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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
Social sciences - Mathematics Statistics Actuarial Mathematics Mathematics in Business, Economics and Finance Statistics in 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 / / edited by Jaime A. Londoño, José Garrido, Daniel Hernández-Hernández
| Actuarial Sciences and Quantitative Finance : ICASQF, Bogotá, Colombia, June 2014 / / edited by Jaime A. Londoño, José Garrido, Daniel Hernández-Hernández |
| Edizione | [1st ed. 2015.] |
| Pubbl/distr/stampa | Cham : , : Springer International Publishing : , : Imprint : 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
Social sciences - Mathematics Statistics Actuarial Mathematics Mathematics in Business, Economics and Finance Statistics in 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. |
| Record Nr. | UNINA-9910299771403321 |
| Cham : , : Springer International Publishing : , : Imprint : Springer, , 2015 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Advanced Mathematical Methods for Economic Efficiency Analysis : Theory and Empirical Applications / / edited by Pedro Macedo, Victor Moutinho, Mara Madaleno
| Advanced Mathematical Methods for Economic Efficiency Analysis : Theory and Empirical Applications / / edited by Pedro Macedo, Victor Moutinho, Mara Madaleno |
| Autore | Macedo Pedro |
| Edizione | [1st ed. 2023.] |
| Pubbl/distr/stampa | Cham : , : Springer International Publishing : , : Imprint : Springer, , 2023 |
| Descrizione fisica | 1 online resource (267 pages) |
| Disciplina | 330.0151 |
| Altri autori (Persone) |
MoutinhoVictor
MadalenoMara <1981-> |
| Collana | Lecture Notes in Economics and Mathematical Systems |
| Soggetto topico |
Econometrics
Social sciences - Mathematics Power resources Environmental economics Quantitative Economics Mathematics in Business, Economics and Finance Resource and Environmental Economics |
| ISBN |
9783031295836
3031295838 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Chapter 1. Introduction -- Part I -- Chapter 2. Production Economics and Economic Efficiency (Mónica Meireles) -- Chapter 3. Data Envelopment Analysis: A Review and Synthesis (Ana S. Camanho) -- Chapter 4. Stochastic Frontier Analysis: A Review and Synthesis (Mara Madaleno) -- Part II -- Chapter 5. Combining Directional Distances and ELECTRE Multicriteria Decision Analysis for Preferable Assessments of Efficiency (Thyago Nepomuceno) -- Chapter 6. Benefit-of-the-Doubt Composite Indicators and use of Weight Restrictions (Ana S. Camanho) -- Chapter 7. Multidirectional Dynamic Inefficiency Analysis: An Extension to Include Corporate Social Responsibility (Magdalena Kapelko) -- Chapter 8. Stochastic DEA (Samah Jradi) -- Chapter 9. Internal Benchmarking for Efficiency Evaluations using Data Envelopment Analysis: A Review of Applications and Directions for Future Research (Fabio Sartori Piran) -- Part III -- Chapter 10. Recent Advances in the Construction of Nonparametric Stochastic Frontier Models (Christopher F. Parmeter) -- Chapter 11. A Hierarchical Panel Data Model for the Estimation of Stochastic Metafrontiers: Computational Issues and an Empirical Application (Christine Amsler) -- Chapter 12. Robustness in Stochastic Frontier Analysis (Alexander D. Stead) -- Chapter 13. Is it MOLS or COLS? (Christopher F. Parmeter) -- Chapter 14. Stochastic Frontier Analysis with Maximum Entropy Estimation (Pedro Macedo). |
| Record Nr. | UNINA-9910734827403321 |
Macedo Pedro
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| Cham : , : Springer International Publishing : , : Imprint : Springer, , 2023 | ||
| 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 |
Social sciences - Mathematics
Probabilities Mathematics in Business, Economics and Finance Probability Theory |
| 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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Advanced Quantitative Finance with Modern C++ : Interest Rate Modeling and Advanced Derivatives / / by Aaron De La Rosa
