Pubbl/distr/stampa	Piscataway, NJ : , : IEEE, , [2011]-
Descrizione fisica	1 online resource
Disciplina	006
Soggetto topico	Computational intelligence Financial engineering
Soggetto genere / forma	Conference papers and proceedings.
Formato	Materiale a stampa
Livello bibliografico	Periodico
Lingua di pubblicazione	eng
Record Nr.	UNINA-9910626171003321

Pubbl/distr/stampa	Piscataway, NJ : , : IEEE
Soggetto topico	Business intelligence Financial engineering
Formato	Materiale a stampa
Livello bibliografico	Periodico
Lingua di pubblicazione	eng
Record Nr.	UNISA-996279327803316

Pubbl/distr/stampa	[Place of publication not identified], : IEEE, 2010
Descrizione fisica	1 online resource (930 pages)
Disciplina	332
Soggetto topico	Financial engineering Finance - Data processing
ISBN	1-4244-6928-7
Formato	Materiale a stampa
Livello bibliografico	Monografia
Lingua di pubblicazione	eng
Record Nr.	UNISA-996213752603316

Pubbl/distr/stampa	Singapore ; ; Hackensack, N.J., : World Scientific, 2011
Descrizione fisica	xi, 245 p. : ill
Disciplina	332
Altri autori (Persone)	KijimaMasaaki <1957->
Soggetto topico	Financial engineering
Soggetto genere / forma	Electronic books.
ISBN	1-283-43406-7 9786613434067 981-4366-03-X
Formato	Materiale a stampa
Livello bibliografico	Monografia
Lingua di pubblicazione	eng
Nota di contenuto	The distribution of returns at longer horizons / E. Eberlein and D. B. Madan -- Two examples of an insider with medium/long term effects on the underlying / H. Hata and A. Kohatsu-Higa -- A note on the risk management of CDOs / J.-P. Laurent -- Robust no arbitrage condition for continuous-time models with transaction costs / E. Denis -- Modeling of interest-rate term structures under collateralization and its implications / M. Fujii and A. Takahashi -- On the state variables for optimal portfolio strategies in the Japanese market / S. Kamimura -- The diversity of information acquisition strategies in a noisy REE model with a common signal and independent signals / S. Kawanishi -- Option pricing with a regime-switching Levy model / C. C. Siu -- An empirical analysis of equity market expectations in the financial turmoil using implied moments and jump diffusion processes / Y. Sugihara and N. Oda -- Investor characteristics and portfolio value / N. Takezawa -- Optimal hedging with additive models / Y. Yamada.
Record Nr.	UNINA-9910464526603321

Pubbl/distr/stampa	Berlin ; ; New York, : Walter de Gruyter, c2009
Descrizione fisica	1 online resource (464 p.)
Disciplina	519.5
Altri autori (Persone)	AlbrecherHansjörg RunggaldierW. J (Wolfgang J.) SchachermayerWalter
Collana	Radon series on computational and applied mathematics
Soggetto topico	Finance - Mathematical models Options (Finance) - Mathematical models Insurance - Mathematics Stochastic differential equations Mathematical optimization Financial engineering
Soggetto genere / forma	Electronic books.
ISBN	1-282-45684-9 9786612456848 3-11-021314-1
Classificazione	SK 980
Formato	Materiale a stampa
Livello bibliografico	Monografia
Lingua di pubblicazione	eng
Nota di contenuto	Frontmatter -- Contents -- Brownian semistationary processes and volatility/intermittency -- From bounds on optimal growth towards a theory of good-deal hedging -- Viscosity solutions to optimal portfolio allocation problems in models with random time changes and transaction costs -- Discrete-time approximation of BSDEs and probabilistic schemes for fully nonlinear PDEs -- Affine diffusion processes: theory and applications -- Multilevel quasi-Monte Carlo path simulation -- Modelling default and prepayment using Lévy processes: an application to asset backed securities -- Adaptive variance reduction techniques in finance -- Regularisation of inverse problems and its application to the calibration of option price models -- Optimal consumption and investment with bounded downside risk measures for logarithmic utility functions -- A review of some recent results on Malliavin Calculus and its applications -- The numeraire portfolio in discrete time: existence, related concepts and applications -- A worst-case approach to continuous-time portfolio optimisation -- Time consistency and information monotonicity of multiperiod acceptability functionals -- Optimal investment and hedging under partial and inside information -- Investment/consumption choice in illiquid markets with random trading times -- Optimal asset allocation in a stochastic factor model - an overview and open problems
Record Nr.	UNINA-9910457020303321