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Financial statistics and mathematical finance [[electronic resource] ] : methods, models and applications / / Ansgar Steland
| Financial statistics and mathematical finance [[electronic resource] ] : methods, models and applications / / Ansgar Steland |
| Autore | Steland Ansgar |
| Pubbl/distr/stampa | Chichester, West Sussex ; ; Hoboken, N.J., : Wiley, 2012 |
| Descrizione fisica | 1 online resource (433 pages) |
| Disciplina | 332.01/5195 |
| Soggetto topico |
Business mathematics
Calculus |
| ISBN |
1-280-77256-5
9786613683335 1-118-31654-1 1-118-31644-4 1-118-31658-4 |
| Classificazione | BUS021000 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910141259803321 |
Steland Ansgar
|
||
| Chichester, West Sussex ; ; Hoboken, N.J., : Wiley, 2012 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Financial statistics and mathematical finance : methods, models and applications / / Ansgar Steland
| Financial statistics and mathematical finance : methods, models and applications / / Ansgar Steland |
| Autore | Steland Ansgar |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Chichester, West Sussex ; ; Hoboken, N.J., : Wiley, 2012 |
| Descrizione fisica | 1 online resource (433 pages) |
| Disciplina | 332.01/5195 |
| Soggetto topico |
Business mathematics
Calculus |
| ISBN |
1-280-77256-5
9786613683335 1-118-31654-1 1-118-31644-4 1-118-31658-4 |
| Classificazione | BUS021000 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Financial Statistics and Mathematical Finance: Methods, Models and Applications -- Contents -- Preface -- Acknowledgements -- 1 Elementary financial calculus -- 1.1 Motivating examples -- 1.2 Cashflows, interest rates, prices and returns -- 1.2.1 Bonds and the term structure of interest rates -- 1.2.2 Asset returns -- 1.2.3 Some basic models for asset prices -- 1.3 Elementary statistical analysis of returns -- 1.3.1 Measuring location -- 1.3.2 Measuring dispersion and risk -- 1.3.3 Measuring skewness and kurtosis -- 1.3.4 Estimation of the distribution -- 1.3.5 Testing for normality -- 1.4 Financial instruments -- 1.4.1 Contingent claims -- 1.4.2 Spot contracts and forwards -- 1.4.3 Futures contracts -- 1.4.4 Options -- 1.4.5 Barrier options -- 1.4.6 Financial engineering -- 1.5 A primer on option pricing -- 1.5.1 The no-arbitrage principle -- 1.5.2 Risk-neutral evaluation -- 1.5.3 Hedging and replication -- 1.5.4 Nonexistence of a risk-neutral measure -- 1.5.5 The Black-Scholes pricing formula -- 1.5.6 The Greeks -- 1.5.7 Calibration, implied volatility and the smile -- 1.5.8 Option prices and the risk-neutral density -- 1.6 Notes and further reading -- References -- 2 Arbitrage theory for the one-period model -- 2.1 Definitions and preliminaries -- 2.2 Linear pricing measures -- 2.3 More on arbitrage -- 2.4 Separation theorems in Rn -- 2.5 No-arbitrage and martingale measures -- 2.6 Arbitrage-free pricing of contingent claims -- 2.7 Construction of martingale measures: general case -- 2.8 Complete financial markets -- 2.9 Notes and further reading -- References -- 3 Financial models in discrete time -- 3.1 Adapted stochastic processes in discrete time -- 3.2 Martingales and martingale differences -- 3.2.1 The martingale transformation -- 3.2.2 Stopping times, optional sampling and a maximal inequality -- 3.2.3 Extensions to Rd.
