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Financial Modeling with Crystal Ball and Excel [[electronic resource]]
Financial Modeling with Crystal Ball and Excel [[electronic resource]]
Autore Charnes John
Edizione [2nd ed.]
Pubbl/distr/stampa New York, : Wiley, 2012
Descrizione fisica 1 online resource (336 p.)
Disciplina 332.0113
332.0285/554
332.0285554
Collana Wiley Finance
Soggetto topico BUSINESS & ECONOMICS / Investments & Securities
Finance -- Mathematical models
Microsoft Excel (Computer file)
Finance - Mathematical models
Investments - Mathematical models
ISBN 1-119-20321-X
1-280-59278-8
9786613622617
1-118-22705-0
Classificazione BUS036000
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Financial Modeling with Crystal Ball and Excel; Contents; Preface; Acknowledgments; About the Author; CHAPTER 1 Introduction; 1.1 FINANCIAL MODELING; 1.2 RISK ANALYSIS; 1.3 MONTE CARLO SIMULATION; 1.4 RISK MANAGEMENT; 1.5 BENEFITS AND LIMITATIONS OF USING CRYSTAL BALL; 1.5.1 Benefits; 1.5.2 Limitations; CHAPTER 2 Analyzing Crystal Ball Forecasts; 2.1 SIMULATING A 50-50 PORTFOLIO; 2.1.1 Accumulate.xls; 2.1.2 Frequency Chart; 2.1.3 Cumulative Frequency Chart; 2.1.4 Statistics View; 2.1.5 Forecast Window Percentiles View; 2.2 VARYING THE ALLOCATIONS; 2.2.1 Decision Table Tool; 2.2.2 Trend Chart
2.2.3 Overlay Chart 2.3 PRESENTING THE RESULTS; CHAPTER 3 Building A Crystal Ball Model; 3.1 SIMULATION MODELING PROCESS; 3.1.1 Example: AKGolf.xls; 3.2 DEFINING CRYSTAL BALL ASSUMPTIONS AND FORECASTS; 3.2.1 Defining Assumptions; 3.2.2 Defining Profit as a Forecast Cell; 3.3 RUNNING CRYSTAL BALL; 3.4 SOURCES OF ERROR; 3.5 CONTROLLING MODEL ERROR; CHAPTER 4 Selecting Crystal Ball Assumptions; 4.1 CRYSTAL BALL'S BASIC DISTRIBUTIONS; 4.1.1 Yes-No; 4.1.2 Binomial; 4.1.3 Discrete Uniform; 4.1.4 Uniform; 4.1.5 Triangular; 4.1.6 Normal; 4.1.7 Lognormal
4.2 USING HISTORICAL DATA TO CHOOSE DISTRIBUTIONS 4.2.1 Direct Sampling; 4.2.2 Sampling from a Fitted Distribution; 4.2.3 Fitting Distributions to Data; 4.2.4 Goodness-of-Fit Testing; 4.2.5 Eyeball Test; 4.2.6 Caveats; 4.2.7 What If No Historical Data Are Available?; 4.3 SPECIFYING CORRELATIONS; 4.3.1 Pearson Correlation Statistic; 4.3.2 Spearman (Rank) Correlation Statistic; 4.3.3 Using Crystal Ball to Calculate Correlations Between Two Assumptions; 4.3.4 Batch Fit; 4.3.5 Correlation Tool; CHAPTER 5 Using Decision Variables; 5.1 DEFINING DECISION VARIABLES
5.2 DECISION TABLE WITH ONE DECISION VARIABLE 5.2.1 Trend Chart; 5.2.2 Overlay Chart; 5.3 DECISION TABLE WITH TWO DECISION VARIABLES; 5.3.1 Model; 5.3.2 Threshold Values; 5.3.3 Two-Way Decision Table; 5.3.4 Interpreting the Results; 5.4 USING OPTQUEST; 5.4.1 Terminology; 5.4.2 Example; CHAPTER 6 Selecting Run Preferences; 6.1 TRIALS; 6.1.1 Number of Trials to Run; 6.1.2 Stop on Calculation Errors; 6.1.3 Stop When Precision Control Limits Are Reached; 6.2 SAMPLING; 6.2.1 Random Number Generation; 6.2.2 Sampling Method; 6.3 SPEED; 6.3.1 Run Mode; 6.3.2 Chart Windows; 6.4 OPTIONS; 6.5 STATISTICS
CHAPTER 7 Net Present Value and Internal Rate of Return 7.1 DETERMINISTIC NPV AND IRR; 7.2 SIMULATING NPV AND IRR; 7.3 CAPITAL BUDGETING; 7.3.1 Tornado Chart Tool; 7.3.2 Risk Analysis; 7.3.3 Caveats; 7.4 CUSTOMER NET PRESENT VALUE; 7.4.1 Results; CHAPTER 8 Modeling Financial Statements; 8.1 DETERMINISTIC MODEL; 8.2 TORNADO CHART AND SENSITIVITY ANALYSIS; 8.3 CRYSTAL BALL SENSITIVITY CHART; 8.4 CONCLUSION; CHAPTER 9 Portfolio Models; 9.1 SINGLE-PERIOD CRYSTAL BALL MODEL; 9.2 SINGLE-PERIOD ANALYTICAL SOLUTION; 9.3 MULTI-PERIOD CRYSTAL BALL MODEL; CHAPTER 10 Value at Risk; 10.1 VAR
10.2 SHORTCOMINGS OF VAR
Record Nr. UNINA-9910141251103321
Charnes John  
New York, : Wiley, 2012
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Financial Modeling with Crystal Ball and Excel
Financial Modeling with Crystal Ball and Excel
Autore Charnes John
Edizione [2nd ed.]
