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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
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| 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 |
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Henrard Marc
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| 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 |
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Corelli Angelo
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| 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 |
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Röman Jan R. M
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| Cham : , : Springer International Publishing : , : Imprint : Palgrave Macmillan, , 2017 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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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 |
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Röman Jan R. M
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| Cham : , : Springer International Publishing : , : Imprint : Palgrave Macmillan, , 2017 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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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 |
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Nwogugu Michael C. I
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| London : , : Palgrave Macmillan UK : , : Imprint : Palgrave Macmillan, , 2016 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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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 |
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Schulmerich Marcus
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| Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer, , 2015 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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