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Short-run effects of persistent shocks in the term structure : an impulse response analysis / Umberto Cherubini, Agnese Sironi
| Short-run effects of persistent shocks in the term structure : an impulse response analysis / Umberto Cherubini, Agnese Sironi |
| Autore | Cherubini, Umberto |
| Pubbl/distr/stampa | Milano : Banca commerciale italiana, 1993 |
| Descrizione fisica | 16 p. ; 30 cm |
| Altri autori (Persone) | Sironi, Agnese |
| Collana | Collana ricerche |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-990003191720403321 |
Cherubini, Umberto
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| Milano : Banca commerciale italiana, 1993 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Stress testing techniques and value at-risk measures : a unified approach / U. Cherubini, G. Della Lunga
| Stress testing techniques and value at-risk measures : a unified approach / U. Cherubini, G. Della Lunga |
| Autore | Cherubini, Umberto |
| Pubbl/distr/stampa | Milano : Banca commerciale italiana, 1999 |
| Descrizione fisica | 26 p. ; 21 cm |
| Altri autori (Persone) | Della Lunga, Giovanni |
| Collana | Collana ricerche |
| Soggetto non controllato | Mercato finanziario - Decisioni |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-990003208120403321 |
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Cherubini, Umberto
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||
| Milano : Banca commerciale italiana, 1999 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Structured finance [[electronic resource] ] : the object oriented approach / / Umberto Cherubini, Giovanni Della Lunga
| Structured finance [[electronic resource] ] : the object oriented approach / / Umberto Cherubini, Giovanni Della Lunga |
| Autore | Cherubini Umberto |
| Pubbl/distr/stampa | Chichester, England ; ; Hoboken, NJ, : John Wiley & Sons, c2007 |
| Descrizione fisica | 1 online resource (300 p.) |
| Disciplina |
332.0285117
332.602855117 |
| Altri autori (Persone) | Della LungaGiovanni |
| Collana | Wiley finance series |
| Soggetto topico |
Structured notes (Securities)
Derivative securities Investment analysis - Mathematical models Financial engineering |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-119-20926-9
1-280-85604-1 9786610856046 0-470-51272-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Structured Finance; Contents; 1 Structured Finance: A Primer; 1.1 Introduction; 1.2 Arbitrage-free valuation and replicating portfolios; 1.3 Replicating portfolios for derivatives; 1.3.1 Linear derivatives; 1.3.2 Nonlinear derivatives; 1.4 No-arbitrage and pricing; 1.4.1 Univariate claims; 1.4.2 Multivariate claims; 1.5 The structuring process; 1.5.1 The basic objects; 1.5.2 Risk factors, moments and dimensions; 1.5.3 Risk management; 1.6 A tale of two bonds; 1.6.1 Contingent coupons and repayment plans; 1.6.2 Exposure to the risky asset; 1.6.3 Exposure to volatility; 1.6.4 Hedging
1.7 Structured finance and object-oriented programmingReferences and further reading; 2 Object-Oriented Programming; 2.1 Introduction; 2.2 What is OOP (object-oriented programming)?; 2.3 Analysis and design; 2.3.1 A simple example; 2.4 Modelling; 2.4.1 The Unified Modelling Language (UML); 2.4.2 An object-oriented programming language: Java; 2.5 Main ideas about OOP; 2.5.1 Abstraction; 2.5.2 Classes; 2.5.3 Attributes and operations: the Encapsulation principle; 2.5.4 Responsibilities; 2.5.5 Inheritance; 2.5.6 Abstract classes; 2.5.7 Associations; 2.5.8 Message exchanging; 2.5.9 Collections 2.5.10 PolymorphismReferences and further reading; 3 Volatility and Correlation; 3.1 Introduction; 