Pubbl/distr/stampa New York, : Wiley, 2012
Descrizione fisica 1 online resource (336 p.)
Disciplina 332.0113
332.0285/554
332.0285554
Collana Wiley Finance
Soggetto topico BUSINESS & ECONOMICS / Investments & Securities
Finance -- Mathematical models
Microsoft Excel (Computer file)
Finance - Mathematical models
Investments - Mathematical models
ISBN 1-119-20321-X
1-280-59278-8
9786613622617
1-118-22705-0
Classificazione BUS036000
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Financial Modeling with Crystal Ball and Excel; Contents; Preface; Acknowledgments; About the Author; CHAPTER 1 Introduction; 1.1 FINANCIAL MODELING; 1.2 RISK ANALYSIS; 1.3 MONTE CARLO SIMULATION; 1.4 RISK MANAGEMENT; 1.5 BENEFITS AND LIMITATIONS OF USING CRYSTAL BALL; 1.5.1 Benefits; 1.5.2 Limitations; CHAPTER 2 Analyzing Crystal Ball Forecasts; 2.1 SIMULATING A 50-50 PORTFOLIO; 2.1.1 Accumulate.xls; 2.1.2 Frequency Chart; 2.1.3 Cumulative Frequency Chart; 2.1.4 Statistics View; 2.1.5 Forecast Window Percentiles View; 2.2 VARYING THE ALLOCATIONS; 2.2.1 Decision Table Tool; 2.2.2 Trend Chart
2.2.3 Overlay Chart 2.3 PRESENTING THE RESULTS; CHAPTER 3 Building A Crystal Ball Model; 3.1 SIMULATION MODELING PROCESS; 3.1.1 Example: AKGolf.xls; 3.2 DEFINING CRYSTAL BALL ASSUMPTIONS AND FORECASTS; 3.2.1 Defining Assumptions; 3.2.2 Defining Profit as a Forecast Cell; 3.3 RUNNING CRYSTAL BALL; 3.4 SOURCES OF ERROR; 3.5 CONTROLLING MODEL ERROR; CHAPTER 4 Selecting Crystal Ball Assumptions; 4.1 CRYSTAL BALL'S BASIC DISTRIBUTIONS; 4.1.1 Yes-No; 4.1.2 Binomial; 4.1.3 Discrete Uniform; 4.1.4 Uniform; 4.1.5 Triangular; 4.1.6 Normal; 4.1.7 Lognormal
4.2 USING HISTORICAL DATA TO CHOOSE DISTRIBUTIONS 4.2.1 Direct Sampling; 4.2.2 Sampling from a Fitted Distribution; 4.2.3 Fitting Distributions to Data; 4.2.4 Goodness-of-Fit Testing; 4.2.5 Eyeball Test; 4.2.6 Caveats; 4.2.7 What If No Historical Data Are Available?; 4.3 SPECIFYING CORRELATIONS; 4.3.1 Pearson Correlation Statistic; 4.3.2 Spearman (Rank) Correlation Statistic; 4.3.3 Using Crystal Ball to Calculate Correlations Between Two Assumptions; 4.3.4 Batch Fit; 4.3.5 Correlation Tool; CHAPTER 5 Using Decision Variables; 5.1 DEFINING DECISION VARIABLES
5.2 DECISION TABLE WITH ONE DECISION VARIABLE 5.2.1 Trend Chart; 5.2.2 Overlay Chart; 5.3 DECISION TABLE WITH TWO DECISION VARIABLES; 5.3.1 Model; 5.3.2 Threshold Values; 5.3.3 Two-Way Decision Table; 5.3.4 Interpreting the Results; 5.4 USING OPTQUEST; 5.4.1 Terminology; 5.4.2 Example; CHAPTER 6 Selecting Run Preferences; 6.1 TRIALS; 6.1.1 Number of Trials to Run; 6.1.2 Stop on Calculation Errors; 6.1.3 Stop When Precision Control Limits Are Reached; 6.2 SAMPLING; 6.2.1 Random Number Generation; 6.2.2 Sampling Method; 6.3 SPEED; 6.3.1 Run Mode; 6.3.2 Chart Windows; 6.4 OPTIONS; 6.5 STATISTICS
CHAPTER 7 Net Present Value and Internal Rate of Return 7.1 DETERMINISTIC NPV AND IRR; 7.2 SIMULATING NPV AND IRR; 7.3 CAPITAL BUDGETING; 7.3.1 Tornado Chart Tool; 7.3.2 Risk Analysis; 7.3.3 Caveats; 7.4 CUSTOMER NET PRESENT VALUE; 7.4.1 Results; CHAPTER 8 Modeling Financial Statements; 8.1 DETERMINISTIC MODEL; 8.2 TORNADO CHART AND SENSITIVITY ANALYSIS; 8.3 CRYSTAL BALL SENSITIVITY CHART; 8.4 CONCLUSION; CHAPTER 9 Portfolio Models; 9.1 SINGLE-PERIOD CRYSTAL BALL MODEL; 9.2 SINGLE-PERIOD ANALYTICAL SOLUTION; 9.3 MULTI-PERIOD CRYSTAL BALL MODEL; CHAPTER 10 Value at Risk; 10.1 VAR
10.2 SHORTCOMINGS OF VAR
Altri titoli varianti Financial modeling with Oracle Crystal Ball and Excel + website
Record Nr. UNINA-9910816079703321
Charnes John  
New York, : Wiley, 2012
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
The Mathematics of Financial Models [[electronic resource] ] : Solving Real-World Problems with Quantitative Methods
