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Convex and Stochastic Optimization / J. Frédéric Bonnans
| Convex and Stochastic Optimization / J. Frédéric Bonnans |
| Autore | Bonnans, Joseph F. |
| Pubbl/distr/stampa | Cham, : Springer, 2019 |
| Descrizione fisica | xiii, 311 p. ; 24 cm |
| Soggetto topico | 90Cxx - Mathematical programming [MSC 2020] |
| Soggetto non controllato |
Convex analysis
Dynamic optimization Lagrangian duality Markov decision processes Numerical algorithms Optimal transport Probability Theory Risk measures Sample average approximation Semi-definite programming Stochastic Programming |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Titolo uniforme | |
| Record Nr. | UNICAMPANIA-VAN0126800 |
Bonnans, Joseph F.
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| Cham, : Springer, 2019 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Vanvitelli | ||
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Convex and Stochastic Optimization / J. Frédéric Bonnans
| Convex and Stochastic Optimization / J. Frédéric Bonnans |
| Autore | Bonnans, Joseph F. |
| Pubbl/distr/stampa | Cham, : Springer, 2019 |
| Descrizione fisica | xiii, 311 p. ; 24 cm |
| Soggetto topico | 90Cxx - Mathematical programming [MSC 2020] |
| Soggetto non controllato |
Convex analysis
Dynamic optimization Lagrangian duality Markov decision processes Numerical algorithms Optimal transport Probability Theory Risk measures Sample average approximation Semi-definite programming Stochastic Programming |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Titolo uniforme | |
| Record Nr. | UNICAMPANIA-VAN00126800 |
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Bonnans, Joseph F.
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| Cham, : Springer, 2019 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Vanvitelli | ||
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Convex Duality and Financial Mathematics / Peter Carr, Qiji Jim Zhu
| Convex Duality and Financial Mathematics / Peter Carr, Qiji Jim Zhu |
| Autore | Carr, Peter |
| Pubbl/distr/stampa | Cham, : Springer, 2018 |
| Descrizione fisica | xiii, 152 p. : ill. ; 24 cm |
| Altri autori (Persone) | Zhu, Qiji J. |
| Soggetto topico |
90C25 - Convex programming [MSC 2020]
91Gxx - Actuarial science and mathematical finance [MSC 2020] 52A41 - Convex functions and convex programs in convex geometry [MSC 2020] 60J60 - Diffusion processes [MSC 2020] 49N15 - Duality theory (optimization) [MSC 2020] 26B25 - Convexity of real functions of several variables, generalizations [MSC 2020] 91Bxx - Mathematical economics [MSC 2020] |
| Soggetto non controllato |
Arbitrage
Asset pricing Convex duality Fenchel conjugate Financial derivatives Financial markets Hedging Lagrange multipliers Martingale measure Quantitative Finance Risk measures Utility function |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Titolo uniforme | |
| Record Nr. | UNICAMPANIA-VAN0124620 |
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Carr, Peter
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| Cham, : Springer, 2018 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Vanvitelli | ||
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Convex Duality and Financial Mathematics / Peter Carr, Qiji Jim Zhu
| Convex Duality and Financial Mathematics / Peter Carr, Qiji Jim Zhu |
| Autore | Carr, Peter |
| Pubbl/distr/stampa | Cham, : Springer, 2018 |
| Descrizione fisica | xiii, 152 p. : ill. ; 24 cm |
| Altri autori (Persone) | Zhu, Qiji J. |
| Soggetto topico |
26B25 - Convexity of real functions of several variables, generalizations [MSC 2020]
49N15 - Duality theory (optimization) [MSC 2020] 52A41 - Convex functions and convex programs in convex geometry [MSC 2020] 60J60 - Diffusion processes [MSC 2020] 90C25 - Convex programming [MSC 2020] 91Bxx - Mathematical economics [MSC 2020] 91Gxx - Actuarial science and mathematical finance [MSC 2020] |
| Soggetto non controllato |
Arbitrage
Asset pricing Convex duality Fenchel conjugate Financial derivatives Financial markets Hedging Lagrange multipliers Martingale measure Quantitative Finance Risk measures Utility function |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Titolo uniforme | |
