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A meaningful sufficient condition for the uniqueness of the internal rate of return / Sandro Gronchi
| A meaningful sufficient condition for the uniqueness of the internal rate of return / Sandro Gronchi |
| Autore | GRONCHI, Sandro |
| Pubbl/distr/stampa | Siena : Facoltà di scienze economiche e bancarie-Università degli studi, 1982 |
| Descrizione fisica | 19 p. ; 25 cm. |
| Disciplina | 332.8(INTERESSE E SCONTO) |
| Collana | Quaderni dell'Istituto di economia, Università degli studi di Siena, Facoltà di scienze economiche e bancarie. - Siena |
| Soggetto topico | Interessi - Tasso |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNISA-990005528800203316 |
GRONCHI, Sandro
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| Siena : Facoltà di scienze economiche e bancarie-Università degli studi, 1982 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. di Salerno | ||
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A generalized internal rate of return depending on the cost of capital / Sandro Gronchi
| A generalized internal rate of return depending on the cost of capital / Sandro Gronchi |
| Autore | GRONCHI, Sandro |
| Pubbl/distr/stampa | Siena : Facoltà di scienze economiche e bancarie-Università degli studi, 1982 |
| Descrizione fisica | 37 p. ; 25 cm. |
| Disciplina | 332.8(INTERESSE E SCONTO) |
| Collana | Quaderni dell'Istituto di economia, Università degli studi di Siena, Facoltà di scienze economiche e bancarie. - Siena |
| Soggetto topico | Interessi - Tasso |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNISA-990005528840203316 |
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GRONCHI, Sandro
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| Siena : Facoltà di scienze economiche e bancarie-Università degli studi, 1982 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. di Salerno | ||
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Considerazioni sulle conseguenze della riduzione dell'interesse / John Locke ; a cura di Francesco Fagiani
| Considerazioni sulle conseguenze della riduzione dell'interesse / John Locke ; a cura di Francesco Fagiani |
| Autore | Locke, John |
| Pubbl/distr/stampa | Bologna : Cappelli, 1978 |
| Descrizione fisica | 160 p. ; 21 cm. |
| Disciplina | 332.8 |
| Altri autori (Persone) | Fagiani, Francesco |
| Collana | Biblioteca Cappelli. I testi |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | ita |
| Record Nr. | UNISALENTO-991002390619707536 |
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Locke, John
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| Bologna : Cappelli, 1978 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. del Salento | ||
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Consistency problems for Heat-Jarrow-Morton interest rate models / Damir Filipovic
| Consistency problems for Heat-Jarrow-Morton interest rate models / Damir Filipovic |
| Autore | Filipovic, Damir |
| Pubbl/distr/stampa | Berlin : Springer, c2001 |
| Descrizione fisica | viii, 134 p. ; 24 cm |
| Disciplina | 332.8 |
| Collana | Lecture Notes in Mathematics |
| Soggetto non controllato |
Modelli matematici
Teoria delle votazioni |
| ISBN | 3-540-41493-2 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-990001483450403321 |
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Filipovic, Damir
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| Berlin : Springer, c2001 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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An elementary introduction to stochastic interest rate modeling [[electronic resource] /] / Nicolas Privault
| An elementary introduction to stochastic interest rate modeling [[electronic resource] /] / Nicolas Privault |
| Autore | Privault Nicolas |
| Edizione | [2nd ed.] |
| Pubbl/distr/stampa | Hackensack, N.J., : World Scientific, 2012 |
| Descrizione fisica | 1 online resource (243 p.) |
| Disciplina |
332.8
332.80151922 |
| Collana | Advanced series on statistical science & applied probability |
| Soggetto topico |
Interest rate futures - Mathematical models
Stochastic models |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-281-60363-5