The Mathematics of Financial Models [[electronic resource] ] : Solving Real-World Problems with Quantitative Methods
Autore Ravindran Kannoo
Pubbl/distr/stampa Hoboken, : Wiley, 2014
Descrizione fisica 1 online resource (346 pages)
Disciplina 332.01/51
Collana Wiley Finance
Soggetto topico Finance -- Mathematical models
Finance
Microsoft Excel (Computer file)
Stochastic analysis
Business & Economics
Finance - General
ISBN 1-118-82615-9
1-118-22185-0
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto The Mathematics of Financial Models; Contents; Preface; Acknowledgments; 1 Setting the Stage; Why Is This Book Different?; Road Map of the Book; References; 2 Building Zero Curves; Market Instruments; Treasury Bills; Treasury Notes; Treasury Bonds; Eurodollar Futures; Swaps; Linear Interpolation; Step 1: Convert Eurodollar Futures Prices to Forward Rates; Step 2: Calibrate Zero Rates for First Year; Step 3: Calibrate to Obtain Zero Rates for First Two Years; Step 4: Calibrate to Obtain Zero Rates for First Five Years; Cubic Splining; Splining over One Time Interval
Splining over Two Time IntervalsSplining over Four Time Intervals; Splining over All Time Intervals; Appendix: Finding Swap Rates Using A Floating Coupon Bond Approach; References; 3 Valuing Vanilla Options; Black-Scholes Formulae; Adaptations of the Black-Scholes Formulae; Pricing Options on Dividend-Paying Stocks; Pricing Options on Futures Contracts; Pricing Options on Forward Contracts; Limitations of the Black-Scholes Formulae; Application in Currency Risk Management; Risk-Management Strategies-Pros and Cons; Incorporating Views into Strategies; Appendix; Finding a Forward Bond Yield
References4 Simulations; Uniform Number Generation; Random Sampling; Stratified Sampling; Latin Hypercube Sampling; Non-Uniform Number Generation; Inverse Transform Method; Related Distribution Method; Applications of Simulations; Valuing European-Style Options; Simulating a Queue; Estimating Pi; Variance Reduction Techniques; Antithetic Variable Technique; Control Variable Technique; References; 5 Valuing Exotic Options; Valuing Path-Independent, European-Style Options on a Single Variable; Binary Options; Pay-Later Options; Nonlinear Payoff Options
Valuing Path-Dependent, European-Style Options on a Single VariableAveraging Options; Installment Options; Valuing path-Independent, European-Style Options on Two Variables; Exchange Options; Spread Options; Valuing Path-Dependent, European-Style Options on Multiple Variables; Averaging Spread Options; Lookback Basket Options; References; 6 Estimating Model Parameters; Calibration of Parameters in the Black-Scholes Model; Inferring qt,T; Using Implied Black-Scholes Volatility Surface and Zero Rate Term Structure to Value Options; Using Volatility Term Structure; Using Volatility Surface
Getting the Implied Stock Prices When i = 0Getting the Implied Probabilities When i = 0; Getting the Implied Stock Prices When i = 1; Getting the Implied Probabilities When i = 1; Calibration of Interest Rate Option Model Parameters; Statistical Estimation; Using Historical Implied Volatilities; Using Historical Underlying Values; References; 7 The Effectiveness of Hedging Strategies; Delta Hedging; Hedging the Sale of a Vanilla European-Style Call Option on a Nondividend-Paying Stock; Hedging the Sale of a Vanilla European-Style Call Option on a Dividend-Paying Stock
Hedging the Sale of a Vanilla European-Style Put Option on a Dividend-Paying Stock
Record Nr. UNINA-9910132342603321
Ravindran Kannoo  
Hoboken, : Wiley, 2014
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
The Mathematics of Financial Models : Solving Real-World Problems with Quantitative Methods
The Mathematics of Financial Models : Solving Real-World Problems with Quantitative Methods
Autore Ravindran Kannoo
Edizione [1st ed.]
