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Advanced analytical models [[electronic resource] ] : over 800 models and 300 applications from the Basel II Accord to Wall Street and beyond / / Johnathan Mun
Advanced analytical models [[electronic resource] ] : over 800 models and 300 applications from the Basel II Accord to Wall Street and beyond / / Johnathan Mun
Autore Mun Johnathan
Pubbl/distr/stampa Hoboken, N.J., : Wiley, c2008
Descrizione fisica 1 online resource (1034 p.)
Disciplina 003/.3
332.015118
Collana Wiley finance series
Soggetto topico Finance - Mathematical models
Risk assessment - Mathematical models
Mathematical models
Computer simulation
ISBN 1-119-19709-0
1-281-73261-3
9786611732615
0-470-25811-X
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Advanced Analytical Models: Over 800 Models and 300 Applications from the Basel II Accord to Wall Street and Beyond; Contents; Preface; Software Applications; Part I: Modeling Toolkit and Risk Simulator Applications; INTRODUCTION TO THE MODELING TOOLKIT SOFTWARE; INTRODUCTION TO RISK SIMULATOR; RUNNING A MONTE CARLO SIMULATION; USING FORECAST CHARTS AND CONFIDENCE INTERVALS; CORRELATIONS AND PRECISION CONTROL; TORNADO AND SENSITIVITY TOOLS IN SIMULATION; SENSITIVITY ANALYSIS; DISTRIBUTIONAL FITTING: SINGLE VARIABLE AND MULTIPLE VARIABLES; BOOTSTRAP SIMULATION; HYPOTHESIS TESTING
DATA EXTRACTION, SAVING SIMULATION RESULTS, AND GENERATING REPORTSREGRESSION AND FORECASTING DIAGNOSTIC TOOL; STATISTICAL ANALYSIS TOOL; DISTRIBUTIONAL ANALYSIS TOOL; PORTFOLIO OPTIMIZATION; OPTIMIZATION WITH DISCRETE INTEGER VARIABLES; FORECASTING; 1. Analytics- Central Limit Theorem; 2. Analytics- Central Limit Theorem-Winning Lottery Numbers; 3. Analytics- Flaw of Averages; 4. Analytics- Mathematical Integration Approximation Model; 5. Analytics- Projectile Motion; 6. Analytics- Regression Diagnostics; 7. Analytics- Ships in the Night; 8. Analytics- Statistical Analysis
9. Analytics- Weighting of Ratios10. Credit Analysis- Credit Premium; 11. Credit Analysis- Credit Default Swaps and Credit Spread Options; 12. Credit Analysis- Credit Risk Analysis and Effects on Prices; 13. Credit Analysis- External Debt Ratings and Spread; 14. Credit Analysis- Internal Credit Risk Rating Model; 15. Credit Analysis- Profit Cost Analysis of New Credit; 16. Debt Analysis- Asset-Equity Parity Model; 17. Debt Analysis- Cox Model on Price and Yield of Risky Debt with Mean-Reverting Rates; 18. Debt Analysis- Debt Repayment and Amortization
19. Debt Analysis- Debt Sensitivity Models20. Debt Analysis- Merton Price of Risky Debt with Stochastic Asset and Interest; 21. Debt Analysis- Vasicek Debt Option Valuation; 22. Debt Analysis- Vasicek Price and Yield of Risky Debt; 23. Decision Analysis- Decision Tree Basics; 24. Decision Analysis- Decision Tree with EVPI, Minimax, and Bayes' Theorem; 25. Decision Analysis- Economic Order Quantity and Inventory Reorder Point; 26. Decision Analysis- Economic Order Quantity and Optimal Manufacturing; 27. Decision Analysis- Expected Utility Analysis; 28. Decision Analysis- Inventory Control
29. Decision Analysis- Queuing Models30. Exotic Options- Accruals on Basket of Assets; 31. Exotic Options- American, Bermudan, and European Options with Sensitivities; 32. Exotic Options- American Call Option on Foreign Exchange; 33. Exotic Options- American Call Options on Index Futures; 34. Exotic Options- American Call Option with Dividends; 35. Exotic Options- Asian Lookback Options Using Arithmetic Averages; 36. Exotic Options- Asian Lookback Options Using Geometric Averages; 37. Exotic Options- Asset or Nothing Options; 38. Exotic Options- Barrier Options
39. Exotic Options- Binary Digital Options
Record Nr. UNINA-9910782132403321
Mun Johnathan  
Hoboken, N.J., : Wiley, c2008
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Advanced analytical models : over 800 models and 300 applications from the Basel II Accord to Wall Street and beyond / / Johnathan Mun
Advanced analytical models : over 800 models and 300 applications from the Basel II Accord to Wall Street and beyond / / Johnathan Mun
Autore Mun Johnathan
Edizione [1st ed.]
