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Actuarial Sciences and Quantitative Finance : ICASQF2016, Cartagena, Colombia, June 2016 / / edited by Jaime A. Londoño, José Garrido, Monique Jeanblanc
| Actuarial Sciences and Quantitative Finance : ICASQF2016, Cartagena, Colombia, June 2016 / / edited by Jaime A. Londoño, José Garrido, Monique Jeanblanc |
| Edizione | [1st ed. 2017.] |
| Pubbl/distr/stampa | Cham : , : Springer International Publishing : , : Imprint : Springer, , 2017 |
| Descrizione fisica | 1 online resource (IX, 174 p. 50 illus., 42 illus. in color.) |
| Disciplina | 368.01 |
| Collana | Springer Proceedings in Mathematics & Statistics |
| Soggetto topico |
Actuarial science
Economics, Mathematical Statistics Actuarial Sciences Quantitative Finance Statistics for Business, Management, Economics, Finance, Insurance |
| ISBN | 3-319-66536-7 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Part I: Actuarial Sciences -- Robust paradigm applied to parameter reduction in actuarial triangle models -- Unlocking reserve assumptions using retrospective analysis -- Spatial Statistical tools to assess mortality differences in Europe -- Stochastic control for insurance: Models, Strategies and Numerics -- Stochastic control for insurance: new problems and methods -- Part II: Quantitative Finance -- Bermudan option valuation under state-department models -- Option-Implied Objective Measures of Market Risk with Leverage -- The Sustainable Black-Scholes Equations -- Author Index. |
| Record Nr. | UNINA-9910254289303321 |
| Cham : , : Springer International Publishing : , : Imprint : Springer, , 2017 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Actuarial sciences and quantitative finance : ICASQF, Bogotá, Colombia, June 2014 / / Jaime A. Londoño, José Garrido, Daniel Hernández-Hernández, editors
| Actuarial sciences and quantitative finance : ICASQF, Bogotá, Colombia, June 2014 / / Jaime A. Londoño, José Garrido, Daniel Hernández-Hernández, editors |
| Pubbl/distr/stampa | Cham : , : Springer, , [2015] |
| Descrizione fisica | 1 online resource (xi, 98 pages) : illustrations (some color) |
| Disciplina | 368.01 |
| Collana | Springer Proceedings in Mathematics & Statistics |
| Soggetto topico |
Actuarial science
Economics, Mathematical Insurance - Mathematics Actuarial Sciences Quantitative Finance Statistics for Business, Management, Economics, Finance, Insurance |
| ISBN |
3-319-18239-0
9783319182391 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Modeling Electricity Spot Price Dynamics by Using Levy-Type Cox Processes: An Application to the Colombian Market -- Using Value-at-Risk (VaR) to Measure Market Risk of the Equity Inventory of a Market Maker.- Reverse mortgage schemes financing urban dynamics using the multiple decrement approach -- Speedup of Calibration and Pricing with SABR models: from equities to interest rates derivatives -- Bergman, Piterbarg and Beyond: Pricing Derivatives under Collateralization and Differential Rates. |
| Altri titoli varianti | ICASQF |
| Record Nr. | UNINA-9910299771403321 |
| Cham : , : Springer, , [2015] | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Advanced econometric theory / / John S. Chipman
| Advanced econometric theory / / John S. Chipman |
| Autore | Chipman John Somerset <1926-, > |
| Pubbl/distr/stampa | Abingdon, Oxon : , : Routledge, , 2011 |
| Descrizione fisica | 1 online resource (409 p.) |
| Disciplina | 330.015195 |
| Collana | Routledge advanced texts in economics and finance |
| Soggetto topico |
Econometrics
Economics, Mathematical |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-283-60655-0
