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Mathematical methods for finance : tools for asset and risk management / / Sergio M. Focardi, Frank J. Fabozzi, Turan G. Bali
| Mathematical methods for finance : tools for asset and risk management / / Sergio M. Focardi, Frank J. Fabozzi, Turan G. Bali |
| Autore | Focardi Sergio M |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Hoboken, New Jersey : , : John Wiley & Sons, Inc., , [2013] |
| Descrizione fisica | 1 online resource (322 p.) |
| Disciplina | 332.01/5195 |
| Altri autori (Persone) |
FabozziFrank J
BaliTuran G |
| Collana | The Frank J. Fabozzi series |
| Soggetto topico |
Finance - Mathematical models
Asset-liability management - Mathematical models Risk management - Mathematical models |
| ISBN |
1-118-42149-3
1-118-65660-1 1-118-42008-X |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Mathematical Methods for Finance; Contents; Preface; About the Authors; CHAPTER 1 Basic Concepts: Sets, Functions, and Variables; INTRODUCTION; SETS AND SET OPERATIONS; Proper Subsets; Empty Sets; Union of Sets; Intersection of Sets; Elementary Properties of Sets; DISTANCES AND QUANTITIES; n-tuples; Distance; Density of Points; FUNCTIONS; VARIABLES; KEY POINTS; CHAPTER 2 Differential Calculus; INTRODUCTION; LIMITS; CONTINUITY; TOTAL VARIATION; THE NOTION OF DIFFERENTIATION; COMMONLY USED RULES FOR COMPUTING DERIVATIVES; HIGHER-ORDER DERIVATIVES; Application to Bond Analysis
Application of the Chain RuleTAYLOR SERIES EXPANSION; Application to Bond Analysis; CALCULUS IN MORE THAN ONE VARIABLE; KEY POINTS; CHAPTER 3 Integral Calculus; INTRODUCTION; RIEMANN INTEGRALS; Properties of Riemann Integrals; LEBESGUE-STIELTJES INTEGRALS; INDEFINITE AND IMPROPER INTEGRALS; THE FUNDAMENTAL THEOREM OF CALCULUS; INTEGRAL TRANSFORMS; Laplace Transforms; Fourier Transforms; CALCULUS IN MORE THAN ONE VARIABLE; KEY POINTS; CHAPTER 4 Matrix Algebra; INTRODUCTION; VECTORS AND MATRICES DEFINED; Vectors; Matrices; SQUARE MATRICES; Diagonals and Antidiagonals; Identity Matrix Diagonal MatrixUpper and Lower Triangular Matrix; DETERMINANTS; SYSTEMS OF LINEAR EQUATIONS; LINEAR INDEPENDENCE AND RANK; HANKEL MATRIX; VECTOR AND MATRIX OPERATIONS; Vector Operations; Matrix Operations; FINANCE APPLICATION; EIGENVALUES AND EIGENVECTORS; DIAGONALIZATION AND SIMILARITY; SINGULAR VALUE DECOMPOSITION; KEY POINTS; CHAPTER 5 Probability: Basic Concepts; INTRODUCTION; REPRESENTING UNCERTAINTY WITH MATHEMATICS; PROBABILITY IN A NUTSHELL; OUTCOMES AND EVENTS; PROBABILITY; MEASURE; RANDOM VARIABLES; INTEGRALS; DISTRIBUTIONS AND DISTRIBUTION FUNCTIONS; RANDOM VECTORS STOCHASTIC PROCESSESPROBABILISTIC REPRESENTATION OF FINANCIAL MARKETS; INFORMATION STRUCTURES; FILTRATION; KEY POINTS; CHAPTER 6 Probability: Random Variables and Expectations; INTRODUCTION; CONDITIONAL PROBABILITY AND CONDITIONAL EXPECTATION; MOMENTS AND CORRELATION; COPULA FUNCTIONS; SEQUENCES OF RANDOM VARIABLES; INDEPENDENT AND IDENTICALLY DISTRIBUTED SEQUENCES; SUM OF VARIABLES; GAUSSIAN VARIABLES; APPROXIMATING THE TAILS OF A PROBABILITY DISTRIBUTION: CORNISH-FISHER EXPANSION AND HERMITE POLYNOMIALS; Cornish-Fisher Expansion; Hermite Polynomials Cornish-Fisher Expansion with Hermite PolynomialsTHE REGRESSION FUNCTION; Linear Regression; FAT TAILS AND STABLE LAWS; Fat Tails; The Class L of Fat-Tailed Distributions; The Law of Large Numbers and the Central Limit Theorem; Stable Distributions; KEY POINTS; CHAPTER 7 Optimization; INTRODUCTION; MAXIMA AND MINIMA; LAGRANGE MULTIPLIERS; NUMERICAL ALGORITHMS; Linear Programming; Quadratic Programming; CALCULUS OF VARIATIONS AND OPTIMAL CONTROL THEORY; STOCHASTIC PROGRAMMING; APPLICATION TO BOND PORTFOLIO: LIABILITY-FUNDING STRATEGIES; Cash Flow Matching; Portfolio Immunization Scenario Optimization |