Pubbl/distr/stampa Hoboken, N.J., : Wiley, c2008
Descrizione fisica 1 online resource (1034 p.)
Disciplina 003/.3
332.015118
Collana Wiley finance series
Soggetto topico Finance - Mathematical models
Risk assessment - Mathematical models
Mathematical models
Computer simulation
ISBN 1-119-19709-0
1-281-73261-3
9786611732615
0-470-25811-X
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Advanced Analytical Models: Over 800 Models and 300 Applications from the Basel II Accord to Wall Street and Beyond; Contents; Preface; Software Applications; Part I: Modeling Toolkit and Risk Simulator Applications; INTRODUCTION TO THE MODELING TOOLKIT SOFTWARE; INTRODUCTION TO RISK SIMULATOR; RUNNING A MONTE CARLO SIMULATION; USING FORECAST CHARTS AND CONFIDENCE INTERVALS; CORRELATIONS AND PRECISION CONTROL; TORNADO AND SENSITIVITY TOOLS IN SIMULATION; SENSITIVITY ANALYSIS; DISTRIBUTIONAL FITTING: SINGLE VARIABLE AND MULTIPLE VARIABLES; BOOTSTRAP SIMULATION; HYPOTHESIS TESTING
DATA EXTRACTION, SAVING SIMULATION RESULTS, AND GENERATING REPORTSREGRESSION AND FORECASTING DIAGNOSTIC TOOL; STATISTICAL ANALYSIS TOOL; DISTRIBUTIONAL ANALYSIS TOOL; PORTFOLIO OPTIMIZATION; OPTIMIZATION WITH DISCRETE INTEGER VARIABLES; FORECASTING; 1. Analytics- Central Limit Theorem; 2. Analytics- Central Limit Theorem-Winning Lottery Numbers; 3. Analytics- Flaw of Averages; 4. Analytics- Mathematical Integration Approximation Model; 5. Analytics- Projectile Motion; 6. Analytics- Regression Diagnostics; 7. Analytics- Ships in the Night; 8. Analytics- Statistical Analysis
9. Analytics- Weighting of Ratios10. Credit Analysis- Credit Premium; 11. Credit Analysis- Credit Default Swaps and Credit Spread Options; 12. Credit Analysis- Credit Risk Analysis and Effects on Prices; 13. Credit Analysis- External Debt Ratings and Spread; 14. Credit Analysis- Internal Credit Risk Rating Model; 15. Credit Analysis- Profit Cost Analysis of New Credit; 16. Debt Analysis- Asset-Equity Parity Model; 17. Debt Analysis- Cox Model on Price and Yield of Risky Debt with Mean-Reverting Rates; 18. Debt Analysis- Debt Repayment and Amortization
19. Debt Analysis- Debt Sensitivity Models20. Debt Analysis- Merton Price of Risky Debt with Stochastic Asset and Interest; 21. Debt Analysis- Vasicek Debt Option Valuation; 22. Debt Analysis- Vasicek Price and Yield of Risky Debt; 23. Decision Analysis- Decision Tree Basics; 24. Decision Analysis- Decision Tree with EVPI, Minimax, and Bayes' Theorem; 25. Decision Analysis- Economic Order Quantity and Inventory Reorder Point; 26. Decision Analysis- Economic Order Quantity and Optimal Manufacturing; 27. Decision Analysis- Expected Utility Analysis; 28. Decision Analysis- Inventory Control
29. Decision Analysis- Queuing Models30. Exotic Options- Accruals on Basket of Assets; 31. Exotic Options- American, Bermudan, and European Options with Sensitivities; 32. Exotic Options- American Call Option on Foreign Exchange; 33. Exotic Options- American Call Options on Index Futures; 34. Exotic Options- American Call Option with Dividends; 35. Exotic Options- Asian Lookback Options Using Arithmetic Averages; 36. Exotic Options- Asian Lookback Options Using Geometric Averages; 37. Exotic Options- Asset or Nothing Options; 38. Exotic Options- Barrier Options
39. Exotic Options- Binary Digital Options
Record Nr. UNINA-9911109665803321
Mun Johnathan  
Hoboken, N.J., : Wiley, c2008
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Advanced analytical models : over 800 models and 300 applications from the Basel II Accord to Wall Street and beyond / / Johnathan Mun
Advanced analytical models : over 800 models and 300 applications from the Basel II Accord to Wall Street and beyond / / Johnathan Mun
Autore Mun Johnathan
Edizione [1st ed.]
Pubbl/distr/stampa Hoboken, N.J., : Wiley, c2008
Descrizione fisica 1 online resource (1034 p.)