9786613919007 1-134-34045-1 0-203-18075-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Advanced Econometric Theory; Copyright; Contents; List of figures and tables; Preface; 1 Multivariate analysis and the linear regression model; 1.1 Introduction; 1.2 Existence of a solution to the normal equation; 1.3 The concept of wide-sense conditional expectation; 1.4 Conditional expectation with normal variables; 1.5 The relation between wide-sense and strict-sense conditional expectation; 1.6 Conditional means and minimum mean-square error; 1.7 Bayes estimation; 1.8 The relation between Bayes and Gauss-Markov estimation in the case of a single independent variable; 1.9 Exercises
2 Least-squares and Gauss-Markov theory2.1 Least-squares theory; 2.2 Principles of estimation; 2.3 The concept of a generalized inverse of a matrix; 2.4 The matrix Cauchy-Schwarz inequality and an extension; 2.5 Gauss-Markov theory; 2.6 The relation between Gauss-Markov and least-squares estimators; 2.7 Minimum-bias estimation; 2.8 Multicollinearity and the imposition of dummy linear restrictions; 2.9 Specification error; 2.10 Exercises; 3 Multicollinearity and reduced-rank estimation; 3.1 Introduction; 3.2 Singular-value decomposition of a matrix; 3.3 The condition number of a matrix 3.4 The Eckart-Young theorem3.5 Reduced-rank estimation; 3.6 Exercises; 4 The treatment of linear restrictions; 4.1 Estimation subject to linear restrictions; 4.2 Linear aggregation and duality; 4.3 Testing linear restrictions; 4.4 Reduction of mean-square error by imposition of linear restrictions; 4.5 Uncertain linear restrictions; 4.6 Properties of the generalized ridge estimator; 4.7 Comparison of restricted and generalized ridge estimators; 4A Appendix (to Section 4.4): Guide to the computation of percentage points of the noncentral F distribution; 4.8 Exercises; 5 Stein estimation 5.1 Stein's theorem and the regression model5.2 Lemmas underlying the James-Stein theorem; 5.3 Some further developments of Stein estimation; 5.4 Exercises; 6 Autocorrelation of residuals - 1; 6.1 The first-order autoregressive model; 6.2 Efficiency of trend estimation: the ordinary least-squares estimator; 6.3 Efficiency of trend estimation: the Cochrane-Orcutt estimator; 6.4 Efficiency of trend estimation: the Prais-Winsten weighted-difference estimator; 6.5 Efficiency of trend estimation: the Prais-Winsten first-difference estimator; 6.6 Discussion of the literature; 6.7 Exercises 7 Autocorrelation of residuals - 27.1 Anderson models; 7.2 Testing for autocorrelation: Anderson's theorem and the Durbin-Watson test; 7.3 Distribution and beta approximation of the Durbin-Watson statistic; 7.4 Bias in estimation of sampling variances; 7.5 Exercises; 8 Simultaneous-equations estimation; 8.1 The identification problem; 8.2 Anderson and Rubin's "limited-information maximum-likelihood" (LIML) method, 1: the handling of linear restrictions; 8.3 Anderson and Rubin's "limited-information maximum-likelihood" method, 2: constrained maximization of the likelihood function 8.4 The contributions of Basmann and Theil |
| Record Nr. | UNINA-9910462431303321 |
Chipman John Somerset <1926-, >
|
||
| Abingdon, Oxon : , : Routledge, , 2011 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Advanced econometric theory / / John S. Chipman
| Advanced econometric theory / / John S. Chipman |
| Autore | Chipman John Somerset <1926-2022, > |
| Pubbl/distr/stampa | Abingdon, Oxon : , : Routledge, , 2011 |
| Descrizione fisica | 1 online resource (409 p.) |
| Disciplina | 330.015195 |
| Collana | Routledge advanced texts in economics and finance |
| Soggetto topico |
Econometrics
Economics, Mathematical |
| ISBN |
1-134-34044-3
