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Financial models with Lévy processes and volatility clustering [[electronic resource] /] / Svetlozar T. Rachev ... [et al.]
| Financial models with Lévy processes and volatility clustering [[electronic resource] /] / Svetlozar T. Rachev ... [et al.] |
| Pubbl/distr/stampa | Hoboken, NJ, : Wiley, c2011 |
| Descrizione fisica | 1 online resource (416 p.) |
| Disciplina |
332.0415015192
332/.0415015192 |
| Altri autori (Persone) | RachevS. T (Svetlozar Todorov) |
| Collana | The Frank J. Fabozzi series |
| Soggetto topico |
Capital assets pricing model
Lévy processes Finance - Mathematical models Probabilities |
| ISBN |
1-283-02564-7
9786613025647 1-118-26807-5 0-470-93716-5 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Financial Models with Levy Processes and Volatility Clustering; Contents; Preface; About the Authors; CHAPTER 1 Introduction; CHAPTER 2 Probability Distributions; CHAPTER 3 Stable and Tempered Stable Distributions; CHAPTER 4 Stochastic Processes in Continuous Time; CHAPTER 5 Conditional Expectation and Change of Measure; CHAPTER 6 Exponential Levy Models; CHAPTER 7 Option Pricing in Exponential L ́evy Models; CHAPTER 8 Simulation; CHAPTER 9 Multi-Tail t-Distribution; CHAPTER 10 Non-Gaussian Portfolio Allocation; CHAPTER 11 Normal GARCH models
CHAPTER 12 Smoothly Truncated Stable GARCH Models CHAPTER 13 Infinitely Divisible GARCH Models; CHAPTER 14 Option Pricing with Monte Carlo Methods; CHAPTER 15 American Option Pricing with Monte Carlo Methods; Index |
| Record Nr. | UNINA-9910139212303321 |
| Hoboken, NJ, : Wiley, c2011 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Financial models with Lévy processes and volatility clustering [[electronic resource] /] / Svetlozar T. Rachev ... [et al.]
| Financial models with Lévy processes and volatility clustering [[electronic resource] /] / Svetlozar T. Rachev ... [et al.] |
| Pubbl/distr/stampa | Hoboken, NJ, : Wiley, c2011 |
| Descrizione fisica | 1 online resource (416 p.) |
| Disciplina |
332.0415015192
332/.0415015192 |
| Altri autori (Persone) | RachevS. T (Svetlozar Todorov) |
| Collana | The Frank J. Fabozzi series |
| Soggetto topico |
Capital assets pricing model
Lévy processes Finance - Mathematical models Probabilities |
| ISBN |
1-283-02564-7
9786613025647 1-118-26807-5 0-470-93716-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Financial Models with Levy Processes and Volatility Clustering; Contents; Preface; About the Authors; CHAPTER 1 Introduction; CHAPTER 2 Probability Distributions; CHAPTER 3 Stable and Tempered Stable Distributions; CHAPTER 4 Stochastic Processes in Continuous Time; CHAPTER 5 Conditional Expectation and Change of Measure; CHAPTER 6 Exponential Levy Models; CHAPTER 7 Option Pricing in Exponential L ́evy Models; CHAPTER 8 Simulation; CHAPTER 9 Multi-Tail t-Distribution; CHAPTER 10 Non-Gaussian Portfolio Allocation; CHAPTER 11 Normal GARCH models
CHAPTER 12 Smoothly Truncated Stable GARCH Models CHAPTER 13 Infinitely Divisible GARCH Models; CHAPTER 14 Option Pricing with Monte Carlo Methods; CHAPTER 15 American Option Pricing with Monte Carlo Methods; Index |
| Record Nr. | UNINA-9910807814803321 |
| Hoboken, NJ, : Wiley, c2011 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Fluctuation theory for Lévy processes : Ecole d'Eté de Probabilités de Saint-Flour XXXV - 2005 / / edited by Jean Picard and Ronald A. Doney
