Info
- Utilizzare la checkbox di selezione a fianco di ciascun documento per attivare le funzionalità di stampa, invio email, download nei formati disponibili del (i) record.
Applications of Stochastic Optimal Control to Economics and Finance
| Applications of Stochastic Optimal Control to Economics and Finance |
| Autore | Federico Salvatore |
| Pubbl/distr/stampa | Basel, Switzerland, : MDPI - Multidisciplinary Digital Publishing Institute, 2020 |
| Descrizione fisica | 1 online resource (210 p.) |
| Soggetto topico | Economics, Finance, Business and Management |
| Soggetto non controllato |
American call option
American options asymptotic arbitrage Bayesian learning binomial tree complete market debt crisis decision analysis derivatives pricing energy imbalance market excess-of-loss reinsurance free boundary problem general diffusion geometric Brownian motion government debt management government debt ratio Hamilton-Jacobi-Bellman equation insurance least square method Markov additive processes Markov regime switching market Markovian jump securities Markowitz problem martingale multiple optimal stopping optimal government debt ceiling optimal portfolio optimal reinsurance optimal stopping portfolio selection quadrinomial tree real option analysis risk management stochastic control stochastic factor model stochastic interest rates unemployment utility |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910557761803321 |
Federico Salvatore
|
||
| Basel, Switzerland, : MDPI - Multidisciplinary Digital Publishing Institute, 2020 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Computational Finance
| Computational Finance |
| Autore | Stentoft Lars |
| Pubbl/distr/stampa | Basel, Switzerland, : MDPI - Multidisciplinary Digital Publishing Institute, 2020 |
| Descrizione fisica | 1 online resource (259 p.) |
| Soggetto topico | Economics, Finance, Business and Management |
| Soggetto non controllato |
4/2 model
algorithmic trading American options asset pricing asset pricing models bid-ask spread bitcoin calibration computational finance dealer behaviour defined contribution plan derivatives directional-change drawdown dynamic asset allocation dynamic programming exercise boundary financial econometrics forex hedging high-frequency data instantaneous volatility insurance jump-diffusion model least-squares Monte Carlo liquidity market quality mean-reversion Monte Carlo multiple exercise options multivariate models option pricing overnight price gaps P500 probability of shortfall put-call symmetry quadratic shortfall regression resampled backtests risk management risk measures risk-neutral models S& safe assets seasonality securitisation simulation Solvency II statistical arbitrage stochastic covariance stochastic optimal control volatility |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910557767003321 |
|
Stentoft Lars
|
||
| Basel, Switzerland, : MDPI - Multidisciplinary Digital Publishing Institute, 2020 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Paris-Princeton lectures on mathematical finance 2002 / Peter Bank ... [et al.] ; editorial committee: R.A. Carmona ... [et al.]
| Paris-Princeton lectures on mathematical finance 2002 / Peter Bank ... [et al.] ; editorial committee: R.A. Carmona ... [et al.] |
| Pubbl/distr/stampa | Berlin, : Springer, 2003 |
| Descrizione fisica | X, 172 p. ; 24 cm |
| Soggetto topico | 91Bxx - Mathematical economics [MSC 2020] |
| Soggetto non controllato |
American options
Consumption Duality Dynamic Programming Mathematical Finance Mathematics Modeling Modeling financial markets Quantitative Finance Sets Super-replication |
| ISBN | 978-35-404-0193-3 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Titolo uniforme | |
| Record Nr. | UNICAMPANIA-VAN0052109 |
| Berlin, : Springer, 2003 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Vanvitelli | ||
| ||
Paris-Princeton lectures on mathematical finance 2002 / Peter Bank ... [et al.] ; editorial committee: R.A. Carmona ... [et al.]
| Paris-Princeton lectures on mathematical finance 2002 / Peter Bank ... [et al.] ; editorial committee: R.A. Carmona ... [et al.] |
| Pubbl/distr/stampa | Berlin, : Springer, 2003 |
| Descrizione fisica | X, 172 p. ; 24 cm |
| Soggetto topico | 91Bxx - Mathematical economics [MSC 2020] |
| Soggetto non controllato |
American options
Consumption Duality Dynamic Programming Mathematical Finance Mathematics Modeling Modeling financial markets Quantitative Finance Sets Super-replication |
| ISBN | 978-35-404-0193-3 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Titolo uniforme | |
| Record Nr. | UNICAMPANIA-VAN00052109 |
| Berlin, : Springer, 2003 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Vanvitelli | ||
| ||