| Record Nr. | UNINA-9910139002903321 |
Focardi Sergio M
|
||
| Hoboken, New Jersey : , : John Wiley & Sons, Inc., , [2013] | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Mathematical methods for finance : tools for asset and risk management / / Sergio M. Focardi, Frank J. Fabozzi, Turan G. Bali
| Mathematical methods for finance : tools for asset and risk management / / Sergio M. Focardi, Frank J. Fabozzi, Turan G. Bali |
| Autore | Focardi Sergio M |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Hoboken, New Jersey : , : John Wiley & Sons, Inc., , [2013] |
| Descrizione fisica | 1 online resource (322 p.) |
| Disciplina | 332.01/5195 |
| Altri autori (Persone) |
FabozziFrank J
BaliTuran G |
| Collana | The Frank J. Fabozzi series |
| Soggetto topico |
Finance - Mathematical models
Asset-liability management - Mathematical models Risk management - Mathematical models |
| ISBN |
1-118-42149-3
1-118-65660-1 1-118-42008-X |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Mathematical Methods for Finance; Contents; Preface; About the Authors; CHAPTER 1 Basic Concepts: Sets, Functions, and Variables; INTRODUCTION; SETS AND SET OPERATIONS; Proper Subsets; Empty Sets; Union of Sets; Intersection of Sets; Elementary Properties of Sets; DISTANCES AND QUANTITIES; n-tuples; Distance; Density of Points; FUNCTIONS; VARIABLES; KEY POINTS; CHAPTER 2 Differential Calculus; INTRODUCTION; LIMITS; CONTINUITY; TOTAL VARIATION; THE NOTION OF DIFFERENTIATION; COMMONLY USED RULES FOR COMPUTING DERIVATIVES; HIGHER-ORDER DERIVATIVES; Application to Bond Analysis
Application of the Chain RuleTAYLOR SERIES EXPANSION; Application to Bond Analysis; CALCULUS IN MORE THAN ONE VARIABLE; KEY POINTS; CHAPTER 3 Integral Calculus; INTRODUCTION; RIEMANN INTEGRALS; Properties of Riemann Integrals; LEBESGUE-STIELTJES INTEGRALS; INDEFINITE AND IMPROPER INTEGRALS; THE FUNDAMENTAL THEOREM OF CALCULUS; INTEGRAL TRANSFORMS; Laplace Transforms; Fourier Transforms; CALCULUS IN MORE THAN ONE VARIABLE; KEY POINTS; CHAPTER 4 Matrix Algebra; INTRODUCTION; VECTORS AND MATRICES DEFINED; Vectors; Matrices; SQUARE MATRICES; Diagonals and Antidiagonals; Identity Matrix Diagonal MatrixUpper and Lower Triangular Matrix; DETERMINANTS; SYSTEMS OF LINEAR EQUATIONS; LINEAR INDEPENDENCE AND RANK; HANKEL MATRIX; VECTOR AND MATRIX OPERATIONS; Vector Operations; Matrix Operations; FINANCE APPLICATION; EIGENVALUES AND EIGENVECTORS; DIAGONALIZATION AND SIMILARITY; SINGULAR VALUE DECOMPOSITION; KEY POINTS; CHAPTER 5 Probability: Basic Concepts; INTRODUCTION; REPRESENTING UNCERTAINTY WITH MATHEMATICS; PROBABILITY IN A NUTSHELL; OUTCOMES AND EVENTS; PROBABILITY; MEASURE; RANDOM VARIABLES; INTEGRALS; DISTRIBUTIONS AND DISTRIBUTION FUNCTIONS; RANDOM VECTORS STOCHASTIC PROCESSESPROBABILISTIC REPRESENTATION OF FINANCIAL MARKETS; INFORMATION STRUCTURES; FILTRATION; KEY POINTS; CHAPTER 6 Probability: Random Variables and Expectations; INTRODUCTION; CONDITIONAL PROBABILITY AND CONDITIONAL EXPECTATION; MOMENTS AND CORRELATION; COPULA FUNCTIONS; SEQUENCES OF RANDOM VARIABLES; INDEPENDENT AND IDENTICALLY DISTRIBUTED SEQUENCES; SUM OF VARIABLES; GAUSSIAN VARIABLES; APPROXIMATING THE TAILS OF A PROBABILITY DISTRIBUTION: CORNISH-FISHER EXPANSION AND HERMITE POLYNOMIALS; Cornish-Fisher Expansion; Hermite Polynomials Cornish-Fisher Expansion with Hermite PolynomialsTHE REGRESSION FUNCTION; Linear Regression; FAT TAILS AND STABLE LAWS; Fat Tails; The Class L of Fat-Tailed Distributions; The Law of Large Numbers and the Central Limit Theorem; Stable Distributions; KEY POINTS; CHAPTER 7 Optimization; INTRODUCTION; MAXIMA AND MINIMA; LAGRANGE MULTIPLIERS; NUMERICAL ALGORITHMS; Linear Programming; Quadratic Programming; CALCULUS OF VARIATIONS AND OPTIMAL CONTROL THEORY; STOCHASTIC PROGRAMMING; APPLICATION TO BOND PORTFOLIO: LIABILITY-FUNDING STRATEGIES; Cash Flow Matching; Portfolio Immunization Scenario Optimization |