| Fluctuation theory for Lévy processes : Ecole d'Eté de Probabilités de Saint-Flour XXXV - 2005 / / edited by Jean Picard and Ronald A. Doney |
| Edizione | [1st ed. 2007.] |
| Pubbl/distr/stampa | Berlin, Heidelberg : , : Springer-Verlag, , [2007] |
| Descrizione fisica | 1 online resource (153 p.) |
| Disciplina | 519.282 |
| Collana | École d'Été de Probabilités de Saint-Flour |
| Soggetto topico | Lévy processes |
| ISBN |
1-280-85335-2
9786610853359 3-540-48511-2 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | to Lévy Processes -- Subordinators -- Local Times and Excursions -- Ladder Processes and the Wiener–Hopf Factorisation -- Further Wiener–Hopf Developments -- Creeping and Related Questions -- Spitzer's Condition -- Lévy Processes Conditioned to Stay Positive -- Spectrally Negative Lévy Processes -- Small-Time Behaviour. |
| Record Nr. | UNINA-9910482987503321 |
| Berlin, Heidelberg : , : Springer-Verlag, , [2007] | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Fluctuation theory for Lévy processes : Ecole d'Eté de Probabilités de Saint-Flour XXXV - 2005 / / edited by Jean Picard and Ronald A. Doney
| Fluctuation theory for Lévy processes : Ecole d'Eté de Probabilités de Saint-Flour XXXV - 2005 / / edited by Jean Picard and Ronald A. Doney |
| Edizione | [1st ed. 2007.] |
| Pubbl/distr/stampa | Berlin, Heidelberg : , : Springer-Verlag, , [2007] |
| Descrizione fisica | 1 online resource (153 p.) |
| Disciplina | 519.282 |
| Collana | École d'Été de Probabilités de Saint-Flour |
| Soggetto topico | Lévy processes |
| ISBN |
1-280-85335-2
9786610853359 3-540-48511-2 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | to Lévy Processes -- Subordinators -- Local Times and Excursions -- Ladder Processes and the Wiener–Hopf Factorisation -- Further Wiener–Hopf Developments -- Creeping and Related Questions -- Spitzer's Condition -- Lévy Processes Conditioned to Stay Positive -- Spectrally Negative Lévy Processes -- Small-Time Behaviour. |
| Record Nr. | UNISA-996466646603316 |
| Berlin, Heidelberg : , : Springer-Verlag, , [2007] | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. di Salerno | ||
| ||
Levy processes in credit risk [[electronic resource] /] / Wim Schoutens and Jessica Cariboni
| Levy processes in credit risk [[electronic resource] /] / Wim Schoutens and Jessica Cariboni |
| Autore | Schoutens Wim |
| Pubbl/distr/stampa | [Hoboken, NJ], : John Wiley & Sons, c2009 |
| Descrizione fisica | 1 online resource (201 p.) |
| Disciplina |
332.7
658.88015195 |
| Altri autori (Persone) | CariboniJessica |
| Collana | The Wiley Finance Series |
| Soggetto topico |
Credit - Management - Mathematical models
Risk management - Mathematical models Lévy processes |
| Soggetto genere / forma | Electronic books. |
| ISBN |
0-470-68506-9
1-119-20652-9 1-282-29172-6 9786612291722 0-470-74903-2 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | L ́evy Processes in Credit Risk; Contents; Preface; Acknowledgements; PART I: INTRODUCTION; 1 An Introduction to Credit Risk; 2 An Introduction to L ́evy Processes; PART II: SINGLE-NAME MODELLING; 3 Single-Name Credit Derivatives; 4 Firm-Value L ́evy Models; 5 Intensity L ́evy Models; PART III: MULTIVARIATE MODELLING; 6 Multivariate Credit Products; 7 Collateralized Debt Obligations; 8 Multivariate Index Modelling; PART IV: EXOTIC STRUCTURED CREDIT RISK PRODUCTS; 9 Credit CPPIs and CPDOs; 10 Asset-Backed Securities; Bibliography; Index |
| Record Nr. | UNINA-9910139929003321 |