9786613784322 981-4390-86-0 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Preface; Contents; 1. A Review of Stochastic Calculus; 1.1 Brownian Motion; 1.2 Stochastic Integration; 1.3 Quadratic Variation; 1.4 Ito's Formula; 1.5 Exercises; 2. A Review of Black-Scholes Pricing and Hedging; 2.1 Call and Put Options; 2.2 Market Model and Portfolio; 2.3 PDE Method; 2.4 The Girsanov Theorem; 2.5 Martingale Method; 2.6 Exercises; 3. Short Term Interest Rate Models; 3.1 Mean-Reverting Models; 3.2 Constant Elasticity of Variance (CEV) Models; 3.3 Time-Dependent Models; 3.4 Exercises; 4. Pricing of Zero-Coupon Bonds; 4.1 Definition and Basic Properties
4.2 Absence of Arbitrage and the Markov Property4.3 Absence of Arbitrage and the Martingale Property; 4.4 PDE Solution: Probabilistic Method; 4.5 PDE Solution: Analytical Method; 4.6 Numerical Simulations; 4.7 Exercises; 5. Forward Rate Modeling; 5.1 Forward Contracts; 5.2 Instantaneous Forward Rate; 5.3 Short Rates; 5.4 Parametrization of Forward Rates; Nelson-Siegel parametrization; Svensson parametrization; 5.5 Curve Estimation; 5.6 Exercises; 6. The Heath-Jarrow-Morton (HJM) Model; 6.1 Restatement of Objectives; 6.2 Forward Vasicek Rates; 6.3 Spot Forward Rate Dynamics 6.4 The HJM Condition6.5 Markov Property of Short Rates; 6.6 The Hull-White Model; 6.7 Exercises; 7. The Forward Measure and Derivative Pricing; 7.1 Forward Measure; 7.2 Dynamics under the Forward Measure; 7.3 Derivative Pricing; 7.4 Inverse Change of Measure; 7.5 Exercises; 8. Curve Fitting and a Two-Factor Model; 8.1 Curve Fitting; 8.2 Deterministic Shifts; 8.3 The Correlation Problem; 8.4 Two-Factor Model; 8.5 Exercises; 9. A Credit Default Model; 9.1 Survival Probabilities; 9.2 Stochastic Default; 9.3 Defaultable Bonds; 9.4 Credit Default Swaps; 9.5 Exercises 10. Pricing of Caps and Swaptions on the LIBOR10.1 Pricing of Caplets and Caps; 10.2 Forward Rate Measure and Tenor Structure; 10.3 Swaps and Swaptions; 10.4 The London InterBank Offered Rates (LIBOR) Model; 10.5 Swap Rates on the LIBOR Market; 10.6 Forward Swap Measures; 10.7 Swaption Pricing on the LIBOR Market; 10.8 Exercises; 11. The Brace-Gatarek-Musiela (BGM) Model; 11.1 The BGM Model; 11.2 Cap Pricing; 11.3 Swaption Pricing; 11.4 Calibration of the BGM Model; 11.5 Exercises; 12. Appendix A: Mathematical Tools; Measurability; Covariance and Correlation; Gaussian Random Variables Conditional ExpectationMartingales in Discrete Time; Martingales in Continuous Time; Markov Processes; 13. Appendix B: Some Recent Developments; Infinite dimensional analysis; Extended interest rate models; Exotic and path-dependent options on interest rates; Sensitivity analysis and the Malliavin calculus; Longevity and mortality risk; 14. Solutions to the Exercises; Bibliography; Index; Author Index |
| Record Nr. | UNINA-9910462558603321 |
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Privault Nicolas
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| Hackensack, N.J., : World Scientific, 2012 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
An elementary introduction to stochastic interest rate modeling [[electronic resource] /] / Nicolas Privault
| An elementary introduction to stochastic interest rate modeling [[electronic resource] /] / Nicolas Privault |
| Autore | Privault Nicolas |
| Edizione | [2nd ed.] |
| Pubbl/distr/stampa | Hackensack, N.J., : World Scientific, 2012 |
| Descrizione fisica | 1 online resource (243 p.) |
| Disciplina |
332.8
332.80151922 |
| Collana | Advanced series on statistical science & applied probability |
| Soggetto topico |
Interest rate futures - Mathematical models
Stochastic models |
| ISBN |
1-281-60363-5
9786613784322 981-4390-86-0 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Preface; Contents; 1. A Review of Stochastic Calculus; 1.1 Brownian Motion; 1.2 Stochastic Integration; 1.3 Quadratic Variation; 1.4 Ito's Formula; 1.5 Exercises; 2. A Review of Black-Scholes Pricing and Hedging; 2.1 Call and Put Options; 2.2 Market Model and Portfolio; 2.3 PDE Method; 2.4 The Girsanov Theorem; 2.5 Martingale Method; 2.6 Exercises; 3. Short Term Interest Rate Models; 3.1 Mean-Reverting Models; 3.2 Constant Elasticity of Variance (CEV) Models; 3.3 Time-Dependent Models; 3.4 Exercises; 4. Pricing of Zero-Coupon Bonds; 4.1 Definition and Basic Properties