Disciplina 003/.3
332.015118
Collana Wiley finance series
Soggetto topico Finance - Mathematical models
Risk assessment - Mathematical models
Mathematical models
Computer simulation
ISBN 1-119-19709-0
1-281-73261-3
9786611732615
0-470-25811-X
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Advanced Analytical Models: Over 800 Models and 300 Applications from the Basel II Accord to Wall Street and Beyond; Contents; Preface; Software Applications; Part I: Modeling Toolkit and Risk Simulator Applications; INTRODUCTION TO THE MODELING TOOLKIT SOFTWARE; INTRODUCTION TO RISK SIMULATOR; RUNNING A MONTE CARLO SIMULATION; USING FORECAST CHARTS AND CONFIDENCE INTERVALS; CORRELATIONS AND PRECISION CONTROL; TORNADO AND SENSITIVITY TOOLS IN SIMULATION; SENSITIVITY ANALYSIS; DISTRIBUTIONAL FITTING: SINGLE VARIABLE AND MULTIPLE VARIABLES; BOOTSTRAP SIMULATION; HYPOTHESIS TESTING
DATA EXTRACTION, SAVING SIMULATION RESULTS, AND GENERATING REPORTSREGRESSION AND FORECASTING DIAGNOSTIC TOOL; STATISTICAL ANALYSIS TOOL; DISTRIBUTIONAL ANALYSIS TOOL; PORTFOLIO OPTIMIZATION; OPTIMIZATION WITH DISCRETE INTEGER VARIABLES; FORECASTING; 1. Analytics- Central Limit Theorem; 2. Analytics- Central Limit Theorem-Winning Lottery Numbers; 3. Analytics- Flaw of Averages; 4. Analytics- Mathematical Integration Approximation Model; 5. Analytics- Projectile Motion; 6. Analytics- Regression Diagnostics; 7. Analytics- Ships in the Night; 8. Analytics- Statistical Analysis
9. Analytics- Weighting of Ratios10. Credit Analysis- Credit Premium; 11. Credit Analysis- Credit Default Swaps and Credit Spread Options; 12. Credit Analysis- Credit Risk Analysis and Effects on Prices; 13. Credit Analysis- External Debt Ratings and Spread; 14. Credit Analysis- Internal Credit Risk Rating Model; 15. Credit Analysis- Profit Cost Analysis of New Credit; 16. Debt Analysis- Asset-Equity Parity Model; 17. Debt Analysis- Cox Model on Price and Yield of Risky Debt with Mean-Reverting Rates; 18. Debt Analysis- Debt Repayment and Amortization
19. Debt Analysis- Debt Sensitivity Models20. Debt Analysis- Merton Price of Risky Debt with Stochastic Asset and Interest; 21. Debt Analysis- Vasicek Debt Option Valuation; 22. Debt Analysis- Vasicek Price and Yield of Risky Debt; 23. Decision Analysis- Decision Tree Basics; 24. Decision Analysis- Decision Tree with EVPI, Minimax, and Bayes' Theorem; 25. Decision Analysis- Economic Order Quantity and Inventory Reorder Point; 26. Decision Analysis- Economic Order Quantity and Optimal Manufacturing; 27. Decision Analysis- Expected Utility Analysis; 28. Decision Analysis- Inventory Control
29. Decision Analysis- Queuing Models30. Exotic Options- Accruals on Basket of Assets; 31. Exotic Options- American, Bermudan, and European Options with Sensitivities; 32. Exotic Options- American Call Option on Foreign Exchange; 33. Exotic Options- American Call Options on Index Futures; 34. Exotic Options- American Call Option with Dividends; 35. Exotic Options- Asian Lookback Options Using Arithmetic Averages; 36. Exotic Options- Asian Lookback Options Using Geometric Averages; 37. Exotic Options- Asset or Nothing Options; 38. Exotic Options- Barrier Options
39. Exotic Options- Binary Digital Options
Record Nr. UNINA-9911142959703321
Mun Johnathan  
Hoboken, N.J., : Wiley, c2008
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Advanced stochastic models, risk assessment, and portfolio optimization [[electronic resource] ] : the ideal risk, uncertainty, and performance measures / / by Svetlozar T. Rachev, Stoyan V. Stoyanov, Frank J. Fabozzi
Advanced stochastic models, risk assessment, and portfolio optimization [[electronic resource] ] : the ideal risk, uncertainty, and performance measures / / by Svetlozar T. Rachev, Stoyan V. Stoyanov, Frank J. Fabozzi
Autore Rachev S. T (Svetlozar Todorov)
Pubbl/distr/stampa Hoboken, N.J., : Wiley
Descrizione fisica 1 online resource (39 p.)
Disciplina 332
Altri autori (Persone) StoyanovStoyan V
FabozziFrank J
Collana The Frank J. Fabozzi series
Soggetto topico Stochastic processes
Mathematical optimization
Risk assessment - Mathematical models
Portfolio management - Mathematical models
Soggetto genere / forma Electronic books.