Schoutens Wim
|
||
| [Hoboken, NJ], : John Wiley & Sons, c2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Levy processes in credit risk [[electronic resource] /] / Wim Schoutens and Jessica Cariboni
| Levy processes in credit risk [[electronic resource] /] / Wim Schoutens and Jessica Cariboni |
| Autore | Schoutens Wim |
| Pubbl/distr/stampa | [Hoboken, NJ], : John Wiley & Sons, c2009 |
| Descrizione fisica | 1 online resource (201 p.) |
| Disciplina |
332.7
658.88015195 |
| Altri autori (Persone) | CariboniJessica |
| Collana | The Wiley Finance Series |
| Soggetto topico |
Credit - Management - Mathematical models
Risk management - Mathematical models Lévy processes |
| ISBN |
0-470-68506-9
1-119-20652-9 1-282-29172-6 9786612291722 0-470-74903-2 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | L ́evy Processes in Credit Risk; Contents; Preface; Acknowledgements; PART I: INTRODUCTION; 1 An Introduction to Credit Risk; 2 An Introduction to L ́evy Processes; PART II: SINGLE-NAME MODELLING; 3 Single-Name Credit Derivatives; 4 Firm-Value L ́evy Models; 5 Intensity L ́evy Models; PART III: MULTIVARIATE MODELLING; 6 Multivariate Credit Products; 7 Collateralized Debt Obligations; 8 Multivariate Index Modelling; PART IV: EXOTIC STRUCTURED CREDIT RISK PRODUCTS; 9 Credit CPPIs and CPDOs; 10 Asset-Backed Securities; Bibliography; Index |
| Record Nr. | UNINA-9910830832003321 |
|
Schoutens Wim
|
||
| [Hoboken, NJ], : John Wiley & Sons, c2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Levy processes in credit risk [[electronic resource] /] / Wim Schoutens and Jessica Cariboni
| Levy processes in credit risk [[electronic resource] /] / Wim Schoutens and Jessica Cariboni |
| Autore | Schoutens Wim |
| Pubbl/distr/stampa | [Hoboken, NJ], : John Wiley & Sons, c2009 |
| Descrizione fisica | 1 online resource (201 p.) |
| Disciplina |
332.7
658.88015195 |
| Altri autori (Persone) | CariboniJessica |
| Collana | The Wiley Finance Series |
| Soggetto topico |
Credit - Management - Mathematical models
Risk management - Mathematical models Lévy processes |
| ISBN |
0-470-68506-9
1-119-20652-9 1-282-29172-6 9786612291722 0-470-74903-2 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | L ́evy Processes in Credit Risk; Contents; Preface; Acknowledgements; PART I: INTRODUCTION; 1 An Introduction to Credit Risk; 2 An Introduction to L ́evy Processes; PART II: SINGLE-NAME MODELLING; 3 Single-Name Credit Derivatives; 4 Firm-Value L ́evy Models; 5 Intensity L ́evy Models; PART III: MULTIVARIATE MODELLING; 6 Multivariate Credit Products; 7 Collateralized Debt Obligations; 8 Multivariate Index Modelling; PART IV: EXOTIC STRUCTURED CREDIT RISK PRODUCTS; 9 Credit CPPIs and CPDOs; 10 Asset-Backed Securities; Bibliography; Index |
| Record Nr. | UNINA-9910841343603321 |
|
Schoutens Wim
|
||
| [Hoboken, NJ], : John Wiley & Sons, c2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Lévy processes and stochastic calculus / / David Applebaum [[electronic resource]]
| Lévy processes and stochastic calculus / / David Applebaum [[electronic resource]] |
| Autore | Applebaum David <1956-> |
| Pubbl/distr/stampa | Cambridge : , : Cambridge University Press, , 2004 |
| Descrizione fisica | 1 online resource (xxiv, 384 pages) : digital, PDF file(s) |
| Disciplina | 519.2/2 |
| Collana | Cambridge studies in advanced mathematics |
| Soggetto topico |
Lévy processes
Stochastic analysis |
| ISBN |
1-107-14887-1
