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Actuarial Sciences and Quantitative Finance : ICASQF2016, Cartagena, Colombia, June 2016 / / edited by Jaime A. Londoño, José Garrido, Monique Jeanblanc
Actuarial Sciences and Quantitative Finance : ICASQF2016, Cartagena, Colombia, June 2016 / / edited by Jaime A. Londoño, José Garrido, Monique Jeanblanc
Edizione [1st ed. 2017.]
Pubbl/distr/stampa Cham : , : Springer International Publishing : , : Imprint : Springer, , 2017
Descrizione fisica 1 online resource (IX, 174 p. 50 illus., 42 illus. in color.)
Disciplina 368.01
Collana Springer Proceedings in Mathematics & Statistics
Soggetto topico Actuarial science
Economics, Mathematical 
Statistics 
Actuarial Sciences
Quantitative Finance
Statistics for Business, Management, Economics, Finance, Insurance
ISBN 3-319-66536-7
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Part I: Actuarial Sciences -- Robust paradigm applied to parameter reduction in actuarial triangle models -- Unlocking reserve assumptions using retrospective analysis -- Spatial Statistical tools to assess mortality differences in Europe -- Stochastic control for insurance: Models, Strategies and Numerics -- Stochastic control for insurance: new problems and methods -- Part II: Quantitative Finance -- Bermudan option valuation under state-department models -- Option-Implied Objective Measures of Market Risk with Leverage -- The Sustainable Black-Scholes Equations -- Author Index.
Record Nr. UNINA-9910254289303321
Cham : , : Springer International Publishing : , : Imprint : Springer, , 2017
Materiale a stampa
Lo trovi qui: Univ. Federico II
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Actuarial sciences and quantitative finance : ICASQF, Bogotá, Colombia, June 2014 / / Jaime A. Londoño, José Garrido, Daniel Hernández-Hernández, editors
Actuarial sciences and quantitative finance : ICASQF, Bogotá, Colombia, June 2014 / / Jaime A. Londoño, José Garrido, Daniel Hernández-Hernández, editors
Pubbl/distr/stampa Cham : , : Springer, , [2015]
Descrizione fisica 1 online resource (xi, 98 pages) : illustrations (some color)
Disciplina 368.01
Collana Springer Proceedings in Mathematics & Statistics
Soggetto topico Actuarial science
Economics, Mathematical 
Insurance - Mathematics
Actuarial Sciences
Quantitative Finance
Statistics for Business, Management, Economics, Finance, Insurance
ISBN 3-319-18239-0
9783319182391
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Modeling Electricity Spot Price Dynamics by Using Levy-Type Cox Processes: An Application to the Colombian Market -- Using Value-at-Risk (VaR) to Measure Market Risk of the Equity Inventory of a Market Maker.- Reverse mortgage schemes financing urban dynamics using the multiple decrement approach -- Speedup of Calibration and Pricing with SABR models: from equities to interest rates derivatives -- Bergman, Piterbarg and Beyond: Pricing Derivatives under Collateralization and Differential Rates.
Altri titoli varianti ICASQF
Record Nr. UNINA-9910299771403321
Cham : , : Springer, , [2015]
Materiale a stampa
Lo trovi qui: Univ. Federico II
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Advanced Modelling in Mathematical Finance : In Honour of Ernst Eberlein / / edited by Jan Kallsen, Antonis Papapantoleon
Advanced Modelling in Mathematical Finance : In Honour of Ernst Eberlein / / edited by Jan Kallsen, Antonis Papapantoleon
Edizione [1st ed. 2016.]
Pubbl/distr/stampa Cham : , : Springer International Publishing : , : Imprint : Springer, , 2016
Descrizione fisica 1 online resource (XXIV, 496 p. 79 illus., 69 illus. in color.)