Pubbl/distr/stampa Hoboken, : Wiley, 2014
Descrizione fisica 1 online resource (346 pages)
Disciplina 332.01/51
Collana Wiley Finance
Soggetto topico Finance -- Mathematical models
Finance
Microsoft Excel (Computer file)
Stochastic analysis
Business & Economics
Finance - General
ISBN 1-118-82615-9
1-118-22185-0
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto The Mathematics of Financial Models; Contents; Preface; Acknowledgments; 1 Setting the Stage; Why Is This Book Different?; Road Map of the Book; References; 2 Building Zero Curves; Market Instruments; Treasury Bills; Treasury Notes; Treasury Bonds; Eurodollar Futures; Swaps; Linear Interpolation; Step 1: Convert Eurodollar Futures Prices to Forward Rates; Step 2: Calibrate Zero Rates for First Year; Step 3: Calibrate to Obtain Zero Rates for First Two Years; Step 4: Calibrate to Obtain Zero Rates for First Five Years; Cubic Splining; Splining over One Time Interval
Splining over Two Time IntervalsSplining over Four Time Intervals; Splining over All Time Intervals; Appendix: Finding Swap Rates Using A Floating Coupon Bond Approach; References; 3 Valuing Vanilla Options; Black-Scholes Formulae; Adaptations of the Black-Scholes Formulae; Pricing Options on Dividend-Paying Stocks; Pricing Options on Futures Contracts; Pricing Options on Forward Contracts; Limitations of the Black-Scholes Formulae; Application in Currency Risk Management; Risk-Management Strategies-Pros and Cons; Incorporating Views into Strategies; Appendix; Finding a Forward Bond Yield
References4 Simulations; Uniform Number Generation; Random Sampling; Stratified Sampling; Latin Hypercube Sampling; Non-Uniform Number Generation; Inverse Transform Method; Related Distribution Method; Applications of Simulations; Valuing European-Style Options; Simulating a Queue; Estimating Pi; Variance Reduction Techniques; Antithetic Variable Technique; Control Variable Technique; References; 5 Valuing Exotic Options; Valuing Path-Independent, European-Style Options on a Single Variable; Binary Options; Pay-Later Options; Nonlinear Payoff Options
Valuing Path-Dependent, European-Style Options on a Single VariableAveraging Options; Installment Options; Valuing path-Independent, European-Style Options on Two Variables; Exchange Options; Spread Options; Valuing Path-Dependent, European-Style Options on Multiple Variables; Averaging Spread Options; Lookback Basket Options; References; 6 Estimating Model Parameters; Calibration of Parameters in the Black-Scholes Model; Inferring qt,T; Using Implied Black-Scholes Volatility Surface and Zero Rate Term Structure to Value Options; Using Volatility Term Structure; Using Volatility Surface
Getting the Implied Stock Prices When i = 0Getting the Implied Probabilities When i = 0; Getting the Implied Stock Prices When i = 1; Getting the Implied Probabilities When i = 1; Calibration of Interest Rate Option Model Parameters; Statistical Estimation; Using Historical Implied Volatilities; Using Historical Underlying Values; References; 7 The Effectiveness of Hedging Strategies; Delta Hedging; Hedging the Sale of a Vanilla European-Style Call Option on a Nondividend-Paying Stock; Hedging the Sale of a Vanilla European-Style Call Option on a Dividend-Paying Stock
Hedging the Sale of a Vanilla European-Style Put Option on a Dividend-Paying Stock
Record Nr. UNINA-9910812067803321
Ravindran Kannoo  
Hoboken, : Wiley, 2014
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Measure, Probability, and Mathematical Finance : A Problem-Oriented Approach
Measure, Probability, and Mathematical Finance : A Problem-Oriented Approach
Autore Gan Guojun
Edizione [1st ed.]
Pubbl/distr/stampa Somerset : , : John Wiley & Sons, Incorporated, , 2014
Descrizione fisica 1 online resource (741 pages)
Disciplina 332.015195
Altri autori (Persone) MaChaoqun
XieHong
Soggetto topico Finance -- Mathematical models
Finance -- Research
Social sciences -- Research -- Statistical methods
Soggetto genere / forma Electronic books.
