Info
- Utilizzare la checkbox di selezione a fianco di ciascun documento per attivare le funzionalità di stampa, invio email, download nei formati disponibili del (i) record.
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 electronic resource (210 p.) |
| Soggetto topico | Economics, finance, business & management |
| Soggetto non controllato |
debt crisis
government debt management optimal government debt ceiling government debt ratio stochastic control decision analysis risk management Bayesian learning Markowitz problem optimal portfolio portfolio selection Markov additive processes Markov regime switching market Markovian jump securities asymptotic arbitrage complete market multiple optimal stopping general diffusion real option analysis energy imbalance market optimal reinsurance excess-of-loss reinsurance Hamilton-Jacobi-Bellman equation stochastic factor model American options least square method derivatives pricing binomial tree stochastic interest rates quadrinomial tree insurance unemployment optimal stopping geometric Brownian motion martingale free boundary problem American call option utility |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910557761803321 |
Federico Salvatore
|
||
| Basel, Switzerland, : MDPI - Multidisciplinary Digital Publishing Institute, 2020 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
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
|
||
| Basel, Switzerland, : MDPI - Multidisciplinary Digital Publishing Institute, 2021 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
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 electronic resource (228 p.) |
| Soggetto topico | Philosophy |
| Soggetto non controllato |
forecasting
commodity market metals term structure yield spread carry cost rate hedge ratio conditional hedge ratio bias adjustments earnings announcements options informed trading net buying pressure volatility direction at-the-money out-of-the-money deep-out-of-the-money asset pricing S&P 500 index survivor stocks risk factors momentum Bitcoin cryptocurrencies outliers GARCH-jump time-varying jumps zero-beta CAPM return dispersion expectation-maximization (EM) regression latent variable free-boundary problem pairs trading stochastic control trading strategies transaction costs transaction regions finance economics event study clustered event days cross-sectional correlation cumulated ranks rank test standardized abnormal returns market index market factor multifactors efficient portfolios efficient market hypothesis unit root spectral analysis abnormal returns pricing market volume portfolio profitability Poisson model |
| ISBN | 3-0365-5846-2 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910637778903321 |
|
Kolari James W
|
||
| Basel, : MDPI - Multidisciplinary Digital Publishing Institute, 2022 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||