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Exit Problems for Lévy and Markov Processes with One-Sided Jumps and Related Topics
| Exit Problems for Lévy and Markov Processes with One-Sided Jumps and Related Topics |
| Autore | Avram Florin |
| Pubbl/distr/stampa | Basel, Switzerland, : MDPI - Multidisciplinary Digital Publishing Institute, 2021 |
| Descrizione fisica | 1 electronic resource (218 p.) |
| Soggetto topico |
Research & information: general
Mathematics & science |
| Soggetto non controllato |
Lévy processes
non-random overshoots skip-free random walks fluctuation theory scale functions capital surplus process dividend payment optimal control capital injection constraint spectrally negative Lévy processes reflected Lévy processes first passage drawdown process spectrally negative process dividends de Finetti valuation objective variational problem stochastic control optimal dividends Parisian ruin log-convexity barrier strategies adjustment coefficient logarithmic asymptotics quadratic programming problem ruin probability two-dimensional Brownian motion spectrally negative Lévy process general tax structure first crossing time joint Laplace transform potential measure Laplace transform first hitting time diffusion-type process running maximum and minimum processes boundary-value problem normal reflection Sparre Andersen model heavy tails completely monotone distributions error bounds hyperexponential distribution reflected Brownian motion linear diffusions drawdown Segerdahl process affine coefficients spectrally negative Markov process hypergeometric functions capital injections bankruptcy reflection and absorption Pollaczek–Khinchine formula scale function Padé approximations Laguerre series Tricomi–Weeks Laplace inversion |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910557372503321 |
Avram Florin
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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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Financial Statistics and Data Analytics
| Financial Statistics and Data Analytics |
| Autore | Liu Shuangzhe |
| Pubbl/distr/stampa | Basel, Switzerland, : MDPI - Multidisciplinary Digital Publishing Institute, 2021 |
| Descrizione fisica | 1 electronic resource (232 p.) |
| Soggetto topico | Coins, banknotes, medals, seals (numismatics) |
| Soggetto non controllato |
Index parameter
estimation wrapped stable Hill estimator characteristic function-based estimator asymptotic efficiency GARCH model HARCH model PHARCH model Griddy-Gibs Euro-Dollar safe-haven assets gold price Swiss Franc exchange rate oil price generalized Birnbaum–Saunders distributions ACD models Box-Cox transformation high-frequency financial data goodness-of-fit banking competition credit risk NPLs Theil index convergence analysis interest rates yeld curve no-arbitrage bonds B-splines time series multifractal processes fractal scaling heavy tails long range dependence financial models Bitcoin capital asset pricing model estimation of systematic risk tests of mean-variance efficiency t-distribution generalized method of moments multifactor asset pricing model Lerner index stochastic frontiers shrinkage estimator seemingly unrelated regression model multicollinearity ridge regression financial incentives public service motivation job performance job satisfaction intention to leave |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910557128703321 |
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Liu Shuangzhe
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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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