| Advanced Quantitative Finance with Modern C++ : Interest Rate Modeling and Advanced Derivatives / / by Aaron De La Rosa |
| Autore | De La Rosa Aaron |
| Edizione | [1st ed. 2025.] |
| Pubbl/distr/stampa | Berkeley, CA : , : Apress : , : Imprint : Apress, , 2025 |
| Descrizione fisica | 1 online resource (759 pages) |
| Disciplina | 005.13/3 |
| Collana | Professional and Applied Computing Series |
| Soggetto topico |
C++ (Computer program language)
Social sciences - Mathematics Mathematics - Data processing C++ Mathematics in Business, Economics and Finance Computational Mathematics and Numerical Analysis |
| ISBN | 979-88-6882-059-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Single Factor Black-Scholes with Finite Difference Methods,- 2. Random Number Generation -- 3. Vasicek and Hull-White Single-Factor Models -- 4. Extended One-Factor Models — Hull-White and Black-Karasinski -- 5. CIR, Black-Derman-Toy, and Interest Rate Swaps -- 6. BDT and Hull-White Tree Construction -- 7. Black-Karasinski Trees and Swap Applications -- 8. Two-Factor Gaussian and Hull-White Extensions -- 9. Libor Market Models and Foundational HJM -- 10. HJM Extensions, BGM, and Advanced LMM -- 11. Bermudan Swaptions and Straddles -- 12. Exotic Multi-Asset, Barrier, and Hybrid Options -- 13. Credit Derivatives and Currency Instruments -- 14. Total Return, Trigger, and Cross-Currency Swaps -- 15. Other Exotic and Hybrid Derivatives. |
| Record Nr. | UNINA-9911049221703321 |
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De La Rosa Aaron
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| Berkeley, CA : , : Apress : , : Imprint : Apress, , 2025 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Advances in Collective Decision Making : Interdisciplinary Perspectives for the 21st Century / / edited by Sascha Kurz, Nicola Maaser, Alexander Mayer
| Advances in Collective Decision Making : Interdisciplinary Perspectives for the 21st Century / / edited by Sascha Kurz, Nicola Maaser, Alexander Mayer |
| Edizione | [1st ed. 2023.] |
| Pubbl/distr/stampa | Cham : , : Springer International Publishing : , : Imprint : Springer, , 2023 |
| Descrizione fisica | 1 online resource (409 pages) |
| Disciplina | 658.4036 |
| Collana | Studies in Choice and Welfare |
| Soggetto topico |
Social choice
Welfare economics Industrial organization Social sciences - Mathematics Elections Application software Social Choice and Welfare Industrial Organization Mathematics in Business, Economics and Finance Electoral Politics Computer and Information Systems Applications |
| ISBN | 3-031-21696-2 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Chapter 1. Introduction -- Part I. Social Choice -- Chapter 2. Building Bridges over the Great Divide -- Chapter 3. Social Unacceptability for Simple Voting Procedures -- Chapter 4. Probability of Majority Inversion with Three States and Interval Preferences -- Chapter 5. Strategic Voting and Strategic Candidacy -- Chapter 6. Meta-Agreement and Rational Single-Peaked Preferences -- Chapter 7. On the Individual and Coalitional Manipulability of q-Paretian Social Choice Rules -- Part II. Weighted Voting -- Chapter 8. Effectiveness, Decisiveness, and Success in Weighted Voting Systems: Collective Behavior and Voting Measures -- Chapter 9. All Power Structures are Achievable in Basic Weighted Games -- Chapter 10. Bargaining in Legislatures: A New Donation Paradox -- Chapter 11. Egalitarian Collective Decisions as Good Corporate Governance -- Part III. Interpretation and Measurement of Power -- Chapter 12. Liability Situations with Successive Tortfeasors -- Chapter 13. Solidarity and Fair Taxation in TU Games -- Chapter 14. Analyzing the Zerkani Network with the Owen Value -- Chapter 15. The Power of Closeness in a Network -- Chapter 16. Political Power on a Line Graph -- Part IV. EU -- Chapter 17. Double Proportionality for the European Parliament: The Tandem System -- Chapter 18. Explaining Contestation: Votes in the Council of the European Union -- Chapter 19. Codecision in Context Revisited: The Implications of Brexit -- Part V. Field Experiments and Quasi-Experiments -- Chapter 20. Proximity-Based Preferences and Their Implications Based on Data from the Styrian Parliamentary Elections in 2019 -- Chapter 21. Participation in Voting over Budget Allocations: A Field Experiment -- Chapter 22. The Office makes the Politician. |
