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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
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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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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 |
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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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Frontiers of Asset Pricing
| Frontiers of Asset Pricing |
| Autore | Kolari James W |
| Pubbl/distr/stampa | Basel, : MDPI - Multidisciplinary Digital Publishing Institute, 2022 |
| Descrizione fisica | 1 online resource (228 p.) |
| Soggetto topico | Philosophy |
| Soggetto non controllato |
abnormal returns
announcements asset pricing at-the-money bias adjustments Bitcoin carry cost rate clustered event days commodity market conditional hedge ratio cross-sectional correlation cryptocurrencies cumulated ranks deep-out-of-the-money direction earnings economics efficient market hypothesis efficient portfolios event study expectation-maximization (EM) regression finance forecasting free-boundary problem GARCH-jump hedge ratio informed trading latent variable market factor market index market volume metals momentum multifactors net buying pressure options out-of-the-money outliers pairs trading Poisson model portfolio profitability pricing rank test return dispersion risk factors S&P 500 index spectral analysis standardized abnormal returns stochastic control survivor stocks term structure time-varying jumps trading strategies transaction costs transaction regions unit root volatility yield spread zero-beta CAPM |
| ISBN | 3-0365-5846-2 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910637778903321 |
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Kolari James W
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| Basel, : MDPI - Multidisciplinary Digital Publishing Institute, 2022 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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