign exchange rates; 6.5 Conclusion; References Appendix A: Gauss code for maximum likelihood for variance switching models7 Quantitative Equity Investment Management with Time-Varying Factor Sensitivities; Abstract; 7.1 Introduction; 7.2 Factor sensitivities defined; 7.3 OLS to estimate factor sensitivities: a simple, popular but inaccurate method; 7.4 WLS to estimate factor sensitivities: a better but still sub-optimal method; 7.5 The stochastic parameter regression model and the Kalman filter: the best way to estimate factor sensitivities; 7.6 Conclusion; References 8 Stochastic Volatility Models: A Survey with Applications to Option Pricing and Value at Risk |
| Record Nr. | UNINA-9910830386503321 |
| Chichester, West Sussex ; ; Hoboken, N.J., : John Wiley, c2003 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Artificial Intelligence for Financial Markets : The Polymodel Approach / / by Thomas Barrau, Raphael Douady
| Artificial Intelligence for Financial Markets : The Polymodel Approach / / by Thomas Barrau, Raphael Douady |
| Autore | Barrau Thomas |
| Edizione | [1st ed. 2022.] |
| Pubbl/distr/stampa | Cham : , : Springer International Publishing : , : Imprint : Springer, , 2022 |
| Descrizione fisica | 1 online resource (182 pages) |
| Disciplina |
332.64028563
332.6015195 |
| Collana | Financial Mathematics and Fintech |
| Soggetto topico |
Social sciences - Mathematics
Mathematics in Business, Economics and Finance |
| ISBN | 3-030-97319-0 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | 1. Introduction -- 2. Polymodel Theory: An Overview -- 3. Estimation Method: the Linear Non-Linear Mixed Model -- 4. Predictions of Market Returns -- 5. Predictions of Industry Returns -- 6. Predictions of Specific Returns -- 7. Genetic Algorithm-Based Combination of Predictions -- 8. Conclusions -- 9. Appendix. |
| Record Nr. | UNINA-9910574052003321 |
Barrau Thomas
|
||
| Cham : , : Springer International Publishing : , : Imprint : Springer, , 2022 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Forecasting in financial and sports gambling markets [[electronic resource] ] : adaptive drift modeling / / William S. Mallios
| Forecasting in financial and sports gambling markets [[electronic resource] ] : adaptive drift modeling / / William S. Mallios |
| Autore | Mallios William S (William Steve), <1935-> |
| Pubbl/distr/stampa | Hoboken, N.J., : Wiley, c2011 |
| Descrizione fisica | 1 online resource (280 p.) |
| Disciplina |
332.6015195
332.63/2220112 332.632220112 |
| Soggetto topico |
Investments - Mathematical models
Speculation - Mathematical models Sports betting - Mathematical models |
| ISBN |
1-118-09953-2
1-283-02512-4 9786613025128 0-470-88061-9 0-470-88059-7 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Forecasting in Financial and Sports Gambling Markets; Contents; Preface; 1. Introduction; 2. Market Perspectives: Through a Glass Darkly; 3. Opacity and Present-Day Dynamics; 4. Adaptive Modeling Concepts in Dynamic Markets; 5. Studies in Japanese Candlestick Charts; 6. Pseudo-Candlesticks for Major League Baseball; 7. Single-Equation Adaptive Drift Modeling; 8. Single-Equation Modeling: Sports Gambling Markets; 9. Simultaneous Financial Time Series; 10. Modeling Cointegrated Time Series Associated with NBA and NFL Games; 11. Categorical Forecasting
12. Financial/Mathematical Illiteracy and Adolescent Problem Gambling 13. The Influenza Futures Markets; References; Index |