4.2 Absence of Arbitrage and the Markov Property4.3 Absence of Arbitrage and the Martingale Property; 4.4 PDE Solution: Probabilistic Method; 4.5 PDE Solution: Analytical Method; 4.6 Numerical Simulations; 4.7 Exercises; 5. Forward Rate Modeling; 5.1 Forward Contracts; 5.2 Instantaneous Forward Rate; 5.3 Short Rates; 5.4 Parametrization of Forward Rates; Nelson-Siegel parametrization; Svensson parametrization; 5.5 Curve Estimation; 5.6 Exercises; 6. The Heath-Jarrow-Morton (HJM) Model; 6.1 Restatement of Objectives; 6.2 Forward Vasicek Rates; 6.3 Spot Forward Rate Dynamics 6.4 The HJM Condition6.5 Markov Property of Short Rates; 6.6 The Hull-White Model; 6.7 Exercises; 7. The Forward Measure and Derivative Pricing; 7.1 Forward Measure; 7.2 Dynamics under the Forward Measure; 7.3 Derivative Pricing; 7.4 Inverse Change of Measure; 7.5 Exercises; 8. Curve Fitting and a Two-Factor Model; 8.1 Curve Fitting; 8.2 Deterministic Shifts; 8.3 The Correlation Problem; 8.4 Two-Factor Model; 8.5 Exercises; 9. A Credit Default Model; 9.1 Survival Probabilities; 9.2 Stochastic Default; 9.3 Defaultable Bonds; 9.4 Credit Default Swaps; 9.5 Exercises 10. Pricing of Caps and Swaptions on the LIBOR10.1 Pricing of Caplets and Caps; 10.2 Forward Rate Measure and Tenor Structure; 10.3 Swaps and Swaptions; 10.4 The London InterBank Offered Rates (LIBOR) Model; 10.5 Swap Rates on the LIBOR Market; 10.6 Forward Swap Measures; 10.7 Swaption Pricing on the LIBOR Market; 10.8 Exercises; 11. The Brace-Gatarek-Musiela (BGM) Model; 11.1 The BGM Model; 11.2 Cap Pricing; 11.3 Swaption Pricing; 11.4 Calibration of the BGM Model; 11.5 Exercises; 12. Appendix A: Mathematical Tools; Measurability; Covariance and Correlation; Gaussian Random Variables Conditional ExpectationMartingales in Discrete Time; Martingales in Continuous Time; Markov Processes; 13. Appendix B: Some Recent Developments; Infinite dimensional analysis; Extended interest rate models; Exotic and path-dependent options on interest rates; Sensitivity analysis and the Malliavin calculus; Longevity and mortality risk; 14. Solutions to the Exercises; Bibliography; Index; Author Index |
| Record Nr. | UNINA-9910790318703321 |
|
Privault Nicolas
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||
| Hackensack, N.J., : World Scientific, 2012 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
An elementary introduction to stochastic interest rate modeling [[electronic resource] /] / Nicolas Privault
| An elementary introduction to stochastic interest rate modeling [[electronic resource] /] / Nicolas Privault |
| Autore | Privault Nicolas |
| Edizione | [2nd ed.] |
| Pubbl/distr/stampa | Hackensack, N.J., : World Scientific, 2012 |
| Descrizione fisica | 1 online resource (243 p.) |
| Disciplina |
332.8
332.80151922 |
| Collana | Advanced series on statistical science & applied probability |
| Soggetto topico |
Interest rate futures - Mathematical models
Stochastic models |
| ISBN |
1-281-60363-5
9786613784322 981-4390-86-0 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Preface; Contents; 1. A Review of Stochastic Calculus; 1.1 Brownian Motion; 1.2 Stochastic Integration; 1.3 Quadratic Variation; 1.4 Ito's Formula; 1.5 Exercises; 2. A Review of Black-Scholes Pricing and Hedging; 2.1 Call and Put Options; 2.2 Market Model and Portfolio; 2.3 PDE Method; 2.4 The Girsanov Theorem; 2.5 Martingale Method; 2.6 Exercises; 3. Short Term Interest Rate Models; 3.1 Mean-Reverting Models; 3.2 Constant Elasticity of Variance (CEV) Models; 3.3 Time-Dependent Models; 3.4 Exercises; 4. Pricing of Zero-Coupon Bonds; 4.1 Definition and Basic Properties
4.2 Absence of Arbitrage and the Markov Property4.3 Absence of Arbitrage and the Martingale Property; 4.4 PDE Solution: Probabilistic Method; 4.5 PDE Solution: Analytical Method; 4.6 Numerical Simulations; 4.7 Exercises; 5. Forward Rate Modeling; 5.1 Forward Contracts; 5.2 Instantaneous Forward Rate; 5.3 Short Rates; 5.4 Parametrization of Forward Rates; Nelson-Siegel parametrization; Svensson parametrization; 5.5 Curve Estimation; 5.6 Exercises; 6. The Heath-Jarrow-Morton (HJM) Model; 6.1 Restatement of Objectives; 6.2 Forward Vasicek Rates; 6.3 Spot Forward Rate Dynamics 6.4 The HJM Condition6.5 Markov Property of Short Rates; 6.6 The Hull-White Model; 6.7 Exercises; 7. The Forward Measure and Derivative Pricing; 7.1 Forward Measure; 7.2 Dynamics under the Forward Measure; 7.3 Derivative Pricing; 7.4 Inverse Change of Measure; 7.5 Exercises; 8. Curve Fitting and a Two-Factor Model; 8.1 Curve Fitting; 8.2 Deterministic Shifts; 8.3 The Correlation Problem; 8.4 Two-Factor Model; 8.5 Exercises; 9. A Credit Default Model; 9.1 Survival Probabilities; 