ISBN 9781118831984
9781118831960
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Intro -- MEASURE, PROBABILITY, AND MATHEMATICAL FINANCE: A Problem-Oriented Approach -- Copyright -- CONTENTS -- Preface -- Financial Glossary -- PART I MEASURE THEORY -- 1 Sets and Sequences -- 1.1 Basic Concepts and Facts -- 1.2 Problems -- 1.3 Hints -- 1.4 Solutions -- 1.5 Bibliographic Notes -- 2 MEASURES -- 2.1 Basic Concepts and Facts -- 2.2 Problems -- 2.3 Hints -- 2.4 Solutions -- 2.5 Bibliographic Notes -- 3 EXTENSION OF MEASURES -- 3.1 Basic Concepts and Facts -- 3.2 Problems -- 3.3 Hints -- 3.4 Solutions -- 3.5 Bibliographic Notes -- 4 LEBESGUE-STIELT JES MEASURES -- 4.1 Basic Concepts and Facts -- 4.2 Problems -- 4.3 Hints -- 4.4 Solutions -- 4.5 Bibliographic Notes -- 5 MEASURABLE FUNCTIONS -- 5.1 Basic Concepts and Facts -- 5.2 Problems -- 5.3 Hints -- 5.4 Solutions -- 5.5 Bibliographic Notes -- 6 LEBESGUE INTEGRATION -- 6.1 Basic Concepts and Facts -- 6.2 Problems -- 6.3 Hints -- 6.4 Solutions -- 6.5 Bibliographic Notes -- 7 THE RADON-NIKODYM THEOREM -- 7.1 Basic Concepts and Facts -- 7.2 Problems -- 7.3 Hints -- 7.4 Solutions -- 7.5 Bibliographic Notes -- 8 LP SPACES -- 8.1 Basic Concepts and Facts -- 8.2 Problems -- 8.3 Hints -- 8.4 Solutions -- 8.5 Bibliographic Notes -- 9 CONVERGENCE -- 9.1 Basic Concepts and Facts -- 9.2 Problems -- 9.3 Hints -- 9.4 Solutions -- 9.5 Bibliographic Notes -- 10 PRODUCT MEASURES -- 10.1 Basic Concepts and Facts -- 10.2 Problems -- 10.3 Hints -- 10.4 Solutions -- 10.5 Bibliographic Notes -- PART II PROBABILITY THEORY -- 11 EVENTS AND RANDOM VARIABLES -- 11.1 Basic Concepts and Facts -- 11.2 Problems -- 11.3 Hints -- 11.4 Solutions -- 11.5 Bibliographic Notes -- 12 INDEPENDENCE -- 12.1 Basic Concepts and Facts -- 12.2 Problems -- 12.3 Hints -- 12.4 Solutions -- 12.5 Bibliographic Notes -- 13 EXPECTATION -- 13.1 Basic Concepts and Facts -- 13.2 Problems -- 13.3 Hints -- 13.4 Solutions.
13.5 Bibliographic Notes -- 14 CONDITIONAL EXPECTATION -- 14.1 Basic Concepts and Facts -- 14.2 Problems -- 14.3 Hints -- 14.4 Solutions -- 14.5 Bibliographic Notes -- 15 INEQUALITIES -- 15.1 Basic Concepts and Facts -- 15.2 Problems -- 15.3 Hints -- 15.4 Solutions -- 15.5 Bibliographic Notes -- 16 LAW OF LARGE NUMBERS -- 16.1 Basic Concepts and Facts -- 16.2 Problems -- 16.3 Hints -- 16.4 Solutions -- 16.5 Bibliographic Notes -- 17 CHARACTERISTIC FUNCTIONS -- 17.1 Basic Concepts and Facts -- 17.2 Problems -- 17.3 Hints -- 17.4 Solutions -- 17.5 Bibliographic Notes -- 18 DISCRETE DISTRIBUTIONS -- 18.1 Basic Concepts and Facts -- 18.2 Problems -- 18.3 Hints -- 18.4 Solutions -- 18.5 Bibliographic Notes -- 19 CONTINUOUS DISTRIBUTIONS -- 19.1 Basic Concepts and Facts -- 19.2 Problems -- 19.3 Hints -- 19.4 Solutions -- 19.5 Bibliographic Notes -- 20 CENTRAL LIMIT THEOREMS -- 20.1 Basic Concepts and Facts -- 20.2 Problems -- 20.3 Hints -- 20.4 Solutions -- 20.5 Bibliographic Notes -- PART III STOCHASTIC PROCESSES -- 21 STOCHASTIC PROCESSES -- 21.1 Basic Concepts and Facts -- 21.2 Problems -- 21.3 Hints -- 21.4 Solutions -- 21.5 Bibliographic Notes -- 22 MARTINGALES -- 22.1 Basic Concepts and Facts -- 22.2 Problems -- 22.3 Hints -- 22.4 Solutions -- 22.5 Bibliographic Notes -- 23 STOPPING TIMES -- 23.1 Basic Concepts and Facts -- 23.2 Problems -- 23.3 Hints -- 23.4 Solutions -- 23.5 Bibliographic Notes -- 24 MARTINGALE INEQUALITIES -- 24.1 Basic Concepts and Facts -- 24.2 Problems -- 24.3 Hints -- 24.4 Solutions -- 24.5 Bibliographic Notes -- 25 MARTINGALE CONVERGENCE THEOREMS -- 25.1 Basic Concepts and Facts -- 25.2 Problems -- 25.3 Hints -- 25.4 Solutions -- 25.5 Bibliographic Notes -- 26 RANDOM WALKS -- 26.1 Basic Concepts and Facts -- 26.2 Problems -- 26.3 Hints -- 26.4 Solutions -- 26.5 Bibliographic Notes -- 27 POISSON PROCESSES.