ISBN 1-281-21730-1
0-470-25360-6
9786611217303
1-283-27295-4
9786613272959
1-118-08614-7
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Advanced Stochastic Models, Risk Assessment, and Portfolio Optimization; Contents; Preface; Acknowledgments; About the Authors; Chapter 1 Concepts of Probability; 1.1 INTRODUCTION; 1.2 BASIC CONCEPTS; 1.3 DISCRETE PROBABILITY DISTRIBUTIONS; 1.4 CONTINUOUS PROBABILITY DISTRIBUTIONS; 1.5 STATISTICAL MOMENTS AND QUANTILES; 1.6 JOINT PROBABILITY DISTRIBUTIONS; 1.7 PROBABILISTIC INEQUALITIES; 1.8 SUMMARY; BIBLIOGRAPHY; Chapter 2 Optimization; 2.1 INTRODUCTION; 2.2 UNCONSTRAINED OPTIMIZATION; 2.3 CONSTRAINED OPTIMIZATION; 2.4 SUMMARY; BIBLIOGRAPHY; Chapter 3 Probability Metrics; 3.1 INTRODUCTION
3.2 MEASURING DISTANCES: THE DISCRETE CASE3.3 PRIMARY, SIMPLE, AND COMPOUND METRICS; 3.4 SUMMARY; 3.5 TECHNICAL APPENDIX; BIBLIOGRAPHY; Chapter 4 Ideal Probability Metrics; 4.1 INTRODUCTION; 4.2 THE CLASSICAL CENTRAL LIMIT THEOREM; 4.3 THE GENERALIZED CENTRAL LIMIT THEOREM; 4.4 CONSTRUCTION OF IDEAL PROBABILITY METRICS; 4.5 SUMMARY; 4.6 TECHNICAL APPENDIX; BIBLIOGRAPHY; Chapter 5 Choice under Uncertainty; 5.1 INTRODUCTION; 5.2 EXPECTED UTILITY THEORY; 5.3 STOCHASTIC DOMINANCE; 5.4 PROBABILITY METRICS AND STOCHASTIC DOMINANCE; 5.5 SUMMARY; 5.6 TECHNICAL APPENDIX; BIBLIOGRAPHY
Chapter 6 Risk and Uncertainty6.1 INTRODUCTION; 6.2 MEASURES OF DISPERSION; 6.3 PROBABILITY METRICS AND DISPERSION MEASURES; 6.4 MEASURES OF RISK; 6.5 RISK MEASURES AND DISPERSION MEASURES; 6.6 RISK MEASURES AND STOCHASTIC ORDERS; 6.7 SUMMARY; 6.8 TECHNICAL APPENDIX; BIBLIOGRAPHY; Chapter 7 Average Value-at-Risk; 7.1 INTRODUCTION; 7.2 AVERAGE VALUE-AT-RISK; 7.3 AVaR ESTIMATION FROM A SAMPLE; 7.4 COMPUTING PORTFOLIO AVaR IN PRACTICE; 7.5 BACKTESTING OF AVaR; 7.6 SPECTRAL RISK MEASURES; 7.7 RISK MEASURES AND PROBABILITY METRICS; 7.8 SUMMARY; 7.9 TECHNICAL APPENDIX; BIBLIOGRAPHY
Chapter 8 Optimal Portfolios8.1 INTRODUCTION; 8.2 MEAN-VARIANCE ANALYSIS; 8.3 MEAN-RISK ANALYSIS; 8.4 SUMMARY; 8.5 TECHNICAL APPENDIX; BIBLIOGRAPHY; Chapter 9 Benchmark Tracking Problems; 9.1 INTRODUCTION; 9.2 THE TRACKING ERROR PROBLEM; 9.3 RELATION TO PROBABILITY METRICS; 9.4 EXAMPLES OF r.d. METRICS; 9.5 NUMERICAL EXAMPLE; 9.6 SUMMARY; 9.7 TECHNICAL APPENDIX; BIBLIOGRAPHY; Chapter 10 Performance Measures; 10.1 INTRODUCTION; 10.2 REWARD-TO-RISK RATIOS; 10.3 REWARD-TO-VARIABILITY RATIOS; 10.4 SUMMARY; 10.5 TECHNICAL APPENDIX; BIBLIOGRAPHY; Index
Record Nr. UNINA-9910461561503321
Rachev S. T (Svetlozar Todorov)  
Hoboken, N.J., : Wiley
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Advanced stochastic models, risk assessment, and portfolio optimization [[electronic resource] ] : the ideal risk, uncertainty, and performance measures / / by Svetlozar T. Rachev, Stoyan V. Stoyanov, Frank J. Fabozzi
Advanced stochastic models, risk assessment, and portfolio optimization [[electronic resource] ] : the ideal risk, uncertainty, and performance measures / / by Svetlozar T. Rachev, Stoyan V. Stoyanov, Frank J. Fabozzi
Autore Rachev S. T (Svetlozar Todorov)
Pubbl/distr/stampa Hoboken, N.J., : Wiley
Descrizione fisica 1 online resource (39 p.)