| Record Nr. | UNINA-9910827041603321 |
|
Focardi Sergio M
|
||
| Hoboken, New Jersey : , : John Wiley & Sons, Inc., , [2013] | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Strategic asset allocation in fixed-income markets [[electronic resource] ] : a MATLAB-based user's guide / / Ken Nyholm
| Strategic asset allocation in fixed-income markets [[electronic resource] ] : a MATLAB-based user's guide / / Ken Nyholm |
| Autore | Nyholm Ken |
| Pubbl/distr/stampa | Hoboken, NJ ; ; Chichester, West Sussex, : Wiley, c2008 |
| Descrizione fisica | 1 online resource (187 p.) |
| Disciplina |
332.60113
332.63/2044 332.632044 |
| Collana | The Wiley Finance Series |
| Soggetto topico |
Asset allocation - Mathematical models
Asset-liability management - Mathematical models |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-119-20704-5
1-281-93955-2 9786611939557 0-470-72107-3 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Strategic Asset Allocation in Fixed-Income Markets; Contents; List of Figures; Preface and Disclaimer; Acknowledgements; 1 Introduction; 1.1 Strategic asset allocation; 1.2 Outline of the book; 2 Essential Elements of MATLAB; 2.1 Introduction; 2.2 Getting started; 2.3 Introductory matrix algebra; 2.4 Organising data; 2.5 Creating functions; 2.6 Linear regression; 2.7 Some estimation examples; 2.8 A brief introduction to simulations; 3 Fixed-Income Preliminaries; 3.1 Introduction; 3.2 Spot rates and yields; 3.3 Forward rates; 3.4 Bond pricing functions; 4 Risk and Return Measures
4.1 Introduction4.2 Risk measures; 4.3 Fixed-income returns; 5 Term Structure Models; 5.1 Introduction; 5.2 Not necessarily arbitrage-free models; 5.3 Arbitrage-free models; 6 Asset Allocation; 6.1 Introduction; 6.2 Efficient portfolios; 6.3 Diversification; 6.4 The minimum variance portfolio; 6.5 Asset weight constraints; 6.6 The Capital Asset Pricing Model; 7 Statistical Tools; 7.1 Introduction; 7.2 Vector autoregression; 7.3 Regime-switching models; 7.4 Yield curve models in state-space form; 7.5 Importance sampling; 8 Building Graphical User Interfaces; 8.1 Introduction 8.2 The 'guide' development environment8.3 Creating a simple GUI; 9 Useful Formulae and Expressions; 9.1 Introduction; 9.2 Matrix operations; 9.3 Decompositions; 9.4 Basic rules; 9.5 Distributions; 9.6 Functions; 9.7 Taylor series approximation; 9.8 Interest rates, returns and portfolio statistics; Bibliography; Index |
| Record Nr. | UNINA-9910144117103321 |
|
Nyholm Ken
|
||
| Hoboken, NJ ; ; Chichester, West Sussex, : Wiley, c2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Strategic asset allocation in fixed-income markets [[electronic resource] ] : a MATLAB-based user's guide / / Ken Nyholm
| Strategic asset allocation in fixed-income markets [[electronic resource] ] : a MATLAB-based user's guide / / Ken Nyholm |
| Autore | Nyholm Ken |
| Pubbl/distr/stampa | Hoboken, NJ ; ; Chichester, West Sussex, : Wiley, c2008 |
| Descrizione fisica | 1 online resource (187 p.) |
| Disciplina |
332.60113
332.63/2044 332.632044 |
| Collana | The Wiley Finance Series |
| Soggetto topico |
Asset allocation - Mathematical models
Asset-liability management - Mathematical models |
| ISBN |
1-119-20704-5
1-281-93955-2 9786611939557 0-470-72107-3 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Strategic Asset Allocation in Fixed-Income Markets; Contents; List of Figures; Preface and Disclaimer; Acknowledgements; 1 Introduction; 1.1 Strategic asset allocation; 1.2 Outline of the book; 2 Essential Elements of MATLAB; 2.1 Introduction; 2.2 Getting started; 2.3 Introductory matrix algebra; 2.4 Organising data; 2.5 Creating functions; 2.6 Linear regression; 2.7 Some estimation examples; 2.8 A brief introduction to simulations; 3 Fixed-Income Preliminaries; 3.1 Introduction; 3.2 Spot rates and yields; 3.3 Forward rates; 3.4 Bond pricing functions; 4 Risk and Return Measures