27.1 Basic Concepts and Facts -- 27.2 Problems -- 27.3 Hints -- 27.4 Solutions -- 27.5 Bibliographic Notes -- 28 BROWNIAN MOTION -- 28.1 Basic Concepts and Facts -- 28.2 Problems -- 28.3 Hints -- 28.4 Solutions -- 28.5 Bibliographic Notes -- 29 MARKOV PROCESSES -- 29.1 Basic Concepts and Facts -- 29.2 Problems -- 29.3 Hints -- 29.4 Solutions -- 29.5 Bibliographic Notes -- 30 LEVY PROCESSES -- 30.1 Basic Concepts and Facts -- 30.2 Problems -- 30.3 Hints -- 30.4 Solutions -- 30.5 Bibliographic Notes -- PART IV STOCHASTIC CALCULUS -- 31THE WIENER INTEGRAL -- 31.1 Basic Concepts and Facts -- 31.2 Problems -- 31.3 Hints -- 31.4 Solutions -- 31.5 Bibliographic Notes -- 32 THE ITO INTEGRAL -- 32.1 Basic Concepts and Facts -- 32.2 Problems -- 32.3 Hints -- 32.4 Solutions -- 32.5 Bibliographic Notes -- 33 EXTENSION OF THE ITO INTEGRAL -- 33.1 Basic Concepts and Facts -- 33.2 Problems -- 33.3 Hints -- 33.4 Solutions -- 33.5 Bibliographic Notes -- 34 MARTINGALE STOCHASTIC INTEGRALS -- 34.1 Basic Concepts and Facts -- 34.2 Problems -- 34.3 Hints -- 34.4 Solutions -- 34.5 Bibliographic Notes -- 35 THE ITO FORMULA -- 35.1 Basic Concepts and Facts -- 35.2 Problems -- 35.3 Hints -- 35.4 Solutions -- 35.5 Bibliographic Notes -- 36 MARTINGALE REPRESENTATION THEOREM -- 36.1 Basic Concepts and Facts -- 36.2 Problems -- 36.3 Hints -- 36.4 Solutions -- 36.5 Bibliographic Notes -- 37 CHANGE OF MEASURE -- 37.1 Basic Concepts and Facts -- 37.2 Problems -- 37.3 Hints -- 37.4 Solutions -- 37.5 Bibliographic Notes -- 38 STOCHASTIC DIFFERENTIAL EQUATIONS -- 38.1 Basic Concepts and Facts -- 38.2 Problems -- 38.3 Hints -- 38.4 Solutions -- 38.5 Bibliographic Notes -- 39 DIFFUSION -- 39.1 Basic Concepts and Facts -- 39.2 Problems -- 39.3 Hints -- 39.4 Solutions -- 39.5 Bibliographic Notes -- 40 THE FEYNMAN-KAC FORMULA -- 40.1 Basic Concepts and Facts -- 40.2 Problems -- 40.3 Hints.
40.4 Solutions -- 40.5 Bibliographic Notes -- PART V STOCHASTIC FINANCIAL MODELS -- 41 DISCRETE-TIME MODELS -- 41.1 Basic Concepts and Facts -- 41.2 Problems -- 41.3 Hints -- 41.4 Solutions -- 41.5 Bibliographic Notes -- 42 BLACK-SCHOLES OPTION PRICING MODELS -- 42.1 Basic Concepts and Facts -- 42.2 Problems -- 42.3 Hints -- 42.4 Solutions -- 42.5 Bibliographic Notes -- 43 PATH-DEPENDENT OPTIONS -- 43.1 Basic Concepts and Facts -- 43.2 Problems -- 43.3 Hints -- 43.4 Solutions -- 43.5 Bibliographic Notes -- 44 AMERICAN OPTIONS -- 44.1 Basic Concepts and Facts -- 44.2 Problems -- 44.3 Hints -- 44.4 Solutions -- 44.5 Bibliographic Notes -- 45 SHORT RATE MODELS -- 45.1 Basic Concepts and Facts -- 45.2 Problems -- 45.3 Hints -- 45.4 Solutions -- 45.5 Bibliographic Notes -- 46 INSTANTANEOUS FORWARD RATEMODELS -- 46.1 Basic Concepts and Facts -- 46.2 Problems -- 46.3 Hints -- 46.4 Solutions -- 46.5 Bibliographic Notes -- 47 LIBOR MARKET MODELS -- 47.1 Basic Concepts and Facts -- 47.2 Problems -- 47.3 Hints -- 47.4 Solutions -- 47.5 Bibliographic Notes -- References -- List of Symbols -- Subject Index.
Record Nr. UNINA-9910795832703321
Gan Guojun  
Somerset : , : John Wiley & Sons, Incorporated, , 2014
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Measure, Probability, and Mathematical Finance : A Problem-Oriented Approach
Measure, Probability, and Mathematical Finance : A Problem-Oriented Approach
Autore Gan Guojun
Edizione [1st ed.]
Pubbl/distr/stampa Somerset : , : John Wiley & Sons, Incorporated, , 2014
Descrizione fisica 1 online resource (741 pages)
Disciplina 332.015195
Altri autori (Persone) MaChaoqun
XieHong
Soggetto topico Finance -- Mathematical models
Finance -- Research
Social sciences -- Research -- Statistical methods
Soggetto genere / forma Electronic books.
