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Backward Stochastic Differential Equations with Jumps and Their Actuarial and Financial Applications : BSDEs with Jumps / / by Łukasz Delong
| Backward Stochastic Differential Equations with Jumps and Their Actuarial and Financial Applications : BSDEs with Jumps / / by Łukasz Delong |
| Autore | Delong Łukasz |
| Edizione | [1st ed. 2013.] |
| Pubbl/distr/stampa | London : , : Springer London : , : Imprint : Springer, , 2013 |
| Descrizione fisica | 1 online resource (X, 288 p.) |
| Disciplina | 519.2 |
| Collana | EAA Series |
| Soggetto topico |
Economics, Mathematical
Actuarial science Mathematical optimization Probabilities Quantitative Finance Actuarial Sciences Continuous Optimization Probability Theory and Stochastic Processes |
| ISBN | 1-4471-5331-6 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Introduction -- Stochastic Calculus -- Backward Stochastic Differential Equations – the General Case -- Forward-Backward Stochastic Differential Equations -- Numerical Methods for FBSDEs -- Nonlinear Expectations and g-Expectations -- Combined Financial and Insurance Model -- Linear BSDEs and Predictable Representations of Insurance Payment Processes -- Arbitrage-Free Pricing, Perfect Hedging and Superhedging -- Quadratic Pricing and Hedging -- Utility Maximization and Indifference Pricing and Hedging -- Pricing and Hedging under a Least Favorable Measure -- Dynamic Risk Measures -- Other Classes of BSDEs. |
| Record Nr. | UNINA-9910438152403321 |
Delong Łukasz
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| London : , : Springer London : , : Imprint : Springer, , 2013 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Complex Systems in Finance and Econometrics [[electronic resource] /] / edited by Robert A. Meyers
| Complex Systems in Finance and Econometrics [[electronic resource] /] / edited by Robert A. Meyers |
| Edizione | [1st ed. 2011.] |
| Pubbl/distr/stampa | New York, NY : , : Springer New York : , : Imprint : Springer, , 2011 |
| Descrizione fisica | 1 online resource (282 illus., 100 illus. in color. eReference.) |
| Disciplina | 330.015195 |
| Collana | Springer reference |
| Soggetto topico |
Finance
Economics, Mathematical Statistical physics Dynamical systems Econometrics Finance, general Quantitative Finance Complex Systems Statistical Physics and Dynamical Systems |
| ISBN | 1-4419-7701-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | 47 entries drawn from three sections of the Encyclopedia of Complexity -- Agent Based Modeling and Simulation -- Finance and Econometrics -- System Dynamics. |
| Record Nr. | UNINA-9910484592603321 |
| New York, NY : , : Springer New York : , : Imprint : Springer, , 2011 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Consistency Problems for Heath-Jarrow-Morton Interest Rate Models [[electronic resource] /] / by Damir Filipovic
| Consistency Problems for Heath-Jarrow-Morton Interest Rate Models [[electronic resource] /] / by Damir Filipovic |
| Autore | Filipovic Damir |
| Edizione | [1st ed. 2001.] |
| Pubbl/distr/stampa | Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer, , 2001 |
| Descrizione fisica | 1 online resource (X, 138 p.) |
| Disciplina | 332.82015118 |
| Collana | Lecture Notes in Mathematics |
| Soggetto topico |
Applied mathematics
Engineering mathematics Finance Economics, Mathematical Probabilities Applications of Mathematics Finance, general Quantitative Finance Probability Theory and Stochastic Processes |
| ISBN | 3-540-44548-X |
| Classificazione |
91B28
60H15 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Introduction -- Stochastic Equations in Infinite Dimension -- Consistent State Space Processes -- The HJM Methodology Revisited -- The Forward Curve Spaces H_w -- Invariant Manifolds for Stochastic Equations -- Consistent HJM Models -- Appendix: A Summary of Conditions. |
| Record Nr. | UNISA-996466374803316 |
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Filipovic Damir
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| Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer, , 2001 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. di Salerno | ||