3.2 Volatility and correlation: models and measures; 3.2.1 Implied information; 3.2.2 Parametric models; 3.2.3 Realized (cross)moments; 3.3 Implied probability; 3.4 Volatility measures; 3.4.1 Implied volatility; 3.4.2 Parametric volatility models; 3.4.3 Realized volatility; 3.5 Implied correlation; 3.5.1 Forex markets implied correlation; 3.5.2 Equity "average" implied correlation; 3.5.3 Credit implied correlation; 3.6 Historical correlation; 3.6.1 Multivariate GARCH 3.6.2 Dynamic correlation model3.7 Copula functions; 3.7.1 Copula functions: the basics; 3.7.2 Copula functions: examples; 3.7.3 Copulas and survival copulas; 3.7.4 Copula dualities; 3.8 Conditional probabilities; 3.9 Non-parametric measures; 3.10 Tail dependence; 3.11 Correlation asymmetry; 3.11.1 Correlation asymmetry: finance; 3.11.2 Correlation asymmetry: econometrics; 3.12 Non-exchangeable copulas; 3.13 Estimation issues; 3.14 Lévy processes; References and further reading; 4 Cash Flow Design; 4.1 Introduction; 4.2 Types of bonds; 4.2.1 Floaters and reverse floaters 4.2.2 Convertible bonds4.2.3 Equity-linked notes; 4.2.4 Inflation-linked bonds; 4.2.5 Asset-backed securities; 4.3 Time and scheduler issues; 4.3.1 Payment date conventions; 4.3.2 Day count conventions and accrual factors; 4.4 JScheduler; 4.4.1 Date handling in Java; 4.4.2 Data models; 4.4.3 Design patterns; 4.4.4 The Factory Method pattern; 4.5 Cash flow generator design; 4.5.1 UML's activity diagram; 4.5.2 An important guideline to the data model for derivatives: FpML; 4.5.3 UML's sequence diagram; 4.6 The cleg class; References and further reading; 5 Convertible Bonds; 5.1 Introduction 5.2 Object-oriented structuring process |
| Record Nr. | UNINA-9910143585403321 |
|
Cherubini Umberto
|
||
| Chichester, England ; ; Hoboken, NJ, : John Wiley & Sons, c2007 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Structured finance [[electronic resource] ] : the object oriented approach / / Umberto Cherubini, Giovanni Della Lunga
| Structured finance [[electronic resource] ] : the object oriented approach / / Umberto Cherubini, Giovanni Della Lunga |
| Autore | Cherubini Umberto |
| Pubbl/distr/stampa | Chichester, England ; ; Hoboken, NJ, : John Wiley & Sons, c2007 |
| Descrizione fisica | 1 online resource (300 p.) |
| Disciplina |
332.0285117
332.602855117 |
| Altri autori (Persone) | Della LungaGiovanni |
| Collana | Wiley finance series |
| Soggetto topico |
Structured notes (Securities)
Derivative securities Investment analysis - Mathematical models Financial engineering |
| ISBN |
1-119-20926-9
1-280-85604-1 9786610856046 0-470-51272-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Structured Finance; Contents; 1 Structured Finance: A Primer; 1.1 Introduction; 1.2 Arbitrage-free valuation and replicating portfolios; 1.3 Replicating portfolios for derivatives; 1.3.1 Linear derivatives; 1.3.2 Nonlinear derivatives; 1.4 No-arbitrage and pricing; 1.4.1 Univariate claims; 1.4.2 Multivariate claims; 1.5 The structuring process; 1.5.1 The basic objects; 1.5.2 Risk factors, moments and dimensions; 1.5.3 Risk management; 1.6 A tale of two bonds; 1.6.1 Contingent coupons and repayment plans; 1.6.2 Exposure to the risky asset; 1.6.3 Exposure to volatility; 1.6.4 Hedging