1-280-54040-0 9786610540402 0-511-21477-4 0-511-21656-4 0-511-21119-8 0-511-31534-1 0-511-75532-5 0-511-21296-8 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Cover; Half-title; Series-title; Title; Copyright; Dedication; Contents; Preface; Overview; Notation; 1 Lévy processes; 2 Martingales, stopping times and random measures; 3 Markov processes, semigroups and generators; 4 Stochastic integration; 5 Exponential martingales, change of measure and financial applications; 6 Stochastic differential equations; References; Index of notation; Subject index |
| Altri titoli varianti | Lévy Processes & Stochastic Calculus |
| Record Nr. | UNINA-9910457662903321 |
|
Applebaum David <1956->
|
||
| Cambridge : , : Cambridge University Press, , 2004 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Lévy processes and stochastic calculus / / David Applebaum [[electronic resource]]
| Lévy processes and stochastic calculus / / David Applebaum [[electronic resource]] |
| Autore | Applebaum David <1956-> |
| Pubbl/distr/stampa | Cambridge : , : Cambridge University Press, , 2004 |
| Descrizione fisica | 1 online resource (xxiv, 384 pages) : digital, PDF file(s) |
| Disciplina | 519.2/2 |
| Collana | Cambridge studies in advanced mathematics |
| Soggetto topico |
Lévy processes
Stochastic analysis |
| ISBN |
1-107-14887-1
1-280-54040-0 9786610540402 0-511-21477-4 0-511-21656-4 0-511-21119-8 0-511-31534-1 0-511-75532-5 0-511-21296-8 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Cover; Half-title; Series-title; Title; Copyright; Dedication; Contents; Preface; Overview; Notation; 1 Lévy processes; 2 Martingales, stopping times and random measures; 3 Markov processes, semigroups and generators; 4 Stochastic integration; 5 Exponential martingales, change of measure and financial applications; 6 Stochastic differential equations; References; Index of notation; Subject index |
| Altri titoli varianti | Lévy Processes & Stochastic Calculus |
| Record Nr. | UNINA-9910784320403321 |
|
Applebaum David <1956->
|
||
| Cambridge : , : Cambridge University Press, , 2004 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Lévy processes and stochastic calculus / / David Applebaum [[electronic resource]]
| Lévy processes and stochastic calculus / / David Applebaum [[electronic resource]] |
| Autore | Applebaum David <1956-> |
| Pubbl/distr/stampa | Cambridge : , : Cambridge University Press, , 2004 |
| Descrizione fisica | 1 online resource (xxiv, 384 pages) : digital, PDF file(s) |
| Disciplina | 519.2/2 |
| Collana | Cambridge studies in advanced mathematics |
| Soggetto topico |
Lévy processes
Stochastic analysis |
| ISBN |
1-107-14887-1
1-280-54040-0 9786610540402 0-511-21477-4 0-511-21656-4 0-511-21119-8 0-511-31534-1 0-511-75532-5 0-511-21296-8 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Cover; Half-title; Series-title; Title; Copyright; Dedication; Contents; Preface; Overview; Notation; 1 Lévy processes; 2 Martingales, stopping times and random measures; 3 Markov processes, semigroups and generators; 4 Stochastic integration; 5 Exponential martingales, change of measure and financial applications; 6 Stochastic differential equations; References; Index of notation; Subject index |
| Altri titoli varianti | Lévy Processes & Stochastic Calculus |
| Record Nr. | UNINA-9910828068103321 |
|
Applebaum David <1956->
|
||
| Cambridge : , : Cambridge University Press, , 2004 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