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ERM and QRM in Life Insurance [[electronic resource] ] : An Actuarial Primer / / by Ermanno Pitacco
| ERM and QRM in Life Insurance [[electronic resource] ] : An Actuarial Primer / / by Ermanno Pitacco |
| Autore | Pitacco Ermanno |
| Edizione | [1st ed. 2020.] |
| Pubbl/distr/stampa | Cham : , : Springer International Publishing : , : Imprint : Springer, , 2020 |
| Descrizione fisica | 1 online resource (236 pages) : illustrations |
| Disciplina | 368.012 |
| Collana | Springer Actuarial Lecture Notes |
| Soggetto topico |
Actuarial science
Economics, Mathematical Actuarial Sciences Quantitative Finance |
| ISBN | 3-030-49852-2 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Preface -- Introduction -- Enterprise Risk Management and Quantitative Risk Management -- The Risk Management process. - Risk Management for life insurance and life annuities. - Risk assessment and impact assessment in life insurance business. - Risk assessment and impact assessment in life annuity business. - Sensitivity testing for long-term care insurance products. - References -- Index. |
| Record Nr. | UNISA-996418254103316 |
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Pitacco Ermanno
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| Cham : , : Springer International Publishing : , : Imprint : Springer, , 2020 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. di Salerno | ||
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Financial Modeling : A Backward Stochastic Differential Equations Perspective / / by Stephane Crepey
| Financial Modeling : A Backward Stochastic Differential Equations Perspective / / by Stephane Crepey |
| Autore | Crepey Stephane |
| Edizione | [1st ed. 2013.] |
| Pubbl/distr/stampa | Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer, , 2013 |
| Descrizione fisica | 1 online resource (463 p.) |
| Disciplina | 332.015195 |
| Collana | Springer Finance Textbooks |
| Soggetto topico |
Computer mathematics
Economics, Mathematical Partial differential equations Computational Science and Engineering Quantitative Finance Partial Differential Equations |
| ISBN | 3-642-37113-2 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Part I: An Introductory Course in Stochastic Processes -- 1.Some classes of Discrete-Time Stochastic Processes.-2.Some Classes of Continuous-Time Stochastic Processes -- 3.Elements of Stochastic Analysis -- Part II: Pricing Equations -- 4.Martingale Modeling -- 5.Benchmark Models -- Part III: Numerical Solutions -- 6.Monte Carlo Methods -- 7.Tree Methods -- 8.Finite Differences -- 9.Callibration Methods -- Part IV: Applications -- 10.Simulation/ Regression Pricing Schemes in Diffusive Setups -- 11.Simulation/ Regression Pricing Schemes in Pure Jump Setups -- Part V: Jump-Diffusion Setup with Regime Switching (**) -- 12.Backward Stochastic Differential Equations -- 13.Analytic Approach -- 14.Extensions -- Part VI: Appendix -- A.Technical Proofs (**) -- B.Exercises -- C.Corrected Problem Sets. |
| Record Nr. | UNINA-9910735400903321 |
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Crepey Stephane
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| Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer, , 2013 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Fixed-Income Portfolio Analytics : A Practical Guide to Implementing, Monitoring and Understanding Fixed-Income Portfolios / / by David Jamieson Bolder
| Fixed-Income Portfolio Analytics : A Practical Guide to Implementing, Monitoring and Understanding Fixed-Income Portfolios / / by David Jamieson Bolder |
| Autore | Bolder David Jamieson |
| Edizione | [1st ed. 2015.] |
| Pubbl/distr/stampa | Cham : , : Springer International Publishing : , : Imprint : Springer, , 2015 |
| Descrizione fisica | 1 online resource (559 p.) |
| Disciplina |
330
332.041 519 650 657.8333 658.152 |
| Soggetto topico |
Finance
Economics, Mathematical Personal finance Pension plans Management Finance, general Quantitative Finance Personal Finance/Wealth Management/Pension Planning |