ISBN 9781118831984
9781118831960
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Intro -- MEASURE, PROBABILITY, AND MATHEMATICAL FINANCE: A Problem-Oriented Approach -- Copyright -- CONTENTS -- Preface -- Financial Glossary -- PART I MEASURE THEORY -- 1 Sets and Sequences -- 1.1 Basic Concepts and Facts -- 1.2 Problems -- 1.3 Hints -- 1.4 Solutions -- 1.5 Bibliographic Notes -- 2 MEASURES -- 2.1 Basic Concepts and Facts -- 2.2 Problems -- 2.3 Hints -- 2.4 Solutions -- 2.5 Bibliographic Notes -- 3 EXTENSION OF MEASURES -- 3.1 Basic Concepts and Facts -- 3.2 Problems -- 3.3 Hints -- 3.4 Solutions -- 3.5 Bibliographic Notes -- 4 LEBESGUE-STIELT JES MEASURES -- 4.1 Basic Concepts and Facts -- 4.2 Problems -- 4.3 Hints -- 4.4 Solutions -- 4.5 Bibliographic Notes -- 5 MEASURABLE FUNCTIONS -- 5.1 Basic Concepts and Facts -- 5.2 Problems -- 5.3 Hints -- 5.4 Solutions -- 5.5 Bibliographic Notes -- 6 LEBESGUE INTEGRATION -- 6.1 Basic Concepts and Facts -- 6.2 Problems -- 6.3 Hints -- 6.4 Solutions -- 6.5 Bibliographic Notes -- 7 THE RADON-NIKODYM THEOREM -- 7.1 Basic Concepts and Facts -- 7.2 Problems -- 7.3 Hints -- 7.4 Solutions -- 7.5 Bibliographic Notes -- 8 LP SPACES -- 8.1 Basic Concepts and Facts -- 8.2 Problems -- 8.3 Hints -- 8.4 Solutions -- 8.5 Bibliographic Notes -- 9 CONVERGENCE -- 9.1 Basic Concepts and Facts -- 9.2 Problems -- 9.3 Hints -- 9.4 Solutions -- 9.5 Bibliographic Notes -- 10 PRODUCT MEASURES -- 10.1 Basic Concepts and Facts -- 10.2 Problems -- 10.3 Hints -- 10.4 Solutions -- 10.5 Bibliographic Notes -- PART II PROBABILITY THEORY -- 11 EVENTS AND RANDOM VARIABLES -- 11.1 Basic Concepts and Facts -- 11.2 Problems -- 11.3 Hints -- 11.4 Solutions -- 11.5 Bibliographic Notes -- 12 INDEPENDENCE -- 12.1 Basic Concepts and Facts -- 12.2 Problems -- 12.3 Hints -- 12.4 Solutions -- 12.5 Bibliographic Notes -- 13 EXPECTATION -- 13.1 Basic Concepts and Facts -- 13.2 Problems -- 13.3 Hints -- 13.4 Solutions.
13.5 Bibliographic Notes -- 14 CONDITIONAL EXPECTATION -- 14.1 Basic Concepts and Facts -- 14.2 Problems -- 14.3 Hints -- 14.4 Solutions -- 14.5 Bibliographic Notes -- 15 INEQUALITIES -- 15.1 Basic Concepts and Facts -- 15.2 Problems -- 15.3 Hints -- 15.4 Solutions -- 15.5 Bibliographic Notes -- 16 LAW OF LARGE NUMBERS -- 16.1 Basic Concepts and Facts -- 16.2 Problems -- 16.3 Hints -- 16.4 Solutions -- 16.5 Bibliographic Notes -- 17 CHARACTERISTIC FUNCTIONS -- 17.1 Basic Concepts and Facts -- 17.2 Problems -- 17.3 Hints -- 17.4 Solutions -- 17.5 Bibliographic Notes -- 18 DISCRETE DISTRIBUTIONS -- 18.1 Basic Concepts and Facts -- 18.2 Problems -- 18.3 Hints -- 18.4 Solutions -- 18.5 Bibliographic Notes -- 19 CONTINUOUS DISTRIBUTIONS -- 19.1 Basic Concepts and Facts -- 19.2 Problems -- 19.3 Hints -- 19.4 Solutions -- 19.5 Bibliographic Notes -- 20 CENTRAL LIMIT THEOREMS -- 20.1 Basic Concepts and Facts -- 20.2 Problems -- 20.3 Hints -- 20.4 Solutions -- 20.5 Bibliographic Notes -- PART III STOCHASTIC PROCESSES -- 21 STOCHASTIC PROCESSES -- 21.1 Basic Concepts and Facts -- 21.2 Problems -- 21.3 Hints -- 21.4 Solutions -- 21.5 Bibliographic Notes -- 22 MARTINGALES -- 22.1 Basic Concepts and Facts -- 22.2 Problems -- 22.3 Hints -- 22.4 Solutions -- 22.5 Bibliographic Notes -- 23 STOPPING TIMES -- 23.1 Basic Concepts and Facts -- 23.2 Problems -- 23.3 Hints -- 23.4 Solutions -- 23.5 Bibliographic Notes -- 24 MARTINGALE INEQUALITIES -- 24.1 Basic Concepts and Facts -- 24.2 Problems -- 24.3 Hints -- 24.4 Solutions -- 24.5 Bibliographic Notes -- 25 MARTINGALE CONVERGENCE THEOREMS -- 25.1 Basic Concepts and Facts -- 25.2 Problems -- 25.3 Hints -- 25.4 Solutions -- 25.5 Bibliographic Notes -- 26 RANDOM WALKS -- 26.1 Basic Concepts and Facts -- 26.2 Problems -- 26.3 Hints -- 26.4 Solutions -- 26.5 Bibliographic Notes -- 27 POISSON PROCESSES.