Disciplina 332
Altri autori (Persone) StoyanovStoyan V
FabozziFrank J
Collana The Frank J. Fabozzi series
Soggetto topico Stochastic processes
Mathematical optimization
Risk assessment - Mathematical models
Portfolio management - Mathematical models
ISBN 1-281-21730-1
0-470-25360-6
9786611217303
1-283-27295-4
9786613272959
1-118-08614-7
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Advanced Stochastic Models, Risk Assessment, and Portfolio Optimization; Contents; Preface; Acknowledgments; About the Authors; Chapter 1 Concepts of Probability; 1.1 INTRODUCTION; 1.2 BASIC CONCEPTS; 1.3 DISCRETE PROBABILITY DISTRIBUTIONS; 1.4 CONTINUOUS PROBABILITY DISTRIBUTIONS; 1.5 STATISTICAL MOMENTS AND QUANTILES; 1.6 JOINT PROBABILITY DISTRIBUTIONS; 1.7 PROBABILISTIC INEQUALITIES; 1.8 SUMMARY; BIBLIOGRAPHY; Chapter 2 Optimization; 2.1 INTRODUCTION; 2.2 UNCONSTRAINED OPTIMIZATION; 2.3 CONSTRAINED OPTIMIZATION; 2.4 SUMMARY; BIBLIOGRAPHY; Chapter 3 Probability Metrics; 3.1 INTRODUCTION
3.2 MEASURING DISTANCES: THE DISCRETE CASE3.3 PRIMARY, SIMPLE, AND COMPOUND METRICS; 3.4 SUMMARY; 3.5 TECHNICAL APPENDIX; BIBLIOGRAPHY; Chapter 4 Ideal Probability Metrics; 4.1 INTRODUCTION; 4.2 THE CLASSICAL CENTRAL LIMIT THEOREM; 4.3 THE GENERALIZED CENTRAL LIMIT THEOREM; 4.4 CONSTRUCTION OF IDEAL PROBABILITY METRICS; 4.5 SUMMARY; 4.6 TECHNICAL APPENDIX; BIBLIOGRAPHY; Chapter 5 Choice under Uncertainty; 5.1 INTRODUCTION; 5.2 EXPECTED UTILITY THEORY; 5.3 STOCHASTIC DOMINANCE; 5.4 PROBABILITY METRICS AND STOCHASTIC DOMINANCE; 5.5 SUMMARY; 5.6 TECHNICAL APPENDIX; BIBLIOGRAPHY
Chapter 6 Risk and Uncertainty6.1 INTRODUCTION; 6.2 MEASURES OF DISPERSION; 6.3 PROBABILITY METRICS AND DISPERSION MEASURES; 6.4 MEASURES OF RISK; 6.5 RISK MEASURES AND DISPERSION MEASURES; 6.6 RISK MEASURES AND STOCHASTIC ORDERS; 6.7 SUMMARY; 6.8 TECHNICAL APPENDIX; BIBLIOGRAPHY; Chapter 7 Average Value-at-Risk; 7.1 INTRODUCTION; 7.2 AVERAGE VALUE-AT-RISK; 7.3 AVaR ESTIMATION FROM A SAMPLE; 7.4 COMPUTING PORTFOLIO AVaR IN PRACTICE; 7.5 BACKTESTING OF AVaR; 7.6 SPECTRAL RISK MEASURES; 7.7 RISK MEASURES AND PROBABILITY METRICS; 7.8 SUMMARY; 7.9 TECHNICAL APPENDIX; BIBLIOGRAPHY
Chapter 8 Optimal Portfolios8.1 INTRODUCTION; 8.2 MEAN-VARIANCE ANALYSIS; 8.3 MEAN-RISK ANALYSIS; 8.4 SUMMARY; 8.5 TECHNICAL APPENDIX; BIBLIOGRAPHY; Chapter 9 Benchmark Tracking Problems; 9.1 INTRODUCTION; 9.2 THE TRACKING ERROR PROBLEM; 9.3 RELATION TO PROBABILITY METRICS; 9.4 EXAMPLES OF r.d. METRICS; 9.5 NUMERICAL EXAMPLE; 9.6 SUMMARY; 9.7 TECHNICAL APPENDIX; BIBLIOGRAPHY; Chapter 10 Performance Measures; 10.1 INTRODUCTION; 10.2 REWARD-TO-RISK RATIOS; 10.3 REWARD-TO-VARIABILITY RATIOS; 10.4 SUMMARY; 10.5 TECHNICAL APPENDIX; BIBLIOGRAPHY; Index
Record Nr. UNINA-9910789716503321
Rachev S. T (Svetlozar Todorov)  
Hoboken, N.J., : Wiley
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Advanced stochastic models, risk assessment, and portfolio optimization : the ideal risk, uncertainty, and performance measures / / by Svetlozar T. Rachev, Stoyan V. Stoyanov, Frank J. Fabozzi
Advanced stochastic models, risk assessment, and portfolio optimization : the ideal risk, uncertainty, and performance measures / / by Svetlozar T. Rachev, Stoyan V. Stoyanov, Frank J. Fabozzi
Autore Rachev S. T (Svetlozar Todorov)
Edizione [1st ed.]
