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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 Derivatives Markets [[electronic resource] ] : Fixed Income Modeling, Valuation Adjustments, Risk Management, and Regulation / / edited by Kathrin Glau, Zorana Grbac, Matthias Scherer, Rudi Zagst
| Innovations in Derivatives Markets [[electronic resource] ] : Fixed Income Modeling, Valuation Adjustments, Risk Management, and Regulation / / edited by Kathrin Glau, Zorana Grbac, Matthias Scherer, Rudi Zagst |
| Edizione | [1st ed. 2016.] |
| Pubbl/distr/stampa | Cham : , : Springer International Publishing : , : Imprint : Springer, , 2016 |
| Descrizione fisica | 1 online resource (X, 449 p. 68 illus., 43 illus. in color.) |
| Disciplina | 519 |
| Collana | Springer Proceedings in Mathematics & Statistics |
| Soggetto topico |
Economics, Mathematical
Banks and banking Statistics Mathematical models Probabilities Financial engineering Quantitative Finance Banking Statistics for Business, Management, Economics, Finance, Insurance Mathematical Modeling and Industrial Mathematics Probability Theory and Stochastic Processes Financial Engineering |
| ISBN | 3-319-33446-8 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Foreword -- Preface -- Part I: Valuation Adjustments -- Part II: Fixed Income Modeling -- Part III: Financial Engineering. . |
| Record Nr. | UNINA-9910166651303321 |
| Cham : , : Springer International Publishing : , : Imprint : Springer, , 2016 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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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. | UNINA-9910132289903321 |
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Glau Kathrin
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| Cham, : Springer Nature, 2015 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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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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