Disciplina 332.60151
Collana Springer Proceedings in Mathematics & Statistics
Soggetto topico Economics, Mathematical 
Probabilities
Quantitative Finance
Probability Theory and Stochastic Processes
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Preface -- An Interview with Ernst Eberlein -- Part I: Flexible Lévy-based models. E. A. v. Hammerstein: Tail behaviour and tail dependence of generalized hyperbolic distributions -- O. Barndorff-Nielsen: Gamma kernels and BSS/LSS processes -- M. Mandjes and P. Spreij: Explicit computations for some Markov modulated counting processes -- Part II: Statistics and risk -- H. Geman and B. Liu: The outlook of energy markets in 2015: introducing distances between forward curves -- D. Madan: Three non-Gaussian models of dependence in returns -- A. Kimura and N. Yoshida: Estimation of correlation between latent processes -- J. Beirlant, W. Schoutens, J. De Spiegeleer, T. Reynkens, and K. Herrmann: Hunting for black swans in the European banking sector using extreme value analysis -- E. Lütkebohmert-Holtz and Y. Xiao: Collateralized borrowing and default risk -- G. Stahl: Model uncertainty in a holistic perspective -- Part III: Derivative pricing, hedging, and optimization -- Ch. Bayer and J. Schoenmakers: Option pricing in affine generalized Merton models -- G. Jahncke and J. Kallsen: Approximate pricing of call options on the quadratic variation in Lévy models -- A. Černý: Dynamic discrete-time hedging of barrier options under leptokurtic returns driven by an exponential Lévy model -- M. Musiela, E. Sokolova, and Th. Zariphopoulou: Exponential forward indifference prices in incomplete binomial models -- M. Feodoria and J. Kallsen: Almost surely optimal portfolios under propotional transaction costs -- J. M. Corcuera, J. Fajardo, and O. Pamen: On the optimal payoffs -- L. Rüschendorf and V. Wolf: Construction and hedging of optimal payoffs in Lévy Models -- Part IV: Term-structure modelling -- I. Klein, Th. Schmidt, and J. Teichmann: No arbitrage theory for bond markets -- K. Glau, Z. Grbac, and Antonis Papapantoleon: A unified view of LIBOR models -- Z. Grbac, D. Krief, and P. Tankov: Approximate option pricing in the Lévy LIBOR model -- F. E. Benth: Cointegrated commodity markets and pricing of derivatives in a non-Gaussian framework.
Record Nr. UNINA-9910155301603321
Cham : , : Springer International Publishing : , : Imprint : Springer, , 2016
Materiale a stampa
Lo trovi qui: Univ. Federico II
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Affine Diffusions and Related Processes: Simulation, Theory and Applications / / by Aurélien Alfonsi
Affine Diffusions and Related Processes: Simulation, Theory and Applications / / by Aurélien Alfonsi
Autore Alfonsi Aurélien
Edizione [1st ed. 2015.]
Pubbl/distr/stampa Cham : , : Springer International Publishing : , : Imprint : Springer, , 2015
Descrizione fisica 1 online resource (264 p.)
Disciplina 330.015195
510
518
519
519.2
570.285
Collana Bocconi & Springer Series, Mathematics, Statistics, Finance and Economics
Soggetto topico Economics, Mathematical 
Statistics 
Probabilities
Computer mathematics
Biomathematics
Quantitative Finance
Statistics for Business, Management, Economics, Finance, Insurance
Probability Theory and Stochastic Processes
Computational Mathematics and Numerical Analysis
Mathematical and Computational Biology
ISBN 3-319-05221-7
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto 1 Real valued affine diffusions -- 2 An introduction to simulation schemes for SDEs -- 3 Simulation of the CIR process -- 4 The Heston model and multidimensional affine diffusions -- 5 Wishart processes and affine diffusions on positive semidefinite matrices -- 6 Processes of Wright-Fisher type -- 7 Appendix A Some results on matrices -- 8 Appendix B Simulation of a gamma random variable.
Record Nr. UNINA-9910299764203321
Alfonsi Aurélien  
Cham : , : Springer International Publishing : , : Imprint : Springer, , 2015
Materiale a stampa
Lo trovi qui: Univ. Federico II
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Algorithmic differentiation in finance explained / / by Marc Henrard
Algorithmic differentiation in finance explained / / by Marc Henrard
Autore Henrard Marc
Edizione [1st ed. 2017.]
Pubbl/distr/stampa Cham : , : Springer International Publishing : , : Imprint : Palgrave Macmillan, , 2017
Descrizione fisica 1 online resource (XIII, 103 p. 7 illus.)
Disciplina 332
Collana Financial Engineering Explained
Soggetto topico Financial engineering
Economics, Mathematical 
Financial Engineering
Quantitative Finance
ISBN 3-319-53979-5
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Chapter1 Introduction -- Chapter2 The Principles of Algorithmic Differentiation -- Chapter3 Applications to Finance -- Chapter4 Automated Algorithmic differentiation -- Chapter5 Derivatives to Non-inputs and Non-derivatives to Inputs -- Chapter 6 Calibration.
Record Nr. UNINA-9910255043403321
Henrard Marc  
Cham : , : Springer International Publishing : , : Imprint : Palgrave Macmillan, , 2017
Materiale a stampa
Lo trovi qui: Univ. Federico II
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Analytical Corporate Finance / / by Angelo Corelli
Analytical Corporate Finance / / by Angelo Corelli
Autore Corelli Angelo
Edizione [2nd ed. 2018.]