| ISBN | 3-319-12667-9 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | What Is Portfolio Analytics?- From Risk Factors to Returns: Computing Exposures -- A Useful Approximation -- Extending Our Framework -- The Yield Curve: Fitting Yield Curves -- Modelling Yield Curves -- Performance: Basic Performance Attribution -- Advanced Performance Attribution -- Traditional Performance Attribution -- Risk: Introducing Risk -- Portfolio Risk -- Exploring Uncertainty in Risk Measurement -- Risk and Performance: Combining Risk and Return -- The Ex-Post World -- Appendix: Some Mathematical Background -- A Few Thoughts on Optimization -- Index. |
| Record Nr. | UNINA-9910298494703321 |
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Bolder David Jamieson
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| Cham : , : Springer International Publishing : , : Imprint : Springer, , 2015 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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From Analysis to Visualization [[electronic resource] ] : A Celebration of the Life and Legacy of Jonathan M. Borwein, Callaghan, Australia, September 2017 / / edited by David H. Bailey, Naomi Simone Borwein, Richard P. Brent, Regina S. Burachik, Judy-anne Heather Osborn, Brailey Sims, Qiji J. Zhu
| From Analysis to Visualization [[electronic resource] ] : A Celebration of the Life and Legacy of Jonathan M. Borwein, Callaghan, Australia, September 2017 / / edited by David H. Bailey, Naomi Simone Borwein, Richard P. Brent, Regina S. Burachik, Judy-anne Heather Osborn, Brailey Sims, Qiji J. Zhu |
| Edizione | [1st ed. 2020.] |
| Pubbl/distr/stampa | Cham : , : Springer International Publishing : , : Imprint : Springer, , 2020 |
| Descrizione fisica | 1 online resource (XXIII, 439 p. 71 illus., 32 illus. in color.) |
| Disciplina | 510 |
| Collana | Springer Proceedings in Mathematics & Statistics |
| Soggetto topico |
Mathematical analysis
Analysis (Mathematics) Mathematics—Study and teaching Economics, Mathematical Number theory Analysis Mathematics Education Quantitative Finance Number Theory |
| ISBN | 3-030-36568-9 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Section I: Applied Analysis, Optimisation, and Convexity -- Burachik, R. and Li, G: Introduction .-Borwein, D., Borwein, J. M., and Sims, B: Symmetry and the Monotonicity of Certain Riemann Sums.-Rockafellar, R. T.: Risk and Utility in the Duality Framework of Convex Analysis -- Dinh, N., Goberna, M. A., and Volle, M: Characterizations of robust and stable duality for linearly perturbed uncertain optimization problems .-Millán, R. D., Lindstrom, S. B., and Roshchina, V: Comparing Averaged Relaxed Cutters and Projection Methods: Theory and Examples -- Section II: Education -- Borwein, N. S.: Introduction -- Borwein, N. S. and Osborn, J-a. H: On the Educational Legacies of Jonathan M. Borwein -- Devlin, K.: How Mathematicians Learned to Stop Worrying and Love the Computer -- Goos, M.: Crossing Boundaries: Fostering Collaboration between Mathematics Educators and Mathematicians in Initial Teacher Education Programs -- Holmes, K.: Mathematics Education in the Computational Age: Challenges and Opportunities -- Phillips, C. and Ly, F. K: Mathematics Education for Indigenous Students in Preparation for Engineering and Information Technologies -- Assis, M. and Donovan, M: Origami as a Teaching Tool for Indigenous Mathematics Education -- Jungić, D. and Jungić, V.: Dynamic Visual Models: Ancient Ideas and New -- Chan, E. Y. S. and Corless, R. M: A Random Walk Through Experimental Mathematics -- Section III: Financial Mathematics -- Bailey, D. and Zhu, Q. J: Introduction -- Altman, M.: A Holistic Approach to Empirical Analysis: The Insignificance of P, Hypothesis Testing, and Statistical Significance -- Bailey, D. H, Borwein, J. M, Salehipour, A. and Prado, M. L: Do Financial Gurus Produce Reliable Forecasts? -- Borwein, J. M and Zhu, Q. J: Entropy Maximization in Finance -- Section IV: Number Theory, Special Functions, and Pi -- Brent, R.: Introduction -- Baake, M., Coons, M, and Mañibo, N: Binary Constant-Length Substitutions and Mahler Measures of Borwein Polynomials -- Brent, R.: The Borwein Brothers, Pi and the AGM -- Calude, C. S. and Calude, E: The Road to Quantum Computational Supremacy -- Dilcher, Karl.: Nonlinear Identities for Bernoulli and Euler Polynomials -- Hussain, M. Mahboubi, S. H. and Motahari, A. S: Metrical Theory for Small Linear Forms and Applications to Interference Alignment -- Platt, D. and Trudgian, T: Improved Bounds on Brun’s Constant -- Skerritt, M. P. and Vrbik, P: Extending the PSLQ Algorithm to Algebraic Integer Relations -- Straub, A. and Zudilin, W: Short Walk Adventures. |