3.3 Stationarity -- 3.3.1 Weak and strict stationarity -- 3.4 Linear processes and ARMA models -- 3.4.1 Linear processes and the lag operator -- 3.4.2 Inversion -- 3.4.3 AR(p) and AR(∞) processes -- 3.4.4 ARMA processes -- 3.5 The frequency domain -- 3.5.1 The spectrum -- 3.5.2 The periodogram -- 3.6 Estimation of ARMA processes -- 3.7 (G)ARCH models -- 3.8 Long-memory series -- 3.8.1 Fractional differences -- 3.8.2 Fractionally integrated processes -- 3.9 Notes and further reading -- References -- 4 Arbitrage theory for the multiperiod model -- 4.1 Definitions and preliminaries -- 4.2 Self-financing trading strategies -- 4.3 No-arbitrage and martingale measures -- 4.4 European claims on arbitrage-free markets -- 4.5 The martingale representation theorem in discrete time -- 4.6 The Cox-Ross-Rubinstein binomial model -- 4.7 The Black-Scholes formula -- 4.8 American options and contingent claims -- 4.8.1 Arbitrage-free pricing and the optimal exercise strategy -- 4.8.2 Pricing american options using binomial trees -- 4.9 Notes and further reading -- References -- 5 Brownian motion and related processes in continuous time -- 5.1 Preliminaries -- 5.2 Brownian motion -- 5.2.1 Definition and basic properties -- 5.2.2 Brownian motion and the central limit theorem -- 5.2.3 Path properties -- 5.2.4 Brownian motion in higher dimensions -- 5.3 Continuity and differentiability -- 5.4 Self-similarity and fractional Brownian motion -- 5.5 Counting processes -- 5.5.1 The poisson process -- 5.5.2 The compound poisson process -- 5.6 Lévy processes -- 5.7 Notes and further reading -- References -- 6 Itô Calculus -- 6.1 Total and quadratic variation -- 6.2 Stochastic Stieltjes integration -- 6.3 The Itô integral -- 6.4 Quadratic covariation -- 6.5 Itô's formula -- 6.6 Itô processes -- 6.7 Diffusion processes and ergodicity. 6.8 Numerical approximations and statistical estimation -- 6.9 Notes and further reading -- References -- 7 The Black-Scholes model -- 7.1 The model and first properties -- 7.2 Girsanov's theorem -- 7.3 Equivalent martingale measure -- 7.4 Arbitrage-free pricing and hedging claims -- 7.5 The delta hedge -- 7.6 Time-dependent volatility -- 7.7 The generalized Black-Scholes model -- 7.8 Notes and further reading -- References -- 8 Limit theory for discrete-time processes -- 8.1 Limit theorems for correlated time series -- 8.2 A regression model for financial time series -- 8.2.1 Least squares estimation -- 8.3 Limit theorems for martingale difference -- 8.4 Asymptotics -- 8.5 Density estimation and nonparametric regression -- 8.5.1 Multivariate density estimation -- 8.5.2 Nonparametric regression -- 8.6 The CLT for linear processes -- 8.7 Mixing processes -- 8.7.1 Mixing coefficients -- 8.7.2 Inequalities -- 8.8 Limit theorems for mixing processes -- 8.9 Notes and further reading -- References -- 9 Special topics -- 9.1 Copulas - and the 2008 financial crisis -- 9.1.1 Copulas -- 9.1.2 The financial crisis -- 9.1.3 Models for credit defaults and CDOs -- 9.2 Local Linear nonparametric regression -- 9.2.1 Applications in finance: estimation of martingale measures and Itô diffusions -- 9.2.2 Method and asymptotics -- 9.3 Change-point detection and monitoring -- 9.3.1 Offline detection -- 9.3.2 Online detection -- 9.4 Unit roots and random walk -- 9.4.1 The OLS estimator in the stationary AR(1) model -- 9.4.2 Nonparametric definitions for the degree of integration -- 9.4.3 The Dickey-Fuller test -- 9.4.4 Detecting unit roots and stationarity -- 9.5 Notes and further reading -- References -- Appendix A -- A.1 (Stochastic) Landau symbols -- A.2 Bochner's lemma -- A.3 Conditional expectation -- A.4 Inequalities -- A.5 Random series. A.6 Local martingales in discrete time -- Appendix B: Weak convergence and central limit theorems -- B.1 Convergence in distribution -- B.2 Weak convergence -- B.3 Prohorov's theorem -- B.4 Sufficient criteria -- B.5 More on Skorohod spaces -- B.6 Central limit theorems for martingale differences -- B.7 Functional central limit theorems -- B.8 Strong approximations -- References -- Index. |
| Record Nr. | UNINA-9910814784503321 |
|
Steland Ansgar
|
||
| Chichester, West Sussex ; ; Hoboken, N.J., : Wiley, 2012 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Generalized vectorization, cross-products, and matrix calculus / / Darrell A. Turkington [[electronic resource]]
| Generalized vectorization, cross-products, and matrix calculus / / Darrell A. Turkington [[electronic resource]] |
| Autore | Turkington Darrell A. |
| Pubbl/distr/stampa | Cambridge : , : Cambridge University Press, , 2013 |
| Descrizione fisica | 1 online resource (xi, 267 pages) : digital, PDF file(s) |
| Disciplina | 515/.63 |
| Soggetto topico |
Matrices
Vector analysis |
| ISBN |
1-139-61118-6
1-107-23793-9 1-139-60936-X 1-139-61304-9 1-139-61676-5 1-139-42440-8 1-139-62606-X 1-283-87069-X 1-139-62234-X |
| Classificazione | BUS021000 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | 1. Mathematical prerequisites -- 2. Zero-one matrices -- 3. Elimination and duplication matrices -- 4. Matrix calculus -- 5. New matrix calculus results -- 6. Applications. |
| Altri titoli varianti | Generalized Vectorization, Cross-Products, & Matrix Calculus |
| Record Nr. | UNINA-9910779439603321 |
|
Turkington Darrell A.