| Record Nr. | UNINA-9910139217003321 |
|
Mallios William S (William Steve), <1935->
|
||
| Hoboken, N.J., : Wiley, c2011 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Forecasting in financial and sports gambling markets : adaptive drift modeling / / William S. Mallios
| Forecasting in financial and sports gambling markets : adaptive drift modeling / / William S. Mallios |
| Autore | Mallios William S (William Steve), <1935-> |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Hoboken, N.J., : Wiley, c2011 |
| Descrizione fisica | 1 online resource (280 p.) |
| Disciplina |
332.6015195
332.63/2220112 332.632220112 |
| Soggetto topico |
Investments - Mathematical models
Speculation - Mathematical models Sports betting - Mathematical models |
| ISBN |
9786613025128
9781118099537 1118099532 9781283025126 1283025124 9780470880616 0470880619 9780470880593 0470880597 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Forecasting in Financial and Sports Gambling Markets; Contents; Preface; 1. Introduction; 2. Market Perspectives: Through a Glass Darkly; 3. Opacity and Present-Day Dynamics; 4. Adaptive Modeling Concepts in Dynamic Markets; 5. Studies in Japanese Candlestick Charts; 6. Pseudo-Candlesticks for Major League Baseball; 7. Single-Equation Adaptive Drift Modeling; 8. Single-Equation Modeling: Sports Gambling Markets; 9. Simultaneous Financial Time Series; 10. Modeling Cointegrated Time Series Associated with NBA and NFL Games; 11. Categorical Forecasting
12. Financial/Mathematical Illiteracy and Adolescent Problem Gambling 13. The Influenza Futures Markets; References; Index |
| Record Nr. | UNINA-9910807230803321 |
|
Mallios William S (William Steve), <1935->
|
||
| Hoboken, N.J., : Wiley, c2011 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Mathematical asset management [[electronic resource] /] / Thomas Höglund
| Mathematical asset management [[electronic resource] /] / Thomas Höglund |
| Autore | Höglund Thomas |
| Pubbl/distr/stampa | Hoboken, N.J., : Wiley-Interscience, c2008 |
| Descrizione fisica | 1 online resource (234 p.) |
| Disciplina |
332.601/5195
332.6015195 |
| Soggetto topico |
Derivative securities - Mathematical models
Risk management - Mathematical models Investment analysis - Mathematical models |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-281-37416-4
9786611374167 0-470-29356-X 0-470-29355-1 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Mathematical Asset Management; CONTENTS; Preface; 1 Interest Rate; 1.1 Flat Rate; 1.1.1 Compound Interest; 1.1.2 Present Value; 1.1.3 Cash Streams; 1.1.4 Effective Rate; 1.1.5 Bonds; 1.1.6 The Effective Rate as a Measure of Valuation; 1.2 Dependence on the Maturity Date; 1.2.1 Zero-Coupon Bonds; 1.2.2 Arbitrage-Free Cash Streams; 1.2.3 The Arbitrage Theorem; 1.2.4 The Movements of the Interest Rate Curve; 1.2.5 Sensitivity to Change of Rates; 1.2.6 Immunization; 1.3 Notes; 2 Further Financial Instruments; 2.1 Stocks; 2.1.1 Earnings, Interest Rate, and Stock Price; 2.2 Forwards; 2.3 Options