1-283-60655-0 9786613919007 1-134-34045-1 0-203-18075-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Advanced Econometric Theory; Copyright; Contents; List of figures and tables; Preface; 1 Multivariate analysis and the linear regression model; 1.1 Introduction; 1.2 Existence of a solution to the normal equation; 1.3 The concept of wide-sense conditional expectation; 1.4 Conditional expectation with normal variables; 1.5 The relation between wide-sense and strict-sense conditional expectation; 1.6 Conditional means and minimum mean-square error; 1.7 Bayes estimation; 1.8 The relation between Bayes and Gauss-Markov estimation in the case of a single independent variable; 1.9 Exercises
2 Least-squares and Gauss-Markov theory2.1 Least-squares theory; 2.2 Principles of estimation; 2.3 The concept of a generalized inverse of a matrix; 2.4 The matrix Cauchy-Schwarz inequality and an extension; 2.5 Gauss-Markov theory; 2.6 The relation between Gauss-Markov and least-squares estimators; 2.7 Minimum-bias estimation; 2.8 Multicollinearity and the imposition of dummy linear restrictions; 2.9 Specification error; 2.10 Exercises; 3 Multicollinearity and reduced-rank estimation; 3.1 Introduction; 3.2 Singular-value decomposition of a matrix; 3.3 The condition number of a matrix 3.4 The Eckart-Young theorem3.5 Reduced-rank estimation; 3.6 Exercises; 4 The treatment of linear restrictions; 4.1 Estimation subject to linear restrictions; 4.2 Linear aggregation and duality; 4.3 Testing linear restrictions; 4.4 Reduction of mean-square error by imposition of linear restrictions; 4.5 Uncertain linear restrictions; 4.6 Properties of the generalized ridge estimator; 4.7 Comparison of restricted and generalized ridge estimators; 4A Appendix (to Section 4.4): Guide to the computation of percentage points of the noncentral F distribution; 4.8 Exercises; 5 Stein estimation 5.1 Stein's theorem and the regression model5.2 Lemmas underlying the James-Stein theorem; 5.3 Some further developments of Stein estimation; 5.4 Exercises; 6 Autocorrelation of residuals - 1; 6.1 The first-order autoregressive model; 6.2 Efficiency of trend estimation: the ordinary least-squares estimator; 6.3 Efficiency of trend estimation: the Cochrane-Orcutt estimator; 6.4 Efficiency of trend estimation: the Prais-Winsten weighted-difference estimator; 6.5 Efficiency of trend estimation: the Prais-Winsten first-difference estimator; 6.6 Discussion of the literature; 6.7 Exercises 7 Autocorrelation of residuals - 27.1 Anderson models; 7.2 Testing for autocorrelation: Anderson's theorem and the Durbin-Watson test; 7.3 Distribution and beta approximation of the Durbin-Watson statistic; 7.4 Bias in estimation of sampling variances; 7.5 Exercises; 8 Simultaneous-equations estimation; 8.1 The identification problem; 8.2 Anderson and Rubin's "limited-information maximum-likelihood" (LIML) method, 1: the handling of linear restrictions; 8.3 Anderson and Rubin's "limited-information maximum-likelihood" method, 2: constrained maximization of the likelihood function 8.4 The contributions of Basmann and Theil |
| Record Nr. | UNINA-9910785890303321 |
|
Chipman John Somerset <1926-2022, >
|
||
| Abingdon, Oxon : , : Routledge, , 2011 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Advanced econometric theory / / John S. Chipman
| Advanced econometric theory / / John S. Chipman |
| Autore | Chipman John Somerset <1926-2022, > |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Abingdon, Oxon : , : Routledge, , 2011 |
| Descrizione fisica | 1 online resource (409 p.) |
| Disciplina | 330.015195 |
| Collana | Routledge advanced texts in economics and finance |
| Soggetto topico |
Econometrics
Economics, Mathematical |
| ISBN |
1-134-34044-3