| Record Nr. | UNICAMPANIA-VAN00124620 |
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Carr, Peter
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| Cham, : Springer, 2018 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Vanvitelli | ||
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Numerical Probability : An Introduction with Applications to Finance / Gilles Pagès
| Numerical Probability : An Introduction with Applications to Finance / Gilles Pagès |
| Autore | Pagès, Gilles |
| Pubbl/distr/stampa | Cham, : Springer, 2018 |
| Descrizione fisica | xxi, 579 p. : ill. ; 24 cm |
| Soggetto topico |
65C30 - Numerical solutions to stochastic differential and integral equations [MSC 2020]
60G40 - Stopping times; optimal stopping problems; gambling theory [MSC 2020] 65Cxx - Probabilistic methods, stochastic differential equations [MSC 2020] 91G20 - Derivative securities (option pricing, hedging, etc.) [MSC 2020] 91G30 - Interest rates, asset pricing, etc. (stochastic models) [MSC 2020] 60H35 - Computational methods for stochastic equations (aspects of stochastic analysis) [MSC 2020] 62L20 - Stochastic approximation [MSC 2020] 91G60 - Numerical methods (including Monte Carlo methods) [MSC 2020] 62L15 - Optimal stopping in statistics [MSC 2020] |
| Soggetto non controllato |
American option
Euler schemes Greeks Least squares regression methods Malliavin Monte Carlo Milstein schemes Monte Carlo Methods Multilevel extrapolation methods Optimal vector quantization Pricing of derivative products Quantization schemes Quasi-Monte Carlo methods Risk measures Romberg extrapolation methods Sensitivity computation Stochastic Approximations Stochastic differential equation discretization schemes Tangent process and log-likelihood method Value-at-Risk (conditional) Variance reduction |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Titolo uniforme | |
| Record Nr. | UNICAMPANIA-VAN0124914 |
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Pagès, Gilles
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| Cham, : Springer, 2018 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Vanvitelli | ||
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Numerical Probability : An Introduction with Applications to Finance / Gilles Pagès
| Numerical Probability : An Introduction with Applications to Finance / Gilles Pagès |
| Autore | Pagès, Gilles |
| Pubbl/distr/stampa | Cham, : Springer, 2018 |
| Descrizione fisica | xxi, 579 p. : ill. ; 24 cm |
| Soggetto topico |
60G40 - Stopping times; optimal stopping problems; gambling theory [MSC 2020]
60H35 - Computational methods for stochastic equations (aspects of stochastic analysis) [MSC 2020] 62L15 - Optimal stopping in statistics [MSC 2020] 62L20 - Stochastic approximation [MSC 2020] 65C30 - Numerical solutions to stochastic differential and integral equations [MSC 2020] 65Cxx - Probabilistic methods, stochastic differential equations [MSC 2020] 91G20 - Derivative securities (option pricing, hedging, etc.) [MSC 2020] 91G30 - Interest rates, asset pricing, etc. (stochastic models) [MSC 2020] 91G60 - Numerical methods (including Monte Carlo methods) [MSC 2020] |
| Soggetto non controllato |
American option
Euler schemes Greeks Least squares regression methods Malliavin Monte Carlo Milstein schemes Monte Carlo Methods Multilevel extrapolation methods Optimal vector quantization Pricing of derivative products Quantization schemes Quasi-Monte Carlo methods Risk measures Romberg extrapolation methods Sensitivity computation Stochastic Approximations Stochastic differential equation discretization schemes Tangent process and log-likelihood method Value-at-Risk (conditional) Variance reduction |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Titolo uniforme | |
| Record Nr. | UNICAMPANIA-VAN00124914 |
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Pagès, Gilles
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| Cham, : Springer, 2018 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Vanvitelli | ||
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Quantitative Portfolio Management : with Applications in Python / Pierre Brugière
| Quantitative Portfolio Management : with Applications in Python / Pierre Brugière |
| Autore | Brugière, Pierre |