| Record Nr. | UNISA-996418279403316 |
| Cham : , : Springer International Publishing : , : Imprint : Springer, , 2020 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. di Salerno | ||
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Innovations in Quantitative Risk Management [[electronic resource] ] : TU München, September 2013 / / edited by Kathrin Glau, Matthias Scherer, Rudi Zagst
| Innovations in Quantitative Risk Management [[electronic resource] ] : TU München, September 2013 / / edited by Kathrin Glau, Matthias Scherer, Rudi Zagst |
| Autore | Glau Kathrin |
| Edizione | [1st ed. 2015.] |
| Pubbl/distr/stampa | Cham, : Springer Nature, 2015 |
| Descrizione fisica | 1 online resource (xi, 438 pages) : illustrations; digital, PDF file(s) |
| Disciplina | 658.155 |
| Collana | Springer Proceedings in Mathematics & Statistics |
| Soggetto topico |
Economics, Mathematical
Game theory Finance Actuarial science Quantitative Finance Game Theory, Economics, Social and Behav. Sciences Finance, general Actuarial Sciences |
| Soggetto non controllato |
Quantitative Finance
Game Theory, Economics, Social and Behav. Sciences Finance/Investment/Banking Actuarial Sciences |
| ISBN |
9783319091143 (ebook)
9783319091136 (hardback) |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Part I Markets, Regulation, and Model Risk -- A Random Holding Period Approach for Liquidity-Inclusive Risk Management -- Regulatory Developments in Risk Management: Restoring Confidence in Internal Models -- Model Risk in Incomplete Markets with Jumps -- Part II Financial Engineering -- Bid-Ask Spread for Exotic Options Under Conic Finance -- Derivative Pricing Under the Possibility of Long Memory in the supOU Stochastic Volatility Model -- A Two-Sided BNS Model for Multicurrency FX Markets -- Modeling the Price of Natural Gas with Temperature and Oil Price as Exogenous Factors -- Copula-Specific Credit Portfolio Modeling -- Implied Recovery Rates—Auctions and Models -- Upside and Downside Risk Exposures of Currency Carry Trades via Tail Dependence -- Part III Insurance Risk and Asset Management -- Participating Life Insurance Contracts Under Risk Based Solvency Frameworks: How to Increase Capital Efficiency by Product Design -- Reducing Surrender Incentives Through Fee Structure in Variable Annuities -- A Variational Approach for Mean-Variance-Optimal Deterministic Consumption and Investment -- Risk Control in Asset Management: Motives and Concepts -- Worst-Case Scenario Portfolio Optimization Given the Probability of a Crash -- Improving Optimal Terminal Value Replicating Portfolios -- Part IV Computational Methods for Risk Management -- Risk and Computation -- Extreme Value Importance Sampling for Rare Event Risk Measurement -- A Note on the Numerical Evaluation of the Hartman–Watson Density and Distribution Function -- Computation of Copulas by Fourier Methods -- Part V Dependence Modelling -- Goodness-of-fit Tests for Archimedean Copulas in High Dimensions -- Duality in Risk Aggregation -- Some Consequences of the Markov Kernel Perspective of Copulas -- Copula Representations for Invariant Dependence Functions -- Nonparametric Copula Density Estimation Using a Petrov–Galerkin Projection. |
| Record Nr. | UNISA-996213775103316 |
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Glau Kathrin
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| Cham, : Springer Nature, 2015 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. di Salerno | ||
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Lectures on Probability Theory and Statistics [[electronic resource] ] : Ecole d'Eté de Probabilités de Saint-Flour XXX - 2000 / / by Sergio Albeverio, Walter Schachermayer ; edited by Pierre Bernard
| Lectures on Probability Theory and Statistics [[electronic resource] ] : Ecole d'Eté de Probabilités de Saint-Flour XXX - 2000 / / by Sergio Albeverio, Walter Schachermayer ; edited by Pierre Bernard |
| Autore | Albeverio Sergio |
| Edizione | [1st ed. 2003.] |
