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Computational Finance
| Computational Finance |
| Autore | Stentoft Lars |
| Pubbl/distr/stampa | Basel, Switzerland, : MDPI - Multidisciplinary Digital Publishing Institute, 2020 |
| Descrizione fisica | 1 electronic resource (259 p.) |
| Soggetto topico | Economics, finance, business & management |
| Soggetto non controllato |
insurance
Solvency II risk-neutral models computational finance asset pricing models overnight price gaps financial econometrics mean-reversion statistical arbitrage high-frequency data jump-diffusion model instantaneous volatility directional-change seasonality forex bitcoin S& P500 risk management drawdown safe assets securitisation dealer behaviour liquidity bid–ask spread least-squares Monte Carlo put-call symmetry regression simulation algorithmic trading market quality defined contribution plan probability of shortfall quadratic shortfall dynamic asset allocation resampled backtests stochastic covariance 4/2 model option pricing risk measures American options exercise boundary Monte Carlo multiple exercise options dynamic programming stochastic optimal control asset pricing calibration derivatives hedging multivariate models volatility |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910557767003321 |
Stentoft Lars
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| Basel, Switzerland, : MDPI - Multidisciplinary Digital Publishing Institute, 2020 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Quantitative Methods for Economics and Finance
| Quantitative Methods for Economics and Finance |
| Autore | Trinidad-Segovia J.E |
| Pubbl/distr/stampa | Basel, Switzerland, : MDPI - Multidisciplinary Digital Publishing Institute, 2021 |
| Descrizione fisica | 1 electronic resource (418 p.) |
| Soggetto topico | Coins, banknotes, medals, seals (numismatics) |
| Soggetto non controllato |
academic cheating
tax evasion informality pairs trading hurst exponent financial markets long memory co-movement cointegration risk delay decision-making process probability discount detection mean square error multicollinearity raise regression variance inflation factor derivation intertemporal choice decreasing impatience elasticity GARCH EGARCH VaR historical simulation approach peaks-over-threshold EVT student t-copula generalized Pareto distribution centered model noncentered model intercept essential multicollinearity nonessential multicollinearity commodity prices futures prices number of factors eigenvalues volatility cluster Hurst exponent FD4 approach volatility series probability of volatility cluster S& P500 Bitcoin Ethereum Ripple bitcoin deep learning deep recurrent convolutional neural networks forecasting asset pricing financial distress prediction unconstrained distributed lag model multiple periods Chinese listed companies cash flow management corporate prudential risk the financial accelerator financial distress induced risk aversion liquidity constraints liquidity risk macroeconomic propagation multiperiod financial management non-linear macroeconomic modelling Tobin’s q precautionary savings pharmaceutical industry scale economies profitability biotechnological firms non-parametric efficiency productivity DEA dispersion trading option arbitrage volatility trading correlation risk premium econometrics computational finance ensemble empirical mode decomposition (EEMD) autoregressive integrated moving average (ARIMA) support vector regression (SVR) genetic algorithm (GA) energy consumption cryptocurrency gold P 500 DCC copula copulas Markov Chain Monte Carlo simulation local optima vs. local minima SRA approach foreign direct investment bilateral investment treaties regional trade agreements structural gravity model policy uncertainty stock prices dynamically simulated autoregressive distributed lag (DYS-ARDL) threshold regression United States |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910557564003321 |
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Trinidad-Segovia J.E
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| Basel, Switzerland, : MDPI - Multidisciplinary Digital Publishing Institute, 2021 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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