|
||
| Cambridge : , : Cambridge University Press, , 2013 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Generalized vectorization, cross-products, and matrix calculus / / Darrell A. Turkington
| Generalized vectorization, cross-products, and matrix calculus / / Darrell A. Turkington |
| Autore | Turkington Darrell A. |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Cambridge : , : Cambridge University Press, , 2013 |
| Descrizione fisica | 1 online resource (xi, 267 pages) : digital, PDF file(s) |
| Disciplina | 515/.63 |
| Soggetto topico |
Matrices
Vector analysis |
| ISBN |
1-139-61118-6
1-107-23793-9 1-139-60936-X 1-139-61304-9 1-139-61676-5 1-139-42440-8 1-139-62606-X 1-283-87069-X 1-139-62234-X |
| Classificazione | BUS021000 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | 1. Mathematical prerequisites -- 2. Zero-one matrices -- 3. Elimination and duplication matrices -- 4. Matrix calculus -- 5. New matrix calculus results -- 6. Applications. |
| Altri titoli varianti | Generalized Vectorization, Cross-Products, & Matrix Calculus |
| Record Nr. | UNINA-9910824549403321 |
|
Turkington Darrell A.
|
||
| Cambridge : , : Cambridge University Press, , 2013 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
The wellbeing of nations : meaning, motive and measurement / / Paul Allin and David J. Hand
| The wellbeing of nations : meaning, motive and measurement / / Paul Allin and David J. Hand |
| Autore | Allin Paul |
| Pubbl/distr/stampa | Chichester, [England] : , : Wiley, , 2014 |
| Descrizione fisica | 1 online resource (291 pages) : illustrations (some color), tables, charts, graphs |
| Disciplina | 302 |
| Soggetto topico |
Happiness
Well-being Cost and standard of living National income - Accounting |
| ISBN |
1-118-91704-9
1-118-91703-0 |
| Classificazione | BUS021000 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Machine generated contents note: Chapter 1: What is national wellbeing and why measure it? 1.1 Motivation: Why measure wellbeing? 1.2 What is individual wellbeing? 1.3 Aspects of individual wellbeing 1.4 How to measure individual wellbeing 1.4.1 Basics of measurement 1.4.2 What is measured matters 1.5 Properties of measurements 1.5.1 Validity 1.5.2 Reliability 1.6 Objective or subjective? 1.7 Combining multiple aspects 1.8 What is national wellbeing? 1.9 And how to measure national wellbeing 1.10 Structure of the book References Chapter 2: A short history of national wellbeing and its measurement 2.1 The good society and philosophies of the role of government, from ancient times 2.2 Utilitarianism 2.3 The American constitution 2.4 Official statistics - statistics about the state and about the state of society 2.5 National accounts and GDP 2.6 More to life than GDP 2.7 Social indicator movement and measuring quality of life 2.8 Health and wellbeing 2.9 Rise of measurement of psychological wellbeing (life satisfaction, happiness, worthwhile lives) 2.10 The Easterlin paradox 2.11 Taking note of the change in the quality of the goods and services we use 2.12 Capabilities approach to quality of life (Sen) and the Human Development Index 2.13 Social capital and public value 2.14 Limits to growth and sustainable development indicators 2.15 Commentary References Chapter 3: Recent developments: towards economic, social and environmental accounts 3.1 Mis-measuring our lives: the report by the Commission on the Measurement of Economic Performance and Social Progress 3.2 Replacing the Millennium Development Goals 3.3 A new global movement? 3.4 Commentary References Chapter 4: Measuring individual wellbeing 4.1 On quantification 4.2 Single measures of wellbeing 4.3 Combining aspects of wellbeing 4.3.1 Causes, effects, and correlates 4.3.2 Subjective components of wellbeing 4.3.3 Weighted sums 4.4 Components of individual wellbeing 4.5 The frailty of memory 4.6 The devil's in the details 4.7 Conclusion References Chapter 5: Preparing to measure national wellbeing 5.1 Towards a user requirement for measures of national wellbeing and progress 5.2 Towards a framework to measure the progress of societies 5.3 Constructing measures of progress and national wellbeing: identifying and meeting user requirements 5.4 Commentary References Chapter 6. How to measure national wellbeing 6.1 Drawing on the national economic accounts 6.2 Extending the national accounts 6.3 Indicator sets describing social and environmental conditions relating to wellbeing 6.4 Survey-based data on subjective wellbeing 6.5 Developments in measuring national wellbeing and progress around the world 6.6 Important issues in the measurement of national wellbeing References Chapter 7: Wellbeing policy and measurement in the UK Chapter 8: Conclusions 8.1 Progress? 8.2 Measuring wellbeing 8.3 New technologies, new data 8.4 Beyond the economy 8.5 The future References Annex: Sources of methods and measures of wellbeing and progress Index . |