2.3.1 European Options2.3.2 American Options; 2.3.3 Option Strategies; 2.4 Further Exercises; 2.5 Notes; 3 Trading Strategies; 3.1 Trading Strategies; 3.1.1 Model Assumptions; 3.1.2 Interest Rate; 3.1.3 Exotic Options; 3.2 An Asymptotic Result; 3.2.1 The Model of Cox, Ross, and Rubinstein; 3.2.2 An Asymptotic Result; 3.3 Implementing Trading Strategies; 3.3.1 Portfolio Insurance; 4 Stochastic Properties of Stock Prices; 4.1 Growth; 4.1.1 The Distribution of the Growth; 4.1.2 Drift and Volatility; 4.1.3 The Stability of the Volatility Estimator; 4.2 Return; 4.3 Covariation 4.3.1 The Asymptotic Distribution of the Estimated Covariance Matrix5 Trading Strategies with Clock Time Horizon; 5.1 Clock Time Horizon; 5.2 Black-Scholes Pricing Formulas; 5.2.1 Sensitivity to Perturbations; 5.2.2 Hedging a Written Call; 5.2.3 Three Options Strategies Again; 5.3 The Black-Scholes Equation; 5.4 Trading Strategies for Several Assets; 5.4.1 An Unsymmetrical Formulation; 5.4.2 A Symmetrical Formulation; 5.4.3 Examples; 5.5 Notes; 6 Diversification; 6.1 Risk and Diversification; 6.1.1 The Minimum-Variance Portfolio; 6.1.2 Stability of the Estimates of the Weights 6.2 Growth Portfolios6.2.1 The Auxiliary Portfolio; 6.2.2 Maximal Drift; 6.2.3 Constraint on Portfolio Volatility; 6.2.4 Constraints on Total Stock Weight; 6.2.5 Constraints on Total Stock Weight and Volatility; 6.2.6 The Efficient Frontier; 6.2.7 Summary; 6.3 Rebalancing; 6.3.1 The Portfolio as a Function of the Stocks; 6.3.2 Empirical Verification; 6.4 Optimal Portfolios with Positive Weights; 6.5 Notes; 7 Covariation with the Market; 7.1 Beta; 7.1.1 The Market; 7.1.2 Beta Value; 7.2 Portfolios Related to the Market; 7.2.1 The Beta Portfolio; 7.2.2 Stability of the Estimates of the Weights 7.2.3 Market Neutral Portfolios7.3 Capital Asset Pricing Model; 7.3.1 The CAPM Identity; 7.3.2 Consequences of CAPM; 7.3.3 The Market Portfolio; 7.4 Notes; 8 Performance and Risk measures; 8.1 Performance Measures; 8.2 Risk Measures; 8.2.1 Value at Risk; 8.2.2 Downside Risk; 8.3 Risk Adjustment; 9 Simple Covariation; 9.1 Equal Correlations; 9.1.1 Matrix Calculations; 9.1.2 Optimal Portfolios; 9.1.3 Comparison with the General Model; 9.1.4 Positive Weights; 9.2 Multiplicative Correlations; 9.2.1 Uniqueness of the Parameters; 9.2.2 Matrix Calculations; 9.2.3 Parameter Estimation 9.2.4 Optimal Portfolios |
| Record Nr. | UNINA-9910145424103321 |
|
Höglund Thomas
|
||
| Hoboken, N.J., : Wiley-Interscience, c2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Mathematical finance [[electronic resource] ] : theory, modeling, implementation / / Christian Fries
| Mathematical finance [[electronic resource] ] : theory, modeling, implementation / / Christian Fries |
| Autore | Fries Christian <1970-> |
| Pubbl/distr/stampa | Hoboken, N.J., : Wiley-Interscience, c2007 |
| Descrizione fisica | 1 online resource (544 p.) |
| Disciplina |
332.601
332.6015195 |
| Soggetto topico |
Derivative securities - Prices - Mathematical models
Securities - Mathematical models Investments - Mathematical models |
| ISBN |
1-280-97434-6
9786610974344 0-470-17978-3 0-470-17977-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Mathematical Finance: Theory, Modeling, Implementation; Contents; 1 Introduction; 1.1 Theory, Modeling, and Implementation; 1.2 Interest Rate Models and Interest Rate Derivatives; 1.3 About This Book; 1.3.1 How to Read This Book; 1.3.2 Abridged Versions; 1.3.3 Special Sections; 1.3.4 Notation; 1.3.5 Feedback; 1.3.6 Resources; I Foundations; 2 Foundations; 2.1 Probability Theory; 2.2 Stochastic Processes; 2.3 Filtration; 2.4 Brownian Motion; 2.5 Wiener Measure, Canonical Setup; 2.6 Itô Calculus; 2.6.1 Itô Integral; 2.6.2 Itô Process; 2.6.3 Itô Lemma and Product Rule