Pubbl/distr/stampa Hoboken, N.J., : Wiley
Descrizione fisica 1 online resource (39 p.)
Disciplina 332
Altri autori (Persone) StoyanovStoyan V
FabozziFrank J
Collana The Frank J. Fabozzi series
Soggetto topico Stochastic processes
Mathematical optimization
Risk assessment - Mathematical models
Portfolio management - Mathematical models
ISBN 9786611217303
9786613272959
9781281217301
1281217301
9780470253601
0470253606
9781283272957
1283272954
9781118086148
1118086147
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Advanced Stochastic Models, Risk Assessment, and Portfolio Optimization; Contents; Preface; Acknowledgments; About the Authors; Chapter 1 Concepts of Probability; 1.1 INTRODUCTION; 1.2 BASIC CONCEPTS; 1.3 DISCRETE PROBABILITY DISTRIBUTIONS; 1.4 CONTINUOUS PROBABILITY DISTRIBUTIONS; 1.5 STATISTICAL MOMENTS AND QUANTILES; 1.6 JOINT PROBABILITY DISTRIBUTIONS; 1.7 PROBABILISTIC INEQUALITIES; 1.8 SUMMARY; BIBLIOGRAPHY; Chapter 2 Optimization; 2.1 INTRODUCTION; 2.2 UNCONSTRAINED OPTIMIZATION; 2.3 CONSTRAINED OPTIMIZATION; 2.4 SUMMARY; BIBLIOGRAPHY; Chapter 3 Probability Metrics; 3.1 INTRODUCTION
3.2 MEASURING DISTANCES: THE DISCRETE CASE3.3 PRIMARY, SIMPLE, AND COMPOUND METRICS; 3.4 SUMMARY; 3.5 TECHNICAL APPENDIX; BIBLIOGRAPHY; Chapter 4 Ideal Probability Metrics; 4.1 INTRODUCTION; 4.2 THE CLASSICAL CENTRAL LIMIT THEOREM; 4.3 THE GENERALIZED CENTRAL LIMIT THEOREM; 4.4 CONSTRUCTION OF IDEAL PROBABILITY METRICS; 4.5 SUMMARY; 4.6 TECHNICAL APPENDIX; BIBLIOGRAPHY; Chapter 5 Choice under Uncertainty; 5.1 INTRODUCTION; 5.2 EXPECTED UTILITY THEORY; 5.3 STOCHASTIC DOMINANCE; 5.4 PROBABILITY METRICS AND STOCHASTIC DOMINANCE; 5.5 SUMMARY; 5.6 TECHNICAL APPENDIX; BIBLIOGRAPHY
Chapter 6 Risk and Uncertainty6.1 INTRODUCTION; 6.2 MEASURES OF DISPERSION; 6.3 PROBABILITY METRICS AND DISPERSION MEASURES; 6.4 MEASURES OF RISK; 6.5 RISK MEASURES AND DISPERSION MEASURES; 6.6 RISK MEASURES AND STOCHASTIC ORDERS; 6.7 SUMMARY; 6.8 TECHNICAL APPENDIX; BIBLIOGRAPHY; Chapter 7 Average Value-at-Risk; 7.1 INTRODUCTION; 7.2 AVERAGE VALUE-AT-RISK; 7.3 AVaR ESTIMATION FROM A SAMPLE; 7.4 COMPUTING PORTFOLIO AVaR IN PRACTICE; 7.5 BACKTESTING OF AVaR; 7.6 SPECTRAL RISK MEASURES; 7.7 RISK MEASURES AND PROBABILITY METRICS; 7.8 SUMMARY; 7.9 TECHNICAL APPENDIX; BIBLIOGRAPHY
Chapter 8 Optimal Portfolios8.1 INTRODUCTION; 8.2 MEAN-VARIANCE ANALYSIS; 8.3 MEAN-RISK ANALYSIS; 8.4 SUMMARY; 8.5 TECHNICAL APPENDIX; BIBLIOGRAPHY; Chapter 9 Benchmark Tracking Problems; 9.1 INTRODUCTION; 9.2 THE TRACKING ERROR PROBLEM; 9.3 RELATION TO PROBABILITY METRICS; 9.4 EXAMPLES OF r.d. METRICS; 9.5 NUMERICAL EXAMPLE; 9.6 SUMMARY; 9.7 TECHNICAL APPENDIX; BIBLIOGRAPHY; Chapter 10 Performance Measures; 10.1 INTRODUCTION; 10.2 REWARD-TO-RISK RATIOS; 10.3 REWARD-TO-VARIABILITY RATIOS; 10.4 SUMMARY; 10.5 TECHNICAL APPENDIX; BIBLIOGRAPHY; Index
Record Nr. UNINA-9911095165103321
Rachev S. T (Svetlozar Todorov)  
Hoboken, N.J., : Wiley
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Advanced stochastic models, risk assessment, and portfolio optimization : the ideal risk, uncertainty, and performance measures / / by Svetlozar T. Rachev, Stoyan V. Stoyanov, Frank J. Fabozzi
Advanced stochastic models, risk assessment, and portfolio optimization : the ideal risk, uncertainty, and performance measures / / by Svetlozar T. Rachev, Stoyan V. Stoyanov, Frank J. Fabozzi
Autore Rachev S. T (Svetlozar Todorov)
Edizione [1st ed.]