1.7 Structured finance and object-oriented programmingReferences and further reading; 2 Object-Oriented Programming; 2.1 Introduction; 2.2 What is OOP (object-oriented programming)?; 2.3 Analysis and design; 2.3.1 A simple example; 2.4 Modelling; 2.4.1 The Unified Modelling Language (UML); 2.4.2 An object-oriented programming language: Java; 2.5 Main ideas about OOP; 2.5.1 Abstraction; 2.5.2 Classes; 2.5.3 Attributes and operations: the Encapsulation principle; 2.5.4 Responsibilities; 2.5.5 Inheritance; 2.5.6 Abstract classes; 2.5.7 Associations; 2.5.8 Message exchanging; 2.5.9 Collections 2.5.10 PolymorphismReferences and further reading; 3 Volatility and Correlation; 3.1 Introduction; 3.2 Volatility and correlation: models and measures; 3.2.1 Implied information; 3.2.2 Parametric models; 3.2.3 Realized (cross)moments; 3.3 Implied probability; 3.4 Volatility measures; 3.4.1 Implied volatility; 3.4.2 Parametric volatility models; 3.4.3 Realized volatility; 3.5 Implied correlation; 3.5.1 Forex markets implied correlation; 3.5.2 Equity "average" implied correlation; 3.5.3 Credit implied correlation; 3.6 Historical correlation; 3.6.1 Multivariate GARCH 3.6.2 Dynamic correlation model3.7 Copula functions; 3.7.1 Copula functions: the basics; 3.7.2 Copula functions: examples; 3.7.3 Copulas and survival copulas; 3.7.4 Copula dualities; 3.8 Conditional probabilities; 3.9 Non-parametric measures; 3.10 Tail dependence; 3.11 Correlation asymmetry; 3.11.1 Correlation asymmetry: finance; 3.11.2 Correlation asymmetry: econometrics; 3.12 Non-exchangeable copulas; 3.13 Estimation issues; 3.14 Lévy processes; References and further reading; 4 Cash Flow Design; 4.1 Introduction; 4.2 Types of bonds; 4.2.1 Floaters and reverse floaters 4.2.2 Convertible bonds4.2.3 Equity-linked notes; 4.2.4 Inflation-linked bonds; 4.2.5 Asset-backed securities; 4.3 Time and scheduler issues; 4.3.1 Payment date conventions; 4.3.2 Day count conventions and accrual factors; 4.4 JScheduler; 4.4.1 Date handling in Java; 4.4.2 Data models; 4.4.3 Design patterns; 4.4.4 The Factory Method pattern; 4.5 Cash flow generator design; 4.5.1 UML's activity diagram; 4.5.2 An important guideline to the data model for derivatives: FpML; 4.5.3 UML's sequence diagram; 4.6 The cleg class; References and further reading; 5 Convertible Bonds; 5.1 Introduction 5.2 Object-oriented structuring process |
| Record Nr. | UNINA-9910830759303321 |
|
Cherubini Umberto
|
||
| Chichester, England ; ; Hoboken, NJ, : John Wiley & Sons, c2007 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Structured finance [[electronic resource] ] : the object oriented approach / / Umberto Cherubini, Giovanni Della Lunga
| Structured finance [[electronic resource] ] : the object oriented approach / / Umberto Cherubini, Giovanni Della Lunga |
| Autore | Cherubini Umberto |
| Pubbl/distr/stampa | Chichester, England ; ; Hoboken, NJ, : John Wiley & Sons, c2007 |
| Descrizione fisica | 1 online resource (300 p.) |
| Disciplina |
332.0285117
332.602855117 |
| Altri autori (Persone) | Della LungaGiovanni |
| Collana | Wiley finance series |
| Soggetto topico |
Structured notes (Securities)
Derivative securities Investment analysis - Mathematical models Financial engineering |
| ISBN |
1-119-20926-9
1-280-85604-1 9786610856046 0-470-51272-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Structured Finance; Contents; 1 Structured Finance: A Primer; 1.1 Introduction; 1.2 Arbitrage-free valuation and replicating portfolios; 1.3 Replicating portfolios for derivatives; 1.3.1 Linear derivatives; 1.3.2 Nonlinear derivatives; 1.4 No-arbitrage and pricing; 1.4.1 Univariate claims; 1.4.2 Multivariate claims; 1.5 The structuring process; 1.5.1 The basic objects; 1.5.2 Risk factors, moments and dimensions; 1.5.3 Risk management; 1.6 A tale of two bonds; 1.6.1 Contingent coupons and repayment plans; 1.6.2 Exposure to the risky asset; 1.6.3 Exposure to volatility; 1.6.4 Hedging