| Pubbl/distr/stampa | Cham, : Springer, 2020 |
| Descrizione fisica | xii, 205 p. : ill. ; 24 cm |
| Soggetto topico |
91G70 - Statistical methods; risk measures [MSC 2020]
91G10 - Portfolio theory [MSC 2020] |
| Soggetto non controllato |
APT models
Factor models Markowitz theory Principal component analysis Python code Quantitative Finance Risk measures |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Titolo uniforme | |
| Record Nr. | UNICAMPANIA-VAN0249686 |
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Brugière, Pierre
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| Cham, : Springer, 2020 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Vanvitelli | ||
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Quantitative Portfolio Management : with Applications in Python / Pierre Brugière
| Quantitative Portfolio Management : with Applications in Python / Pierre Brugière |
| Autore | Brugière, Pierre |
| Pubbl/distr/stampa | Cham, : Springer, 2020 |
| Descrizione fisica | xii, 205 p. : ill. ; 24 cm |
| Soggetto topico |
91G10 - Portfolio theory [MSC 2020]
91G70 - Statistical methods; risk measures [MSC 2020] |
| Soggetto non controllato |
APT models
Factor models Markowitz theory Principal component analysis Python code Quantitative Finance Risk measures |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Titolo uniforme | |
| Record Nr. | UNICAMPANIA-VAN00249686 |
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Brugière, Pierre
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| Cham, : Springer, 2020 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Vanvitelli | ||
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Risk Theory / Hanspeter Schmidli
| Risk Theory / Hanspeter Schmidli |
| Autore | Schmidli, Hanspeter |
| Pubbl/distr/stampa | Cham, : Springer, 2017 |
| Descrizione fisica | xii, 242 p. : ill. ; 24 cm |
| Soggetto topico |
60J25 - Continuous-time Markov processes on general state spaces [MSC 2020]
91B05 - Risk models (general) [MSC 2020] 60Gxx - Stochastic processes [MSC 2020] 60J10 - Markov chains (discrete-time Markov processes on discrete state spaces) [MSC 2020] 60F10 - Large deviations [MSC 2020] 91B16 - Utility theory [MSC 2020] 60Kxx - Special processes [MSC 2020] 60K20 - Applications of Markov renewal processes (reliability, queueing networks, etc.) [MSC 2020] |
| Soggetto non controllato |
Approximation
Change of measure Credibility Lundberg exponent Markov modulated model Renewal model Reserving Risk Models Risk measures Risk theory Ruin theory Subexponential distributions Utility theory |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Titolo uniforme | |
| Record Nr. | UNICAMPANIA-VAN0124381 |
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Schmidli, Hanspeter
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| Cham, : Springer, 2017 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Vanvitelli | ||
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Risk Theory / Hanspeter Schmidli
| Risk Theory / Hanspeter Schmidli |
| Autore | Schmidli, Hanspeter |
| Pubbl/distr/stampa | Cham, : Springer, 2017 |
| Descrizione fisica | xii, 242 p. : ill. ; 24 cm |
| Soggetto topico |
60F10 - Large deviations [MSC 2020]
60Gxx - Stochastic processes [MSC 2020] 60J10 - Markov chains (discrete-time Markov processes on discrete state spaces) [MSC 2020] 60J25 - Continuous-time Markov processes on general state spaces [MSC 2020] 60K20 - Applications of Markov renewal processes (reliability, queueing networks, etc.) [MSC 2020] 60Kxx - Special processes [MSC 2020] 91B05 - Risk models (general) [MSC 2020] 91B16 - Utility theory [MSC 2020] |
| Soggetto non controllato |
Approximation
Change of measure Credibility Lundberg exponent Markov modulated model Renewal model Reserving Risk Models Risk measures Risk theory Ruin theory Subexponential distributions Utility theory |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Titolo uniforme | |
| Record Nr. | UNICAMPANIA-VAN00124381 |
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Schmidli, Hanspeter
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| Cham, : Springer, 2017 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Vanvitelli | ||
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