| Record Nr. | UNINA-9910208945803321 |
|
Allin Paul
|
||
| Chichester, [England] : , : Wiley, , 2014 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
The wellbeing of nations : meaning, motive and measurement / / Paul Allin and David J. Hand
| The wellbeing of nations : meaning, motive and measurement / / Paul Allin and David J. Hand |
| Autore | Allin Paul |
| Pubbl/distr/stampa | Chichester, [England] : , : Wiley, , 2014 |
| Descrizione fisica | 1 online resource (291 pages) : illustrations (some color), tables, charts, graphs |
| Disciplina | 302 |
| Soggetto topico |
Happiness
Well-being Cost and standard of living National income - Accounting |
| ISBN |
1-118-91704-9
1-118-91703-0 |
| Classificazione | BUS021000 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Machine generated contents note: Chapter 1: What is national wellbeing and why measure it? 1.1 Motivation: Why measure wellbeing? 1.2 What is individual wellbeing? 1.3 Aspects of individual wellbeing 1.4 How to measure individual wellbeing 1.4.1 Basics of measurement 1.4.2 What is measured matters 1.5 Properties of measurements 1.5.1 Validity 1.5.2 Reliability 1.6 Objective or subjective? 1.7 Combining multiple aspects 1.8 What is national wellbeing? 1.9 And how to measure national wellbeing 1.10 Structure of the book References Chapter 2: A short history of national wellbeing and its measurement 2.1 The good society and philosophies of the role of government, from ancient times 2.2 Utilitarianism 2.3 The American constitution 2.4 Official statistics - statistics about the state and about the state of society 2.5 National accounts and GDP 2.6 More to life than GDP 2.7 Social indicator movement and measuring quality of life 2.8 Health and wellbeing 2.9 Rise of measurement of psychological wellbeing (life satisfaction, happiness, worthwhile lives) 2.10 The Easterlin paradox 2.11 Taking note of the change in the quality of the goods and services we use 2.12 Capabilities approach to quality of life (Sen) and the Human Development Index 2.13 Social capital and public value 2.14 Limits to growth and sustainable development indicators 2.15 Commentary References Chapter 3: Recent developments: towards economic, social and environmental accounts 3.1 Mis-measuring our lives: the report by the Commission on the Measurement of Economic Performance and Social Progress 3.2 Replacing the Millennium Development Goals 3.3 A new global movement? 3.4 Commentary References Chapter 4: Measuring individual wellbeing 4.1 On quantification 4.2 Single measures of wellbeing 4.3 Combining aspects of wellbeing 4.3.1 Causes, effects, and correlates 4.3.2 Subjective components of wellbeing 4.3.3 Weighted sums 4.4 Components of individual wellbeing 4.5 The frailty of memory 4.6 The devil's in the details 4.7 Conclusion References Chapter 5: Preparing to measure national wellbeing 5.1 Towards a user requirement for measures of national wellbeing and progress 5.2 Towards a framework to measure the progress of societies 5.3 Constructing measures of progress and national wellbeing: identifying and meeting user requirements 5.4 Commentary References Chapter 6. How to measure national wellbeing 6.1 Drawing on the national economic accounts 6.2 Extending the national accounts 6.3 Indicator sets describing social and environmental conditions relating to wellbeing 6.4 Survey-based data on subjective wellbeing 6.5 Developments in measuring national wellbeing and progress around the world 6.6 Important issues in the measurement of national wellbeing References Chapter 7: Wellbeing policy and measurement in the UK Chapter 8: Conclusions 8.1 Progress? 8.2 Measuring wellbeing 8.3 New technologies, new data 8.4 Beyond the economy 8.5 The future References Annex: Sources of methods and measures of wellbeing and progress Index . |
| Record Nr. | UNINA-9910827387703321 |
|
Allin Paul
|
||
| Chichester, [England] : , : Wiley, , 2014 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||