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An engine, not a camera [[electronic resource] ] : how financial models shape markets / / Donald MacKenzie
| An engine, not a camera [[electronic resource] ] : how financial models shape markets / / Donald MacKenzie |
| Autore | MacKenzie Donald A |
| Pubbl/distr/stampa | Cambridge, Mass., : MIT Press, c2006 |
| Descrizione fisica | 1 online resource (392 p.) |
| Disciplina | 332/.01/5195 |
| Collana | Inside technology |
| Soggetto topico |
Capital market - Mathematical models
Derivative securities - Mathematical models Financial crises - Mathematical models Financial crises |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-282-09767-9
9786612097676 0-262-27880-4 1-4237-7448-5 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Acknowledgements; 1 Performing Theory?; 2 Transforming Finance; 3 Theory and Practice; 4 Tests, Anomalies, and Monsters; 5 Pricing Options; 6 Pits, Bodies, and Theorems; 7 The Fall; 8 Arbitrage; 9 Models and Markets; Appendix A An Example of Modigliani and Miller's "Arbitrage Proof" of the Irrelevance of Capital Structure to Total Market Value; Appendix B Lévy Distributions; Appendix C Sprenkle's and Kassouf's Equations for Warrant Prices; Appendix D The Black-Scholes Equation for a European Option on a Non- Dividend-Bearing Stock; Appendix E Pricing Options in a Binomial World
Appendix F Repo, Haircuts, and Reverse RepoAppendix G A Typical Swap-Spread Arbitrage Trade; Appendix H List of Interviewees; Glossary; Notes; Sources of Unpublished Documents; References; Series List; Index |
| Record Nr. | UNINA-9910452254503321 |
MacKenzie Donald A
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| Cambridge, Mass., : MIT Press, c2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
An engine, not a camera : how financial models shape markets / / Donald MacKenzie
| An engine, not a camera : how financial models shape markets / / Donald MacKenzie |
| Autore | MacKenzie Donald A |
| Pubbl/distr/stampa | Cambridge, Mass., : MIT Press, ©2006 |
| Descrizione fisica | 1 online resource (392 p.) |
| Disciplina | 332/.01/5195 |
| Collana | Inside technology |
| Soggetto topico |
Capital market - Mathematical models
Derivative securities - Mathematical models Financial crises - Mathematical models Financial crises |
| Soggetto non controllato |
SCIENCE, TECHNOLOGY & SOCIETY/General
ECONOMICS/Finance ECONOMICS/General |
| ISBN |
0-262-25004-7
1-282-09767-9 9786612097676 0-262-27880-4 1-4237-7448-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Acknowledgements; 1 Performing Theory?; 2 Transforming Finance; 3 Theory and Practice; 4 Tests, Anomalies, and Monsters; 5 Pricing Options; 6 Pits, Bodies, and Theorems; 7 The Fall; 8 Arbitrage; 9 Models and Markets; Appendix A An Example of Modigliani and Miller's "Arbitrage Proof" of the Irrelevance of Capital Structure to Total Market Value; Appendix B Lévy Distributions; Appendix C Sprenkle's and Kassouf's Equations for Warrant Prices; Appendix D The Black-Scholes Equation for a European Option on a Non- Dividend-Bearing Stock; Appendix E Pricing Options in a Binomial World
Appendix F Repo, Haircuts, and Reverse RepoAppendix G A Typical Swap-Spread Arbitrage Trade; Appendix H List of Interviewees; Glossary; Notes; Sources of Unpublished Documents; References; Series List; Index |
| Record Nr. | UNINA-9910777513803321 |
|
MacKenzie Donald A
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||
| Cambridge, Mass., : MIT Press, ©2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
An engine, not a camera : how financial models shape markets / / Donald MacKenzie
| An engine, not a camera : how financial models shape markets / / Donald MacKenzie |
| Autore | MacKenzie Donald A |
| Pubbl/distr/stampa | Cambridge, Mass., : MIT Press, ©2006 |
| Descrizione fisica | 1 online resource (392 p.) |
| Disciplina | 332/.01/5195 |
| Collana | Inside technology |
| Soggetto topico |
Capital market - Mathematical models
Derivative securities - Mathematical models Financial crises - Mathematical models Financial crises |