Pubbl/distr/stampa Cham : , : Springer International Publishing : , : Imprint : Springer, , 2018
Descrizione fisica 1 online resource (xx, 501 pages) : illustrations
Disciplina 658.15
Collana Springer Texts in Business and Economics
Soggetto topico Business enterprises—Finance
Risk management
Economics, Mathematical 
Financial engineering
Accounting
Business Finance
Risk Management
Quantitative Finance
Financial Engineering
Financial Accounting
ISBN 3-319-95762-7
9783319957623
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Basic Concepts -- Valuation Tools -- The Relationship Between Risk and Return -- Business Analysis -- Debt Valuation -- Equity Valuation -- Capital Structure -- Company Valuation -- Financial and Real Options -- Long-Term Financing -- Working Capital Management -- Financial Planning -- International Corporate Finance -- Special Topics.
Record Nr. UNINA-9910298198003321
Corelli Angelo  
Cham : , : Springer International Publishing : , : Imprint : Springer, , 2018
Materiale a stampa
Lo trovi qui: Univ. Federico II
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Analytical Finance: Volume I : The Mathematics of Equity Derivatives, Markets, Risk and Valuation / / by Jan R. M. Röman
Analytical Finance: Volume I : The Mathematics of Equity Derivatives, Markets, Risk and Valuation / / by Jan R. M. Röman
Autore Röman Jan R. M
Edizione [1st ed. 2017.]
Pubbl/distr/stampa Cham : , : Springer International Publishing : , : Imprint : Palgrave Macmillan, , 2017
Descrizione fisica 1 online resource (XXVII, 492 p. 3 illus., 1 illus. in color.)
Disciplina 332.6457015195
Soggetto topico Financial engineering
Economics, Mathematical 
Capital market
Risk management
Financial Engineering
Quantitative Finance
Capital Markets
Risk Management
ISBN 3-319-34027-1
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto 1.1. Clearing and settlement -- 1.2. About Risk -- 1.3. Credit and Counterparty Risk -- 1.4. Settlement Risk -- 1.5. Market Risk -- 1.6. Model Risk -- 2.1. Pricing via Arbitrage -- 2.2. Martingales -- 2.3. The Central Limit Theorem -- 2.4. A simple Random Walk -- 2.5. The Binomial model -- 2.6. Modern pricing theory based on risk-neutral valuation -- 2.7. More on Binomial models -- 2.8. Finite difference methods -- 2.9. Value-at-Risk - VaR -- 3.1. Introduction -- 3.2. A binomial model -- 3.3. Finite Probability Spaces -- 3.4. Properties of normal and log-normal distributions -- 3.5. The Itô Lemma -- 3.6. Stochastic integration -- 4.1. Classifications of Partial Differential Equations -- 4.2. Parabolic PDE's -- 4.3. The Black-Scholes-Merton model -- 4.4. Volatility -- 4.5. Parity relations -- 4.6. A practical guide to pricing -- 4.7. Currency options and the Garman-Kohlhagen model -- 4.8. Options on commodities -- 4.9. Black-Scholes and stochastic volatility -- 4.10. The Black-Scholes formulas -- 4.11. American versus European options -- 4.12. Analytical pricing formulas for American options -- 4.13. Poisson processes and jump diffusion -- 5.1. Martingale representation -- 5.2. Girsanov transformation -- 5.3. Securities paying dividends -- 5.4. Hedging -- 6.1. Contract for Difference - CFD -- 6.2. Binary options/ Digital options -- 6.3. Barrier options – Knock-out and Knock-in Options -- 6.4. Lookback Options -- 6.5. Asian Options -- 6.6. Chooser Options -- 6.7. Forward Options -- 6.8. Compound Options - Options on Options -- 6.9. Multi-Asset Options -- 6.10. Basket Options -- 6.11. Correlation Options -- 6.12. Exchange Options -- 6.13. Currency-Linked Options -- 6.14. Pay-Later Options -- 6.15. Extensible Options -- 6.16. Quantos -- 6.17. Structured products -- 6.18. Summary of exotic instruments -- 6.19. Something about weather derivatives -- 7.1. Introduction to deflators -- 8.1. Introduction -- 8.2. Strategies -- 8.3. A decreasing markets -- 8.4. An increasing market -- 8.5. Neutral markets -- 8.6. Volatile Markets -- 8.7. Using market indexes in pricing -- 8.8. Price direction matrix -- 8.9. Strategy matrix -- Appendix: Some source code.
Record Nr. UNINA-9910163990303321
Röman Jan R. M  
Cham : , : Springer International Publishing : , : Imprint : Palgrave Macmillan, , 2017
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Analytical Finance: Volume II : The Mathematics of Interest Rate Derivatives, Markets, Risk and Valuation / / by Jan R. M. Röman
Analytical Finance: Volume II : The Mathematics of Interest Rate Derivatives, Markets, Risk and Valuation / / by Jan R. M. Röman
Autore Röman Jan R. M
Edizione [1st ed. 2017.]