| Record Nr. | UNINA-9910720092903321 |
| Cham : , : Springer International Publishing : , : Imprint : Springer, , 2023 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Algorithmic Aspects of Discrete Choice in Convex Optimization / / by David Müller
| Algorithmic Aspects of Discrete Choice in Convex Optimization / / by David Müller |
| Autore | Muller David |
| Edizione | [1st ed. 2024.] |
| Pubbl/distr/stampa | Wiesbaden : , : Springer Fachmedien Wiesbaden : , : Imprint : Springer Spektrum, , 2024 |
| Descrizione fisica | 1 online resource (169 pages) |
| Disciplina | 519 |
| Collana | Mathematische Optimierung und Wirtschaftsmathematik / Mathematical Optimization and Economathematics |
| Soggetto topico |
Social sciences - Mathematics
Business mathematics Mathematics in Business, Economics and Finance Business Mathematics |
| ISBN | 9783658457051 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Introduction -- Discrete Choice Models -- Discrete Choice Prox-Functions -- Consumption Cycle -- Network Manipulation -- Dynamic Pricing. |
| Record Nr. | UNINA-9910908364903321 |
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Muller David
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| Wiesbaden : , : Springer Fachmedien Wiesbaden : , : Imprint : Springer Spektrum, , 2024 | ||
| 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
Social sciences - Mathematics Financial Engineering Mathematics in Business, Economics and Finance |
| ISBN |
9783319539799
3319539795 |
| 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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Ambit Stochastics / / by Ole E. Barndorff-Nielsen, Fred Espen Benth, Almut E. D. Veraart
| Ambit Stochastics / / by Ole E. Barndorff-Nielsen, Fred Espen Benth, Almut E. D. Veraart |
| Autore | Barndorff-Nielsen Ole E |
| Edizione | [1st ed. 2018.] |
| Pubbl/distr/stampa | Cham : , : Springer International Publishing : , : Imprint : Springer, , 2018 |
| Descrizione fisica | XXV, 402 p. : gráf. ; ; 25 cm |
| Disciplina | 519.2 |
| Collana | Probability Theory and Stochastic Modelling |
| Soggetto topico |
Probabilities
Mathematical physics Social sciences - Mathematics Statistics Probability Theory Mathematical Physics Mathematics in Business, Economics and Finance Statistics in Business, Management, Economics, Finance, Insurance Statistics in Engineering, Physics, Computer Science, Chemistry and Earth Sciences |
| ISBN | 3-319-94129-1 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Part I The purely temporal case -- 1 Volatility modulated Volterra processes -- 2 Simulation -- 3 Asymptotic theory for power variation of LSS processes -- 4 Integration with respect to volatility modulated Volterra processes -- Part II The spatio-temporal case -- 5 The ambit framework -- 6 Representation and simulation of ambit fields -- 7 Stochastic integration with ambit fields as integrators -- 8 Trawl processes -- Part III Applications -- 9 Turbulence modelling -- 10 Stochastic modelling of energy spot prices by LSS processes -- 11 Forward curve modelling by ambit fields -- Appendix A: Bessel functions -- Appendix B: Generalised hyperbolic distribution -- References -- Index. |
| Record Nr. | UNINA-9910300106803321 |
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Barndorff-Nielsen Ole E
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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
Social sciences - Mathematics Capital market Financial risk management Financial Engineering Mathematics in Business, Economics and Finance Capital Markets Risk Management |
| ISBN |
9783319340272
3319340271 |
| 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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