| Soggetto non controllato |
SCIENCE, TECHNOLOGY & SOCIETY/General
ECONOMICS/Finance ECONOMICS/General |
| ISBN |
0-262-25004-7
1-282-09767-9 9786612097676 0-262-27880-4 1-4237-7448-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Acknowledgements; 1 Performing Theory?; 2 Transforming Finance; 3 Theory and Practice; 4 Tests, Anomalies, and Monsters; 5 Pricing Options; 6 Pits, Bodies, and Theorems; 7 The Fall; 8 Arbitrage; 9 Models and Markets; Appendix A An Example of Modigliani and Miller's "Arbitrage Proof" of the Irrelevance of Capital Structure to Total Market Value; Appendix B Lévy Distributions; Appendix C Sprenkle's and Kassouf's Equations for Warrant Prices; Appendix D The Black-Scholes Equation for a European Option on a Non- Dividend-Bearing Stock; Appendix E Pricing Options in a Binomial World
Appendix F Repo, Haircuts, and Reverse RepoAppendix G A Typical Swap-Spread Arbitrage Trade; Appendix H List of Interviewees; Glossary; Notes; Sources of Unpublished Documents; References; Series List; Index |
| Record Nr. | UNINA-9910824850303321 |
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MacKenzie Donald A
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| Cambridge, Mass., : MIT Press, ©2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Essential mathematics for market risk management / / Simon Hubbert
| Essential mathematics for market risk management / / Simon Hubbert |
| Autore | Hubbert Simon |
| Edizione | [2nd ed.] |
| Pubbl/distr/stampa | Hoboken, N.J., : Wiley, 2012 |
| Descrizione fisica | 1 online resource (354 p.) |
| Disciplina | 658.15/50151 |
| Collana | Wiley finance |
| Soggetto topico |
Risk management - Mathematical models
Capital market - Mathematical models |
| ISBN |
1-283-40482-6
9786613404824 1-118-37236-0 1-118-46721-3 1-119-95301-4 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Essential Mathematics for Market Risk Management; Contents; Preface; 1 Introduction; 1.1 Basic Challenges in Risk Management; 1.2 Value at Risk; 1.3 Further Challenges in Risk Management; 2 Applied Linear Algebra for Risk Managers; 2.1 Vectors and Matrices; 2.2 Matrix Algebra in Practice; 2.3 Eigenvectors and Eigenvalues; 2.4 Positive Definite Matrices; 3 Probability Theory for Risk Managers; 3.1 Univariate Theory; 3.1.1 Random variables; 3.1.2 Expectation; 3.1.3 Variance; 3.2 Multivariate Theory; 3.2.1 The joint distribution function; 3.2.2 The joint and marginal density functions
3.2.3 The notion of independence 3.2.4 The notion of conditional dependence; 3.2.5 Covariance and correlation; 3.2.6 The mean vector and covariance matrix; 3.2.7 Linear combinations of random variables; 3.3 The Normal Distribution; 4 Optimization Tools; 4.1 Background Calculus; 4.1.1 Single-variable functions; 4.1.2 Multivariable functions; 4.2 Optimizing Functions; 4.2.1 Unconstrained quadratic functions; 4.2.2 Constrained quadratic functions; 4.3 Over-determined Linear Systems; 4.4 Linear Regression; 5 Portfolio Theory I; 5.1 Measuring Returns 5.1.1 A comparison of the standard and log returns 5.2 Setting Up the Optimal Portfolio Problem; 5.3 Solving the Optimal Portfolio Problem; 6 Portfolio Theory II; 6.1 The Two-Fund Investment Service; 6.2 A Mathematical Investigation of the Optimal Frontier; 6.2.1 The minimum variance portfolio; 6.2.2 Covariance of frontier portfolios; 6.2.3 Correlation with the minimum variance portfolio; 6.2.4 The zero-covariance portfolio; 6.3 A Geometrical Investigation of the Optimal Frontier; 6.3.1 Equation of a tangent to an efficient portfolio; 6.3.2 Locating the zero-covariance portfolio 6.4 A Further Investigation of Covariance 6.5 The Optimal Portfolio Problem Revisited; 7 The Capital Asset Pricing Model (CAPM); 7.1 Connecting the Portfolio Frontiers; 7.2 The Tangent Portfolio; 7.2.1 The market's supply of risky assets; 7.3 The CAPM; 7.4 Applications of CAPM; 7.4.1 Decomposing risk; 8 Risk Factor Modelling; 8.1 General Factor Modelling; 8.2 Theoretical Properties of the Factor Model; 8.3 Models Based on Principal Component Analysis (PCA); 8.3.1 PCA in two dimensions; 8.3.2 PCA in higher dimensions; 9 The Value at Risk Concept; 9.1 A Framework for Value at Risk 9.1.1 A motivating example 9.1.2 Defining value at risk; 9.2 Investigating Value at Risk; 9.2.1 The suitability of value at risk to capital allocation; 9.3 Tail Value at Risk; 9.4 Spectral Risk Measures; 10 Value at Risk under a Normal Distribution; 10.1 Calculation of Value at Risk; 10.2 Calculation of Marginal Value at Risk; 10.3 Calculation of Tail Value at Risk; 10.4 Sub-additivity of Normal Value at Risk; 11 Advanced Probability Theory for Risk Managers; 11.1 Moments of a Random Variable; 11.2 The Characteristic Function; 11.2.1 Dealing with the sum of several random variables 11.2.2 Dealing with a scaling of a random variable |
| Record Nr. | UNINA-9910141227803321 |
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Hubbert Simon
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| Hoboken, N.J., : Wiley, 2012 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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The mathematics of finance : modeling and hedging / Victor Goodman, Joseph Stampfli
| The mathematics of finance : modeling and hedging / Victor Goodman, Joseph Stampfli |
| Autore | Goodman, Victor |
| Pubbl/distr/stampa | Australia ; Pacific Grove, CA : Brooks/Cole, c2001 |
| Descrizione fisica | xiv, 250 p. ; 24 cm |
| Disciplina | 332.015195 |
| Altri autori (Persone) | Stampfli, Joseph G. |
| Collana | Pure and applied undergraduate texts ; 7 |
| Soggetto topico |
Capital market - Mathematical models
Hedging (Finance) |
| ISBN | 9780821847930 |
| Classificazione |
AMS 91B
AMS 60H10 AMS 60H30 LC HG4523.G66 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNISALENTO-991000589619707536 |
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Goodman, Victor
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| Australia ; Pacific Grove, CA : Brooks/Cole, c2001 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. del Salento | ||
| ||
Principles of financial economics / / Stephen F. LeRoy, Jan Werner ; foreword by Stephen A. Ross [[electronic resource]]
| Principles of financial economics / / Stephen F. LeRoy, Jan Werner ; foreword by Stephen A. Ross [[electronic resource]] |
| Autore | LeRoy Stephen F. |
| Pubbl/distr/stampa | Cambridge : , : Cambridge University Press, , 2001 |
| Descrizione fisica | 1 online resource (xx, 280 pages) : digital, PDF file(s) |
| Disciplina | 332 |
| Soggetto topico |
Investments - Mathematical models
Finance - Mathematical models Economics - Mathematical models Securities - Prices - Mathematical models Capital market - Mathematical models |
| ISBN |
1-107-12737-8
1-280-15995-2 0-511-75378-0 1-139-14671-8 0-511-11667-5 0-511-06581-7 0-511-05950-7 0-511-55588-1 0-511-06794-1 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Cover; Half-title; Title; Copyright; Contents; Foreword; Preface; Bibliography; 1 Equilibrium in Security Markets; 2 Linear Pricing; 3 Arbitrage and Positive Pricing; 4 Portfolio Restrictions; 5 Valuation; 6 State Prices and Risk-Neutral Probabilities; 7 Valuation under Portfolio Restrictions; 8 Expected Utility; 9 Risk Aversion; 10 Risk; 11 Optimal Portfolios with One Risky Security; 12 Comparative Statics of Optimal Portfolios; 13 Optimal Portfolios with Several Risky Securities; 14 Consumption-Based Security Pricing; 15 Complete Markets and Pareto-Optimal Allocations of Risk
16 Optimality in Incomplete Security Markets 17 The Expectations and Pricing Kernels; 18 The Mean-Variance Frontier Payoffs; 19 Capital Asset Pricing Model; 20 Factor Pricing; 21 Equilibrium in Multidate Security Markets; 22 Multidate Arbitrage and Positivity; 23 Dynamically Complete Markets; 24 Valuation; 25 Event Prices, Risk-Neutral Probabilities, and the Pricing Kernel; 26 Security Gains as Martingales; 27 Conditional Consumption-Based Security Pricing; 28 Conditional Beta Pricing and the CAPM; Index |
| Record Nr. | UNINA-9910450390303321 |
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LeRoy Stephen F.