| Pubbl/distr/stampa | Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer, , 2003 |
| Descrizione fisica | 1 online resource (X, 298 p.) |
| Disciplina | 576.58 |
| Collana | École d'Été de Probabilités de Saint-Flour |
| Soggetto topico |
Probabilities
Mathematical physics Economics, Mathematical Probability Theory and Stochastic Processes Theoretical, Mathematical and Computational Physics Quantitative Finance |
| ISBN | 3-540-44922-1 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Sergio Albeverio: Theory of Dirichlet forms and applications -- Functional analytic background: semigroups, generators, resolvents -- Closed symmetric coercive forms associated with Co-contraction semigroups -- Contraction properties of forms, positivity preserving and submarkovian semigroups -- Potential Theory and Markov Processes associated with Dirichlet Forms -- Diffusions and stochastic differential equations associated with classical Dirichlet forms -- Applications -- Walter Schachermayer: Introduction to the Mathematics of Financial Markets -- Introduction: Bachelier’s Thesis from 1900 -- Models of Financial Markets on Finite Probability Spaces -- The Binomial Model, Bachelier’s Model and the Black-Scholes Model -- The No-Arbitrage Theory for General Processes -- Some Applications of the Fundamental Theorem of Asset Pricing -- Michel Talagrand: Mean field models for spin glasses: a first course -- What this is all about: the REM -- The Sherrington-Kirkpatrick model at high temperature -- The p-spin interaction model -- External field and the replica-symmetric solution -- Exponential inequalities -- Central limit theorems and the Almeida-Thouless line -- Emergence and separation of the lumps in the p-spin interaction model. |
| Record Nr. | UNISA-996466374203316 |
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Albeverio Sergio
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| Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer, , 2003 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. di Salerno | ||
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Loeb Measures in Practice: Recent Advances [[electronic resource] ] : EMS Lectures 1997 / / by Nigel J. Cutland
| Loeb Measures in Practice: Recent Advances [[electronic resource] ] : EMS Lectures 1997 / / by Nigel J. Cutland |
| Autore | Cutland Nigel J |
| Edizione | [1st ed. 2000.] |
| Pubbl/distr/stampa | Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer, , 2000 |
| Descrizione fisica | 1 online resource (CXXXII, 118 p.) |
| Disciplina | 510 |
| Collana | Lecture Notes in Mathematics |
| Soggetto topico |
Mathematical logic
Functions of real variables Probabilities Economics, Mathematical Mathematical Logic and Foundations Real Functions Probability Theory and Stochastic Processes Quantitative Finance |
| ISBN | 3-540-44531-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Loeb Measures: Introduction -- Nonstandard Analysis -- Construction of Loeb Measures -- Loeb Integration Theory -- Elementary Applications. Stochastic Fluid Mechanics: Introduction -- Solution of the Deterministic Navier-Stokes Equations -- Solution of the Stochastic Navier-Stokes Equations -- Stochastic Euler Equations -- Statistical Solutions -- Attractors for the Navier-Stokes Equations -- Measure Attractors for Stochastic Navier-Stokes Equations -- Stochastic Attractors for Navier-Stokes Equations -- Attractors for the 3-dimensional Stochastic Navier-Stokes Equations. Stochastic Calculus of Variations: Introduction -- Flat Integral Representation of Wiener Measure -- The Wiener Sphere -- Brownian Motion on the Wiener Sphere and the Infinite Dimensional Ornstein-Uhlenbeck Process -- Malliavin Calculus. Mathematical Finance Theory: Introduction -- The Cox-Ross-Rubinstein Models -- Options and Contingent Claims -- The Black-Scholes Model... The complete table of contents can be found on the Internet: http://www.springer.de. |
| Record Nr. | UNISA-996466375103316 |
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Cutland Nigel J
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| Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer, , 2000 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. di Salerno | ||
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