2.7 Brownian Motion with Instantaneous Correlation2.8 Martingales; 2.8.1 Martingale Representation Theorem; 2.9 Change of Measure; 2.10 Stochastic Integration; 2.11 Partial Differential Equations (PDEs); 2.11.1 Feynman-Kač Theorem; 2.12 List of Symbols; 3 Replication; 3.1 Replication Strategies; 3.1.1 Introduction; 3.1.2 Replication in a Discrete Model; 3.2 Foundations: Equivalent Martingale Measure; 3.2.1 Challenge and Solution Outline; 3.2.2 Steps toward the Universal Pricing Theorem; 3.3 Excursus: Relative Prices and Risk-Neutral Measures; 3.3.1 Why relative prices? 3.3.2 Risk-Neutral MeasureII First Applications; 4 Pricing of a European Stock Option under the Black-Scholes Model; 5 Excursus: The Density of the Underlying of a European Call Option; 6 Excursus: Interpolation of European Option Prices; 6.1 No-Arbitrage Conditions for Interpolated Prices; 6.2 Arbitrage Violations through Interpolation; 6.2.1 Example 1 : Interpolation of Four Prices; 6.2.2 Example 2: Interpolation of Two Prices; 6.3 Arbitrage- Free Interpolation of European Option Prices; 7 Hedging in Continuous and Discrete Time and the Greeks; 7.1 Introduction 7.2 Deriving the Replications Strategy from Pricing Theory7.2.1 Deriving the Replication Strategy under the Assumption of a Locally Riskless Product; 7.2.2 Black-Scholes Differential Equation; 7.2.3 Derivative V(t) as a Function of Its Underlyings S i(t); 7.2.4 Example: Replication Portfolio and PDE under a Black-Scholes Model; 7.3 Greeks; 7.3.1 Greeks of a European Call-Option under the Black-Scholes Model; 7.4 Hedging in Discrete Time: Delta and Delta-Gamma Hedging; 7.4.1 Delta Hedging; 7.4.2 Error Propagation; 7.4.3 Delta-Gamma Hedging; 7.4.4 Vega Hedging 7.5 Hedging in Discrete Time: Minimizing the Residual Error (Bouchaud-Sornette Method)7.5.1 Minimizing the Residual Error at Maturity T; 7.5.2 Minimizing the Residual Error in Each Time Step; III Interest Rate Structures, Interest Rate Products, and Analytic Pricing Formulas; Motivation and Overview; 8 Interest Rate Structures; 8.1 Introduction; 8.1.1 Fixing Times and Tenor Times; 8.2 Definitions; 8.3 Interest Rate Curve Bootstrapping; 8.4 Interpolation of Interest Rate Curves; 8.5 Implementation; 9 Simple Interest Rate Products; 9.1 Interest Rate Products Part 1: Products without Optionality 9.1.1 Fix, Floating, and Swap |
| Record Nr. | UNINA-9910144721403321 |
|
Fries Christian <1970->
|
||
| Hoboken, N.J., : Wiley-Interscience, c2007 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Mathematical finance [[electronic resource] ] : theory, modeling, implementation / / Christian Fries
| Mathematical finance [[electronic resource] ] : theory, modeling, implementation / / Christian Fries |
| Autore | Fries Christian <1970-> |
| Pubbl/distr/stampa | Hoboken, N.J., : Wiley-Interscience, c2007 |
| Descrizione fisica | 1 online resource (544 p.) |
| Disciplina |
332.601
332.6015195 |
| Soggetto topico |
Derivative securities - Prices - Mathematical models
Securities - Mathematical models Investments - Mathematical models |
| ISBN |
1-280-97434-6
9786610974344 0-470-17978-3 0-470-17977-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Mathematical Finance: Theory, Modeling, Implementation; Contents; 1 Introduction; 1.1 Theory, Modeling, and Implementation; 1.2 Interest Rate Models and Interest Rate Derivatives; 1.3 About This Book; 1.3.1 How to Read This Book; 1.3.2 Abridged Versions; 1.3.3 Special Sections; 1.3.4 Notation; 1.3.5 Feedback; 1.3.6 Resources; I Foundations; 2 Foundations; 2.1 Probability Theory; 2.2 Stochastic Processes; 2.3 Filtration; 2.4 Brownian Motion; 2.5 Wiener Measure, Canonical Setup; 2.6 Itô Calculus; 2.6.1 Itô Integral; 2.6.2 Itô Process; 2.6.3 Itô Lemma and Product Rule