Pubbl/distr/stampa Hoboken, N.J., : Wiley
Descrizione fisica 1 online resource (39 p.)
Disciplina 332
Altri autori (Persone) StoyanovStoyan V
FabozziFrank J
Collana The Frank J. Fabozzi series
Soggetto topico Stochastic processes
Mathematical optimization
Risk assessment - Mathematical models
Portfolio management - Mathematical models
ISBN 9786611217303
9786613272959
9781281217301
1281217301
9780470253601
0470253606
9781283272957
1283272954
9781118086148
1118086147
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Advanced Stochastic Models, Risk Assessment, and Portfolio Optimization; Contents; Preface; Acknowledgments; About the Authors; Chapter 1 Concepts of Probability; 1.1 INTRODUCTION; 1.2 BASIC CONCEPTS; 1.3 DISCRETE PROBABILITY DISTRIBUTIONS; 1.4 CONTINUOUS PROBABILITY DISTRIBUTIONS; 1.5 STATISTICAL MOMENTS AND QUANTILES; 1.6 JOINT PROBABILITY DISTRIBUTIONS; 1.7 PROBABILISTIC INEQUALITIES; 1.8 SUMMARY; BIBLIOGRAPHY; Chapter 2 Optimization; 2.1 INTRODUCTION; 2.2 UNCONSTRAINED OPTIMIZATION; 2.3 CONSTRAINED OPTIMIZATION; 2.4 SUMMARY; BIBLIOGRAPHY; Chapter 3 Probability Metrics; 3.1 INTRODUCTION
3.2 MEASURING DISTANCES: THE DISCRETE CASE3.3 PRIMARY, SIMPLE, AND COMPOUND METRICS; 3.4 SUMMARY; 3.5 TECHNICAL APPENDIX; BIBLIOGRAPHY; Chapter 4 Ideal Probability Metrics; 4.1 INTRODUCTION; 4.2 THE CLASSICAL CENTRAL LIMIT THEOREM; 4.3 THE GENERALIZED CENTRAL LIMIT THEOREM; 4.4 CONSTRUCTION OF IDEAL PROBABILITY METRICS; 4.5 SUMMARY; 4.6 TECHNICAL APPENDIX; BIBLIOGRAPHY; Chapter 5 Choice under Uncertainty; 5.1 INTRODUCTION; 5.2 EXPECTED UTILITY THEORY; 5.3 STOCHASTIC DOMINANCE; 5.4 PROBABILITY METRICS AND STOCHASTIC DOMINANCE; 5.5 SUMMARY; 5.6 TECHNICAL APPENDIX; BIBLIOGRAPHY
Chapter 6 Risk and Uncertainty6.1 INTRODUCTION; 6.2 MEASURES OF DISPERSION; 6.3 PROBABILITY METRICS AND DISPERSION MEASURES; 6.4 MEASURES OF RISK; 6.5 RISK MEASURES AND DISPERSION MEASURES; 6.6 RISK MEASURES AND STOCHASTIC ORDERS; 6.7 SUMMARY; 6.8 TECHNICAL APPENDIX; BIBLIOGRAPHY; Chapter 7 Average Value-at-Risk; 7.1 INTRODUCTION; 7.2 AVERAGE VALUE-AT-RISK; 7.3 AVaR ESTIMATION FROM A SAMPLE; 7.4 COMPUTING PORTFOLIO AVaR IN PRACTICE; 7.5 BACKTESTING OF AVaR; 7.6 SPECTRAL RISK MEASURES; 7.7 RISK MEASURES AND PROBABILITY METRICS; 7.8 SUMMARY; 7.9 TECHNICAL APPENDIX; BIBLIOGRAPHY
Chapter 8 Optimal Portfolios8.1 INTRODUCTION; 8.2 MEAN-VARIANCE ANALYSIS; 8.3 MEAN-RISK ANALYSIS; 8.4 SUMMARY; 8.5 TECHNICAL APPENDIX; BIBLIOGRAPHY; Chapter 9 Benchmark Tracking Problems; 9.1 INTRODUCTION; 9.2 THE TRACKING ERROR PROBLEM; 9.3 RELATION TO PROBABILITY METRICS; 9.4 EXAMPLES OF r.d. METRICS; 9.5 NUMERICAL EXAMPLE; 9.6 SUMMARY; 9.7 TECHNICAL APPENDIX; BIBLIOGRAPHY; Chapter 10 Performance Measures; 10.1 INTRODUCTION; 10.2 REWARD-TO-RISK RATIOS; 10.3 REWARD-TO-VARIABILITY RATIOS; 10.4 SUMMARY; 10.5 TECHNICAL APPENDIX; BIBLIOGRAPHY; Index
Record Nr. UNINA-9911140399003321
Rachev S. T (Svetlozar Todorov)  
Hoboken, N.J., : Wiley
Materiale a stampa
Lo trovi qui: Univ. Federico II
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Applied reliability engineering and risk analysis : probabilistic models and statistical inference / / editors, Ilia B. Frenkel ... [et al.]