Pubbl/distr/stampa Cham : , : Springer International Publishing : , : Imprint : Palgrave Macmillan, , 2017
Descrizione fisica 1 online resource (XXXI, 728 p. 141 illus.)
Disciplina 332.6457
Soggetto topico Financial engineering
Economics, Mathematical 
Capital market
Risk management
Financial Engineering
Quantitative Finance
Capital Markets
Risk Management
ISBN 3-319-52584-0
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Pricing via Arbitrage -- The Central Limit Theorem -- The Binomial model -- More on Binomial models -- Finite difference methods -- Value-at-Risk – VaR -- Introduction to probability theory -- Stochastic integration -- Partial parabolic differential equations and Feynman-Kač -- The Black-Scholes-Merton model -- American versus European options -- Analytical pricing formulas for American options -- Poisson processes and jump diffusion -- Diffusion models in general -- Hedging -- Exotic Options -- Volatility -- Something about weather derivatives -- A Practical guide to pricing -- Pricing using deflators -- Securities with dividends -- Some Fixed-Income securities and Black-Scholes.
Record Nr. UNINA-9910255041503321
Röman Jan R. M  
Cham : , : Springer International Publishing : , : Imprint : Palgrave Macmillan, , 2017
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Anomalies in net present value, returns and polynomials, and regret theory in decision-making / / by Michael C. I. Nwogugu
Anomalies in net present value, returns and polynomials, and regret theory in decision-making / / by Michael C. I. Nwogugu
Autore Nwogugu Michael C. I
Edizione [1st ed. 2016.]
Pubbl/distr/stampa London : , : Palgrave Macmillan UK : , : Imprint : Palgrave Macmillan, , 2016
Descrizione fisica 1 online resource (336 pages) : illustrations, tables
Disciplina 658.15
Soggetto topico Investment banking
Securities
Economics, Mathematical 
Corporations—Finance
Business enterprises—Finance
Applied mathematics
Engineering mathematics
Investments and Securities
Quantitative Finance
Corporate Finance
Business Finance
Mathematical and Computational Engineering
ISBN 1-137-44698-6
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Chapter 1) Introduction -- Chapter 2) Spatio-Temporal Framing Anomalies in the NPV-MIRR-IRR Model and Related Approached, and Regret Theory -- Chapter 3) Regret Theory and Asset Pricing Anomalies in Incomplete Markets with Dynamic Un-aggregate Preferences -- Chapter 4) The Descartes Sign Rule and The Fourier-Budan Theorem are Wrong -- Chapter 5) MN-2 Invariants and Homomorphisms for Solving Polynomials; and Anomalies in The Binomial Theorem And The “Fundamental Theorem Of Algebra -- Chapter 6) The Historical And Current Concepts Of “Plain” Interest Rates and Forward Rates are, or Can Be, Misleading -- Chapter 7) On Algebraic Anomalies in Polynomials and Net Present Value Decisions -- Chapter 8) Some Biases And Evolutionary Homomorphisms Implicit in The Calculation Of Returns -- Chapter 9) Conclusion -- Chapter 10) References.
Record Nr. UNINA-9910254865903321
Nwogugu Michael C. I  
London : , : Palgrave Macmillan UK : , : Imprint : Palgrave Macmillan, , 2016
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Applied Asset and Risk Management : A Guide to Modern Portfolio Management and Behavior-Driven Markets / / by Marcus Schulmerich, Yves-Michel Leporcher, Ching-Hwa Eu
Applied Asset and Risk Management : A Guide to Modern Portfolio Management and Behavior-Driven Markets / / by Marcus Schulmerich, Yves-Michel Leporcher, Ching-Hwa Eu
Autore Schulmerich Marcus
Edizione [1st ed. 2015.]
Pubbl/distr/stampa Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer, , 2015
Descrizione fisica 1 online resource (491 p.)
Disciplina 004.0151
158.7
330
330.0151
Collana Management for Professionals
Soggetto topico Finance
Economics, Mathematical 
Industrial psychology
Business mathematics
Personal finance
Pension plans
Computer science—Mathematics
Computer mathematics
Finance, general
Quantitative Finance
Industrial and Organizational Psychology
Business Mathematics
Personal Finance/Wealth Management/Pension Planning
Mathematical Applications in Computer Science
ISBN 3-642-55444-X
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Risk Measures in Asset Management -- Modern Portfolio Theory and Its Problems -- Stock Market Anomalies -- Stock Market Crashes -- Explaining Stock Market Crashes: A Behavioral Finance Approach -- Investor Risk Perceptions and Investments: Recent Developments.
Record Nr. UNINA-9910298520003321
Schulmerich Marcus  
Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer, , 2015
Materiale a stampa
Lo trovi qui: Univ. Federico II
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