27.1 Basic Concepts and Facts -- 27.2 Problems -- 27.3 Hints -- 27.4 Solutions -- 27.5 Bibliographic Notes -- 28 BROWNIAN MOTION -- 28.1 Basic Concepts and Facts -- 28.2 Problems -- 28.3 Hints -- 28.4 Solutions -- 28.5 Bibliographic Notes -- 29 MARKOV PROCESSES -- 29.1 Basic Concepts and Facts -- 29.2 Problems -- 29.3 Hints -- 29.4 Solutions -- 29.5 Bibliographic Notes -- 30 LEVY PROCESSES -- 30.1 Basic Concepts and Facts -- 30.2 Problems -- 30.3 Hints -- 30.4 Solutions -- 30.5 Bibliographic Notes -- PART IV STOCHASTIC CALCULUS -- 31THE WIENER INTEGRAL -- 31.1 Basic Concepts and Facts -- 31.2 Problems -- 31.3 Hints -- 31.4 Solutions -- 31.5 Bibliographic Notes -- 32 THE ITO INTEGRAL -- 32.1 Basic Concepts and Facts -- 32.2 Problems -- 32.3 Hints -- 32.4 Solutions -- 32.5 Bibliographic Notes -- 33 EXTENSION OF THE ITO INTEGRAL -- 33.1 Basic Concepts and Facts -- 33.2 Problems -- 33.3 Hints -- 33.4 Solutions -- 33.5 Bibliographic Notes -- 34 MARTINGALE STOCHASTIC INTEGRALS -- 34.1 Basic Concepts and Facts -- 34.2 Problems -- 34.3 Hints -- 34.4 Solutions -- 34.5 Bibliographic Notes -- 35 THE ITO FORMULA -- 35.1 Basic Concepts and Facts -- 35.2 Problems -- 35.3 Hints -- 35.4 Solutions -- 35.5 Bibliographic Notes -- 36 MARTINGALE REPRESENTATION THEOREM -- 36.1 Basic Concepts and Facts -- 36.2 Problems -- 36.3 Hints -- 36.4 Solutions -- 36.5 Bibliographic Notes -- 37 CHANGE OF MEASURE -- 37.1 Basic Concepts and Facts -- 37.2 Problems -- 37.3 Hints -- 37.4 Solutions -- 37.5 Bibliographic Notes -- 38 STOCHASTIC DIFFERENTIAL EQUATIONS -- 38.1 Basic Concepts and Facts -- 38.2 Problems -- 38.3 Hints -- 38.4 Solutions -- 38.5 Bibliographic Notes -- 39 DIFFUSION -- 39.1 Basic Concepts and Facts -- 39.2 Problems -- 39.3 Hints -- 39.4 Solutions -- 39.5 Bibliographic Notes -- 40 THE FEYNMAN-KAC FORMULA -- 40.1 Basic Concepts and Facts -- 40.2 Problems -- 40.3 Hints.
40.4 Solutions -- 40.5 Bibliographic Notes -- PART V STOCHASTIC FINANCIAL MODELS -- 41 DISCRETE-TIME MODELS -- 41.1 Basic Concepts and Facts -- 41.2 Problems -- 41.3 Hints -- 41.4 Solutions -- 41.5 Bibliographic Notes -- 42 BLACK-SCHOLES OPTION PRICING MODELS -- 42.1 Basic Concepts and Facts -- 42.2 Problems -- 42.3 Hints -- 42.4 Solutions -- 42.5 Bibliographic Notes -- 43 PATH-DEPENDENT OPTIONS -- 43.1 Basic Concepts and Facts -- 43.2 Problems -- 43.3 Hints -- 43.4 Solutions -- 43.5 Bibliographic Notes -- 44 AMERICAN OPTIONS -- 44.1 Basic Concepts and Facts -- 44.2 Problems -- 44.3 Hints -- 44.4 Solutions -- 44.5 Bibliographic Notes -- 45 SHORT RATE MODELS -- 45.1 Basic Concepts and Facts -- 45.2 Problems -- 45.3 Hints -- 45.4 Solutions -- 45.5 Bibliographic Notes -- 46 INSTANTANEOUS FORWARD RATEMODELS -- 46.1 Basic Concepts and Facts -- 46.2 Problems -- 46.3 Hints -- 46.4 Solutions -- 46.5 Bibliographic Notes -- 47 LIBOR MARKET MODELS -- 47.1 Basic Concepts and Facts -- 47.2 Problems -- 47.3 Hints -- 47.4 Solutions -- 47.5 Bibliographic Notes -- References -- List of Symbols -- Subject Index.
Record Nr. UNINA-9910810312403321
Gan Guojun  
Somerset : , : John Wiley & Sons, Incorporated, , 2014
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