1-283-60655-0 9786613919007 1-134-34045-1 0-203-18075-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Advanced Econometric Theory; Copyright; Contents; List of figures and tables; Preface; 1 Multivariate analysis and the linear regression model; 1.1 Introduction; 1.2 Existence of a solution to the normal equation; 1.3 The concept of wide-sense conditional expectation; 1.4 Conditional expectation with normal variables; 1.5 The relation between wide-sense and strict-sense conditional expectation; 1.6 Conditional means and minimum mean-square error; 1.7 Bayes estimation; 1.8 The relation between Bayes and Gauss-Markov estimation in the case of a single independent variable; 1.9 Exercises
2 Least-squares and Gauss-Markov theory2.1 Least-squares theory; 2.2 Principles of estimation; 2.3 The concept of a generalized inverse of a matrix; 2.4 The matrix Cauchy-Schwarz inequality and an extension; 2.5 Gauss-Markov theory; 2.6 The relation between Gauss-Markov and least-squares estimators; 2.7 Minimum-bias estimation; 2.8 Multicollinearity and the imposition of dummy linear restrictions; 2.9 Specification error; 2.10 Exercises; 3 Multicollinearity and reduced-rank estimation; 3.1 Introduction; 3.2 Singular-value decomposition of a matrix; 3.3 The condition number of a matrix 3.4 The Eckart-Young theorem3.5 Reduced-rank estimation; 3.6 Exercises; 4 The treatment of linear restrictions; 4.1 Estimation subject to linear restrictions; 4.2 Linear aggregation and duality; 4.3 Testing linear restrictions; 4.4 Reduction of mean-square error by imposition of linear restrictions; 4.5 Uncertain linear restrictions; 4.6 Properties of the generalized ridge estimator; 4.7 Comparison of restricted and generalized ridge estimators; 4A Appendix (to Section 4.4): Guide to the computation of percentage points of the noncentral F distribution; 4.8 Exercises; 5 Stein estimation 5.1 Stein's theorem and the regression model5.2 Lemmas underlying the James-Stein theorem; 5.3 Some further developments of Stein estimation; 5.4 Exercises; 6 Autocorrelation of residuals - 1; 6.1 The first-order autoregressive model; 6.2 Efficiency of trend estimation: the ordinary least-squares estimator; 6.3 Efficiency of trend estimation: the Cochrane-Orcutt estimator; 6.4 Efficiency of trend estimation: the Prais-Winsten weighted-difference estimator; 6.5 Efficiency of trend estimation: the Prais-Winsten first-difference estimator; 6.6 Discussion of the literature; 6.7 Exercises 7 Autocorrelation of residuals - 27.1 Anderson models; 7.2 Testing for autocorrelation: Anderson's theorem and the Durbin-Watson test; 7.3 Distribution and beta approximation of the Durbin-Watson statistic; 7.4 Bias in estimation of sampling variances; 7.5 Exercises; 8 Simultaneous-equations estimation; 8.1 The identification problem; 8.2 Anderson and Rubin's "limited-information maximum-likelihood" (LIML) method, 1: the handling of linear restrictions; 8.3 Anderson and Rubin's "limited-information maximum-likelihood" method, 2: constrained maximization of the likelihood function 8.4 The contributions of Basmann and Theil |
| Record Nr. | UNINA-9910969047003321 |
|
Chipman John Somerset <1926-2022, >
|
||
| Abingdon, Oxon : , : Routledge, , 2011 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Advanced macroeconomics : an easy guide / / Filipe Campante, Federico Sturzenegger, Andrés Velasco
| Advanced macroeconomics : an easy guide / / Filipe Campante, Federico Sturzenegger, Andrés Velasco |
| Autore | Campante Filipe R. |
| Pubbl/distr/stampa | London : , : LSE Press, , [2021] |
| Descrizione fisica | 1 online resource (xxi, 394 pages) : illustrations |
| Disciplina | 330.0151 |
| Soggetto topico |
Economics, Mathematical
Macroeconomics - Mathematical models |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Altri titoli varianti | Advanced Macroeconomics |
| Record Nr. | UNINA-9910508307203321 |
|
Campante Filipe R.