4.1 Introduction4.2 Risk measures; 4.3 Fixed-income returns; 5 Term Structure Models; 5.1 Introduction; 5.2 Not necessarily arbitrage-free models; 5.3 Arbitrage-free models; 6 Asset Allocation; 6.1 Introduction; 6.2 Efficient portfolios; 6.3 Diversification; 6.4 The minimum variance portfolio; 6.5 Asset weight constraints; 6.6 The Capital Asset Pricing Model; 7 Statistical Tools; 7.1 Introduction; 7.2 Vector autoregression; 7.3 Regime-switching models; 7.4 Yield curve models in state-space form; 7.5 Importance sampling; 8 Building Graphical User Interfaces; 8.1 Introduction 8.2 The 'guide' development environment8.3 Creating a simple GUI; 9 Useful Formulae and Expressions; 9.1 Introduction; 9.2 Matrix operations; 9.3 Decompositions; 9.4 Basic rules; 9.5 Distributions; 9.6 Functions; 9.7 Taylor series approximation; 9.8 Interest rates, returns and portfolio statistics; Bibliography; Index |
| Record Nr. | UNINA-9910831187503321 |
|
Nyholm Ken
|
||
| Hoboken, NJ ; ; Chichester, West Sussex, : Wiley, c2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Strategic asset allocation in fixed-income markets [[electronic resource] ] : a MATLAB-based user's guide / / Ken Nyholm
| Strategic asset allocation in fixed-income markets [[electronic resource] ] : a MATLAB-based user's guide / / Ken Nyholm |
| Autore | Nyholm Ken |
| Pubbl/distr/stampa | Hoboken, NJ ; ; Chichester, West Sussex, : Wiley, c2008 |
| Descrizione fisica | 1 online resource (187 p.) |
| Disciplina |
332.60113
332.63/2044 332.632044 |
| Collana | The Wiley Finance Series |
| Soggetto topico |
Asset allocation - Mathematical models
Asset-liability management - Mathematical models |
| ISBN |
1-119-20704-5
1-281-93955-2 9786611939557 0-470-72107-3 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Strategic Asset Allocation in Fixed-Income Markets; Contents; List of Figures; Preface and Disclaimer; Acknowledgements; 1 Introduction; 1.1 Strategic asset allocation; 1.2 Outline of the book; 2 Essential Elements of MATLAB; 2.1 Introduction; 2.2 Getting started; 2.3 Introductory matrix algebra; 2.4 Organising data; 2.5 Creating functions; 2.6 Linear regression; 2.7 Some estimation examples; 2.8 A brief introduction to simulations; 3 Fixed-Income Preliminaries; 3.1 Introduction; 3.2 Spot rates and yields; 3.3 Forward rates; 3.4 Bond pricing functions; 4 Risk and Return Measures
4.1 Introduction4.2 Risk measures; 4.3 Fixed-income returns; 5 Term Structure Models; 5.1 Introduction; 5.2 Not necessarily arbitrage-free models; 5.3 Arbitrage-free models; 6 Asset Allocation; 6.1 Introduction; 6.2 Efficient portfolios; 6.3 Diversification; 6.4 The minimum variance portfolio; 6.5 Asset weight constraints; 6.6 The Capital Asset Pricing Model; 7 Statistical Tools; 7.1 Introduction; 7.2 Vector autoregression; 7.3 Regime-switching models; 7.4 Yield curve models in state-space form; 7.5 Importance sampling; 8 Building Graphical User Interfaces; 8.1 Introduction 8.2 The 'guide' development environment8.3 Creating a simple GUI; 9 Useful Formulae and Expressions; 9.1 Introduction; 9.2 Matrix operations; 9.3 Decompositions; 9.4 Basic rules; 9.5 Distributions; 9.6 Functions; 9.7 Taylor series approximation; 9.8 Interest rates, returns and portfolio statistics; Bibliography; Index |
| Record Nr. | UNINA-9910841477003321 |
|
Nyholm Ken
|
||
| Hoboken, NJ ; ; Chichester, West Sussex, : Wiley, c2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