2.7 Brownian Motion with Instantaneous Correlation2.8 Martingales; 2.8.1 Martingale Representation Theorem; 2.9 Change of Measure; 2.10 Stochastic Integration; 2.11 Partial Differential Equations (PDEs); 2.11.1 Feynman-Kač Theorem; 2.12 List of Symbols; 3 Replication; 3.1 Replication Strategies; 3.1.1 Introduction; 3.1.2 Replication in a Discrete Model; 3.2 Foundations: Equivalent Martingale Measure; 3.2.1 Challenge and Solution Outline; 3.2.2 Steps toward the Universal Pricing Theorem; 3.3 Excursus: Relative Prices and Risk-Neutral Measures; 3.3.1 Why relative prices? 3.3.2 Risk-Neutral MeasureII First Applications; 4 Pricing of a European Stock Option under the Black-Scholes Model; 5 Excursus: The Density of the Underlying of a European Call Option; 6 Excursus: Interpolation of European Option Prices; 6.1 No-Arbitrage Conditions for Interpolated Prices; 6.2 Arbitrage Violations through Interpolation; 6.2.1 Example 1 : Interpolation of Four Prices; 6.2.2 Example 2: Interpolation of Two Prices; 6.3 Arbitrage- Free Interpolation of European Option Prices; 7 Hedging in Continuous and Discrete Time and the Greeks; 7.1 Introduction 7.2 Deriving the Replications Strategy from Pricing Theory7.2.1 Deriving the Replication Strategy under the Assumption of a Locally Riskless Product; 7.2.2 Black-Scholes Differential Equation; 7.2.3 Derivative V(t) as a Function of Its Underlyings S i(t); 7.2.4 Example: Replication Portfolio and PDE under a Black-Scholes Model; 7.3 Greeks; 7.3.1 Greeks of a European Call-Option under the Black-Scholes Model; 7.4 Hedging in Discrete Time: Delta and Delta-Gamma Hedging; 7.4.1 Delta Hedging; 7.4.2 Error Propagation; 7.4.3 Delta-Gamma Hedging; 7.4.4 Vega Hedging 7.5 Hedging in Discrete Time: Minimizing the Residual Error (Bouchaud-Sornette Method)7.5.1 Minimizing the Residual Error at Maturity T; 7.5.2 Minimizing the Residual Error in Each Time Step; III Interest Rate Structures, Interest Rate Products, and Analytic Pricing Formulas; Motivation and Overview; 8 Interest Rate Structures; 8.1 Introduction; 8.1.1 Fixing Times and Tenor Times; 8.2 Definitions; 8.3 Interest Rate Curve Bootstrapping; 8.4 Interpolation of Interest Rate Curves; 8.5 Implementation; 9 Simple Interest Rate Products; 9.1 Interest Rate Products Part 1: Products without Optionality 9.1.1 Fix, Floating, and Swap |
| Record Nr. | UNINA-9910829940203321 |
|
Fries Christian <1970->
|
||
| Hoboken, N.J., : Wiley-Interscience, c2007 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Multi-moment asset allocation and pricing models [[electronic resource] /] / edited by Emmanuel Jurczenko and Bertrand Maillet
| Multi-moment asset allocation and pricing models [[electronic resource] /] / edited by Emmanuel Jurczenko and Bertrand Maillet |
| Pubbl/distr/stampa | Chichester, England ; ; Hoboken, NJ, : John Wiley & Sons, Inc., c2006 |
| Descrizione fisica | 1 online resource (259 p.) |
| Disciplina |
332.601/5195
332.6015195 |
| Altri autori (Persone) |
JurczenkoEmmanuel
MailletBertrand |
| Collana | Wiley finance series |
| Soggetto topico |
Investments - Mathematical models
Asset allocation - Mathematical models Capital assets pricing model |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-119-20183-7