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| Cambridge : , : Cambridge University Press, , 2001 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Stochastic volatility [[electronic resource] ] : selected readings / / edited by Neil Shephard
| Stochastic volatility [[electronic resource] ] : selected readings / / edited by Neil Shephard |
| Pubbl/distr/stampa | Oxford ; ; New York, : Oxford University Press, c2005 |
| Descrizione fisica | 1 online resource (534 p.) |
| Disciplina | 519.2/3 |
| Altri autori (Persone) | ShephardNeil |
| Collana | Advanced texts in econometrics |
| Soggetto topico |
Stochastic processes
Finance - Mathematical models Money market - Mathematical models Capital market - Mathematical models |
| Soggetto genere / forma | Electronic books. |
| ISBN |
0-19-153142-1
1-280-84576-7 1-4294-6936-6 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | pt. 1. Model building -- pt. 2. Inference -- pt. 3. Option pricing -- pt. 4. Realised variation. |
| Record Nr. | UNINA-9910452311203321 |
| Oxford ; ; New York, : Oxford University Press, c2005 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Stochastic volatility : selected readings / edited by Neil Shephard
| Stochastic volatility : selected readings / edited by Neil Shephard |
| Pubbl/distr/stampa | Oxford ; New York : Oxford University Press, c2005 |
| Descrizione fisica | viii, 525 p. : ill. ; 25 cm |
| Disciplina | 519.23 |
| Altri autori (Persone) | Shephard, Neil |
| Collana | Advanced texts in econometrics |
| Soggetto topico |
Stochastic processes
Finance - Mathematical models Money market - Mathematical models Capital market - Mathematical models |
| ISBN | 0199257205 (pbk) |
| Classificazione |
AMS 91-06
AMS 91B28 AMS 91B70 AMS 60-06 AMS 62-06 LC QA274.S824 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNISALENTO-991001383579707536 |
| Oxford ; New York : Oxford University Press, c2005 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. del Salento | ||
| ||
Stochastic volatility [[electronic resource] ] : selected readings / / edited by Neil Shephard
| Stochastic volatility [[electronic resource] ] : selected readings / / edited by Neil Shephard |
| Pubbl/distr/stampa | Oxford ; ; New York, : Oxford University Press, c2005 |
| Descrizione fisica | 1 online resource (534 p.) |
| Disciplina | 519.2/3 |
| Altri autori (Persone) | ShephardNeil |
| Collana | Advanced texts in econometrics |
| Soggetto topico |
Stochastic processes
Finance - Mathematical models Money market - Mathematical models Capital market - Mathematical models |
| ISBN |
1-383-03979-8
0-19-153142-1 1-280-84576-7 1-4294-6936-6 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | pt. 1. Model building -- pt. 2. Inference -- pt. 3. Option pricing -- pt. 4. Realised variation. |
| Record Nr. | UNINA-9910777763703321 |
| Oxford ; ; New York, : Oxford University Press, c2005 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Stochastic volatility [[electronic resource] ] : selected readings / / edited by Neil Shephard
| Stochastic volatility [[electronic resource] ] : selected readings / / edited by Neil Shephard |
| Pubbl/distr/stampa | Oxford ; ; New York, : Oxford University Press, c2005 |
| Descrizione fisica | 1 online resource (534 p.) |
| Disciplina | 519.2/3 |
| Altri autori (Persone) | ShephardNeil |
| Collana | Advanced texts in econometrics |
| Soggetto topico |
Stochastic processes
Finance - Mathematical models Money market - Mathematical models Capital market - Mathematical models |
| ISBN |
1-383-03979-8
0-19-153142-1 1-280-84576-7 1-4294-6936-6 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | pt. 1. Model building -- pt. 2. Inference -- pt. 3. Option pricing -- pt. 4. Realised variation. |
| Record Nr. | UNINA-9910828496103321 |
| Oxford ; ; New York, : Oxford University Press, c2005 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