Applied reliability engineering and risk analysis : probabilistic models and statistical inference / / editors, Ilia B. Frenkel ... [et al.]
Autore Frenkel Ilia B
Edizione [1st ed.]
Pubbl/distr/stampa Wiley, 2013
Descrizione fisica 1 online resource (451 p.)
Disciplina 620/.00452
Altri autori (Persone) FrenkelIlia, Ph.D.
Collana Wiley series in quality & reliability engineering
Soggetto topico Reliability (Engineering)
Risk assessment - Mathematical models
ISBN 1-118-70189-5
1-118-70188-7
1-118-70194-1
Classificazione TEC032000
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto pt. I. Degradation analysis, multi-state and continuous-state system reliability -- pt. II. Networks and large-scale systems -- pt. III. Maintenance models -- pt. IV. Statistical inference in reliability -- pt. V. Systemability, physics-of-failure and reliability demonstration.
Record Nr. UNINA-9910811207303321
Frenkel Ilia B  
Wiley, 2013
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Applied reliability engineering and risk analysis [[electronic resource] ] : probabilistic models and statistical inference / / editors, Ilia B. Frenkel ... [et al.]
Applied reliability engineering and risk analysis [[electronic resource] ] : probabilistic models and statistical inference / / editors, Ilia B. Frenkel ... [et al.]
Edizione [1st ed.]
Pubbl/distr/stampa Chichester, West Sussex, : John Wiley & Sons Inc., 2014
Descrizione fisica 1 online resource (451 p.)
Disciplina 620/.00452
Altri autori (Persone) FrenkelIlia, Ph.D.
Collana Wiley series in quality & reliability engineering
Soggetto topico Reliability (Engineering)
Risk assessment - Mathematical models
ISBN 1-118-70189-5
1-118-70188-7
1-118-70194-1
Classificazione TEC032000
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto pt. I. Degradation analysis, multi-state and continuous-state system reliability -- pt. II. Networks and large-scale systems -- pt. III. Maintenance models -- pt. IV. Statistical inference in reliability -- pt. V. Systemability, physics-of-failure and reliability demonstration.
Record Nr. UNINA-9910139024903321
Chichester, West Sussex, : John Wiley & Sons Inc., 2014
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Environmental decision making and risk management : selected essays / by Ian Langford ; edited by R. Kerry Turner, Stavros Georgiou, and Ian J. Bateman
Environmental decision making and risk management : selected essays / by Ian Langford ; edited by R. Kerry Turner, Stavros Georgiou, and Ian J. Bateman
Autore Langford, Ian H.
Pubbl/distr/stampa Cheltenham, UK ; Northampton, MA : Edward Elgar Pub., c2004
Descrizione fisica xvii, 307 p. : ill. ; 24 cm
Disciplina 333.7
Altri autori (Persone) Turner, R. Kerry
Bateman, Ian
Stavros, Georgiou
Soggetto topico Environmental economics
Environmental risk assessment
Health risk assessment
Risk assessment - Mathematical models
ISBN 1843767988
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Record Nr. UNISALENTO-991002979009707536
Langford, Ian H.  
Cheltenham, UK ; Northampton, MA : Edward Elgar Pub., c2004
Materiale a stampa
Lo trovi qui: Univ. del Salento
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