1-280-64915-1 9786610649150 0-470-05799-8 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Theoretical foundations of asset allocations and pricing models with higher-order moments / Emmanuel Jurczenko and Bertrand Maillet -- On certain geometric aspects of portfolio optimisation with higher moments -- / Gustavo M. de Athayde and Renato G. Flôres Jr. -- Hedge funds portfolio selection with higher-order moments : a nonparametric mean-variance-skewness-Kurtosis efficient frontier / Emmanuel Jurczenko, Bertrand Maillet and Paul Merlin -- Higher order moments and beyond / Luisa Tibiletti -- Gram-Charlier expansions and portfolio selection in non-Gaussian universes / François Desmoulins-Lebeault -- The four-moment capital asset pricing model : between asset pricing and asset allocation / Emmanuel Jurczenko and Bertrand Maillet -- Multi-moment method for portfolio management : generalized capital asset pricing model in homogeneous and heterogeneous markets / Yannick Malevergne and Didier Sornette -- Modeling the dynamics of conditional dependency between financial series / Eric Jondeau and Michael Rockinger -- A test of the homogeneity of asset pricing models / Giovanni Barone-Adesi, Patrick Gagliardini and Giovanni Urga. |
| Record Nr. | UNINA-9910143676503321 |
| Chichester, England ; ; Hoboken, NJ, : John Wiley & Sons, Inc., c2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Multi-moment asset allocation and pricing models [[electronic resource] /] / edited by Emmanuel Jurczenko and Bertrand Maillet
| Multi-moment asset allocation and pricing models [[electronic resource] /] / edited by Emmanuel Jurczenko and Bertrand Maillet |
| Pubbl/distr/stampa | Chichester, England ; ; Hoboken, NJ, : John Wiley & Sons, Inc., c2006 |
| Descrizione fisica | 1 online resource (259 p.) |
| Disciplina |
332.601/5195
332.6015195 |
| Altri autori (Persone) |
JurczenkoEmmanuel
MailletBertrand |
| Collana | Wiley finance series |
| Soggetto topico |
Investments - Mathematical models
Asset allocation - Mathematical models Capital assets pricing model |
| ISBN |
1-119-20183-7
1-280-64915-1 9786610649150 0-470-05799-8 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Theoretical foundations of asset allocations and pricing models with higher-order moments / Emmanuel Jurczenko and Bertrand Maillet -- On certain geometric aspects of portfolio optimisation with higher moments -- / Gustavo M. de Athayde and Renato G. Flôres Jr. -- Hedge funds portfolio selection with higher-order moments : a nonparametric mean-variance-skewness-Kurtosis efficient frontier / Emmanuel Jurczenko, Bertrand Maillet and Paul Merlin -- Higher order moments and beyond / Luisa Tibiletti -- Gram-Charlier expansions and portfolio selection in non-Gaussian universes / François Desmoulins-Lebeault -- The four-moment capital asset pricing model : between asset pricing and asset allocation / Emmanuel Jurczenko and Bertrand Maillet -- Multi-moment method for portfolio management : generalized capital asset pricing model in homogeneous and heterogeneous markets / Yannick Malevergne and Didier Sornette -- Modeling the dynamics of conditional dependency between financial series / Eric Jondeau and Michael Rockinger -- A test of the homogeneity of asset pricing models / Giovanni Barone-Adesi, Patrick Gagliardini and Giovanni Urga. |
| Record Nr. | UNINA-9910830524803321 |
| Chichester, England ; ; Hoboken, NJ, : John Wiley & Sons, Inc., c2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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