9.2 Stochastic Default; 9.3 Defaultable Bonds; 9.4 Credit Default Swaps; 9.5 Exercises 10. Pricing of Caps and Swaptions on the LIBOR10.1 Pricing of Caplets and Caps; 10.2 Forward Rate Measure and Tenor Structure; 10.3 Swaps and Swaptions; 10.4 The London InterBank Offered Rates (LIBOR) Model; 10.5 Swap Rates on the LIBOR Market; 10.6 Forward Swap Measures; 10.7 Swaption Pricing on the LIBOR Market; 10.8 Exercises; 11. The Brace-Gatarek-Musiela (BGM) Model; 11.1 The BGM Model; 11.2 Cap Pricing; 11.3 Swaption Pricing; 11.4 Calibration of the BGM Model; 11.5 Exercises; 12. Appendix A: Mathematical Tools; Measurability; Covariance and Correlation; Gaussian Random Variables Conditional ExpectationMartingales in Discrete Time; Martingales in Continuous Time; Markov Processes; 13. Appendix B: Some Recent Developments; Infinite dimensional analysis; Extended interest rate models; Exotic and path-dependent options on interest rates; Sensitivity analysis and the Malliavin calculus; Longevity and mortality risk; 14. Solutions to the Exercises; Bibliography; Index; Author Index |
| Record Nr. | UNINA-9910821107503321 |
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Privault Nicolas
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| Hackensack, N.J., : World Scientific, 2012 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Gli interessi nei rapporti a funzione creditizia / di Ernesto Simonetto, G. Tantini, E. Maschio
| Gli interessi nei rapporti a funzione creditizia / di Ernesto Simonetto, G. Tantini, E. Maschio |
| Autore | SIMONETTO, Ernesto |
| Pubbl/distr/stampa | Padova : CEDAM, 1981 |
| Descrizione fisica | 220 p. ; 24 cm |
| Disciplina | 332.8 |
| Altri autori (Persone) |
TARANTINI, Giovanni
MASCHIO, Eliana |
| Collana | Pubblicazioni del Centro Studi sulle Società dell'Università di Padova |
| Soggetto topico | Interessi |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | ita |
| Record Nr. | UNISA-990002343390203316 |
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SIMONETTO, Ernesto
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| Padova : CEDAM, 1981 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. di Salerno | ||
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Honorati Leotardi ... Liber singularis de usuris, & contractibus usurariis coercendis: in quo omnes fere quaestiones ad tractatum ejus quod interest & annuorum redituum, pertinentes, non vulgari ratione definitae continentur
| Honorati Leotardi ... Liber singularis de usuris, & contractibus usurariis coercendis: in quo omnes fere quaestiones ad tractatum ejus quod interest & annuorum redituum, pertinentes, non vulgari ratione definitae continentur |
| Autore | Leotardo, Onorato |
| Edizione | [Editio quarta, ab authore, dum viveret, correcta; & variis in locis aucta & ornata. Cui novissime accessit Disputatio ejusdem authoris, sive Novus tractatus, de eo quod jus Justinianeum de usuris statuerit.] |
| Pubbl/distr/stampa | Lugduni : sumptibus Anissoniorum et Joannis Posuel, 1682 |
| Descrizione fisica | [8], 644, [68], 94, [14] p. ; fol. |
| Disciplina | 332.8 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | lat |
| Altri titoli varianti |
Liber singularis de usuris, & contractibus usurariis coercendis: in quo omnes fere quaestiones ad tractatum ejus quod interest & annuorum redituum, pertinentes, non vulgari ratione definitae continentur
Disputatio quid jus justianeum de usuris statuerit |
| Record Nr. | UNINA-990008009190403321 |
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Leotardo, Onorato
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| Lugduni : sumptibus Anissoniorum et Joannis Posuel, 1682 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Il rischio di interesse : fra tradizione e innovazione / Margherita Mori
| Il rischio di interesse : fra tradizione e innovazione / Margherita Mori |
| Autore | MORI, Margherita |
| Pubbl/distr/stampa | Padova : CEDAM, 1992 |
| Descrizione fisica | VIII, 351 p. ; 24 cm |
| Disciplina | 332.8 |
| ISBN | 88-13-17600-7 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | ita |
| Record Nr. | UNISA-990000817150203316 |
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MORI, Margherita
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| Padova : CEDAM, 1992 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. di Salerno | ||
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