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| London : , : LSE Press, , [2021] | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Advanced mathematical economics / / Rakesh V. Vohra
| Advanced mathematical economics / / Rakesh V. Vohra |
| Autore | Vohra Rakesh V. |
| Pubbl/distr/stampa | London ; ; New York : , : Routledge, , 2005 |
| Descrizione fisica | x, 194 p. : ill |
| Disciplina | 330/.01/513 |
| Collana | Routledge advanced texts in economics and finance |
| Soggetto topico |
Economics, Mathematical
Programming (Mathematics) |
| Soggetto genere / forma | Electronic books. |
| ISBN |
9786610289943
0-203-79995-X 1-280-28994-5 0-415-70008-6 1-135-99703-9 |
| Classificazione | 83.03 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | chapter 1 Things to know -- chapter 2 Feasibility -- chapter 3 Convex sets -- chapter 4 Linear programming -- chapter 5 Non-linear programming -- chapter 6 Fixed points -- chapter 7 Lattices and supermodularity -- chapter 8 Matroids. |
| Record Nr. | UNINA-9910450729603321 |
|
Vohra Rakesh V.
|
||
| London ; ; New York : , : Routledge, , 2005 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Advanced mathematical economics / / Rakesh V. Vohra
| Advanced mathematical economics / / Rakesh V. Vohra |
| Autore | Vohra Rakesh V. |
| Pubbl/distr/stampa | London ; ; New York : , : Routledge, , 2005 |
| Descrizione fisica | x, 194 p. : ill |
| Disciplina | 330/.01/513 |
| Collana | Routledge advanced texts in economics and finance |
| Soggetto topico |
Economics, Mathematical
Programming (Mathematics) |
| ISBN |
1-135-99702-0
9786610289943 0-203-79995-X 1-280-28994-5 0-415-70008-6 1-135-99703-9 |
| Classificazione | 83.03 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | chapter 1 Things to know -- chapter 2 Feasibility -- chapter 3 Convex sets -- chapter 4 Linear programming -- chapter 5 Non-linear programming -- chapter 6 Fixed points -- chapter 7 Lattices and supermodularity -- chapter 8 Matroids. |
| Record Nr. | UNINA-9910777592303321 |
|
Vohra Rakesh V.
|
||
| London ; ; New York : , : Routledge, , 2005 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Advanced mathematical economics / / Rakesh V. Vohra
| Advanced mathematical economics / / Rakesh V. Vohra |
| Autore | Vohra Rakesh V |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | London ; ; New York, : Routledge, 2005 |
| Descrizione fisica | x, 194 p. : ill |
| Disciplina | 330/.01/513 |
| Collana | Routledge advanced texts in economics and finance |
| Soggetto topico |
Economics, Mathematical
Programming (Mathematics) |
| ISBN |
9786610289943
9781135997021 1135997020 9780203799956 020379995X 9781280289941 1280289945 9780415700085 0415700086 9781135997038 1135997039 |
| Classificazione | 83.03 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | chapter 1 Things to know -- chapter 2 Feasibility -- chapter 3 Convex sets -- chapter 4 Linear programming -- chapter 5 Non-linear programming -- chapter 6 Fixed points -- chapter 7 Lattices and supermodularity -- chapter 8 Matroids. |
| Record Nr. | UNINA-9910960662303321 |
|
Vohra Rakesh V
|
||
| London ; ; New York, : Routledge, 2005 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Advanced mathematics for economists : static and dynamic optimization / Peter J. Lambert
| Advanced mathematics for economists : static and dynamic optimization / Peter J. Lambert |
| Autore | Lambert, Peter J. |
| Pubbl/distr/stampa | New York, NY, USA : B. Blackwell, 1985 |
| Descrizione fisica | xiv, 231 p : ill ; 24 cm. |
| Disciplina | 510.24339 |
| Soggetto topico |
Economics, Mathematical
Mathematical optimization |
| ISBN | 0631141391 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNISALENTO-991004015319707536 |
|
Lambert, Peter J.
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| New York, NY, USA : B. Blackwell, 1985 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. del Salento | ||
| ||
Soggetto topico
-
Economics, Mathematical
(333)
- Quantitative Finance (131)
- Econometrics (46)
- Game theory (41)
- Statistics (40)