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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 online resource (218 p.) |
| Soggetto topico |
Mathematics and Science
Research and information: general |
| Soggetto non controllato |
adjustment coefficient
affine coefficients bankruptcy barrier strategies boundary-value problem capital injection constraint capital injections capital surplus process completely monotone distributions de Finetti valuation objective diffusion-type process dividend payment dividends drawdown drawdown process error bounds first crossing time first hitting time first passage fluctuation theory general tax structure heavy tails hyperexponential distribution hypergeometric functions joint Laplace transform Laguerre series Laplace transform Lévy processes linear diffusions log-convexity logarithmic asymptotics non-random overshoots normal reflection optimal control optimal dividends Padé approximations Parisian ruin Pollaczek-Khinchine formula potential measure quadratic programming problem reflected Brownian motion reflected Lévy processes reflection and absorption ruin probability running maximum and minimum processes scale function scale functions Segerdahl process skip-free random walks Sparre Andersen model spectrally negative Lévy process spectrally negative Lévy processes spectrally negative Markov process spectrally negative process stochastic control Tricomi-Weeks Laplace inversion two-dimensional Brownian motion variational problem |
| 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 online resource (232 p.) |
| Soggetto topico | Collecting coins, banknotes, medals and other related items |
| Soggetto non controllato |
ACD models
asymptotic B-splines banking competition Bitcoin bonds Box-Cox transformation capital asset pricing model characteristic function-based estimator convergence analysis credit risk efficiency estimation estimation of systematic risk Euro-Dollar financial incentives financial models fractal scaling GARCH model generalized Birnbaum-Saunders distributions generalized method of moments gold price goodness-of-fit Griddy-Gibs HARCH model heavy tails high-frequency financial data Hill estimator Index parameter intention to leave interest rates job performance job satisfaction Lerner index long range dependence multicollinearity multifactor asset pricing model multifractal processes no-arbitrage NPLs oil price PHARCH model public service motivation ridge regression safe-haven assets seemingly unrelated regression model shrinkage estimator stochastic frontiers Swiss Franc exchange rate t-distribution tests of mean-variance efficiency Theil index time series wrapped stable yeld curve |
| 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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