1.7 Structured finance and object-oriented programmingReferences and further reading; 2 Object-Oriented Programming; 2.1 Introduction; 2.2 What is OOP (object-oriented programming)?; 2.3 Analysis and design; 2.3.1 A simple example; 2.4 Modelling; 2.4.1 The Unified Modelling Language (UML); 2.4.2 An object-oriented programming language: Java; 2.5 Main ideas about OOP; 2.5.1 Abstraction; 2.5.2 Classes; 2.5.3 Attributes and operations: the Encapsulation principle; 2.5.4 Responsibilities; 2.5.5 Inheritance; 2.5.6 Abstract classes; 2.5.7 Associations; 2.5.8 Message exchanging; 2.5.9 Collections 2.5.10 PolymorphismReferences and further reading; 3 Volatility and Correlation; 3.1 Introduction; 3.2 Volatility and correlation: models and measures; 3.2.1 Implied information; 3.2.2 Parametric models; 3.2.3 Realized (cross)moments; 3.3 Implied probability; 3.4 Volatility measures; 3.4.1 Implied volatility; 3.4.2 Parametric volatility models; 3.4.3 Realized volatility; 3.5 Implied correlation; 3.5.1 Forex markets implied correlation; 3.5.2 Equity "average" implied correlation; 3.5.3 Credit implied correlation; 3.6 Historical correlation; 3.6.1 Multivariate GARCH 3.6.2 Dynamic correlation model3.7 Copula functions; 3.7.1 Copula functions: the basics; 3.7.2 Copula functions: examples; 3.7.3 Copulas and survival copulas; 3.7.4 Copula dualities; 3.8 Conditional probabilities; 3.9 Non-parametric measures; 3.10 Tail dependence; 3.11 Correlation asymmetry; 3.11.1 Correlation asymmetry: finance; 3.11.2 Correlation asymmetry: econometrics; 3.12 Non-exchangeable copulas; 3.13 Estimation issues; 3.14 Lévy processes; References and further reading; 4 Cash Flow Design; 4.1 Introduction; 4.2 Types of bonds; 4.2.1 Floaters and reverse floaters 4.2.2 Convertible bonds4.2.3 Equity-linked notes; 4.2.4 Inflation-linked bonds; 4.2.5 Asset-backed securities; 4.3 Time and scheduler issues; 4.3.1 Payment date conventions; 4.3.2 Day count conventions and accrual factors; 4.4 JScheduler; 4.4.1 Date handling in Java; 4.4.2 Data models; 4.4.3 Design patterns; 4.4.4 The Factory Method pattern; 4.5 Cash flow generator design; 4.5.1 UML's activity diagram; 4.5.2 An important guideline to the data model for derivatives: FpML; 4.5.3 UML's sequence diagram; 4.6 The cleg class; References and further reading; 5 Convertible Bonds; 5.1 Introduction 5.2 Object-oriented structuring process |
| Record Nr. | UNINA-9910841193503321 |
|
Cherubini Umberto
|
||
| Chichester, England ; ; Hoboken, NJ, : John Wiley & Sons, c2007 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Term structure and debt sustainability : a note on the Italian anomaly / Umberto Cherubini, Roni Hamaui
| Term structure and debt sustainability : a note on the Italian anomaly / Umberto Cherubini, Roni Hamaui |
| Autore | Cherubini, Umberto |
| Pubbl/distr/stampa | Milano : Banca commerciale italiana, 1994 |
| Descrizione fisica | 24 p. ; 21 cm |
| Altri autori (Persone) | Hamaui, Rony |
| Collana | Collana ricerche |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-990003219380403321 |
|
Cherubini, Umberto
|
||
| Milano : Banca commerciale italiana, 1994 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
The orthogonal polynomial approach to contingent claim pricing : asset pricing when interest rates are regulated / Umberto Cherubini
| The orthogonal polynomial approach to contingent claim pricing : asset pricing when interest rates are regulated / Umberto Cherubini |
| Autore | Cherubini, Umberto |
| Pubbl/distr/stampa | milano : Banca commerciale italiana, 1993 |
| Descrizione fisica | 22 p. ; 30 cm |
| Collana | Collana ricerche |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-990003150150403321 |
|
Cherubini, Umberto
|
||
| milano : Banca commerciale italiana, 1993 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Using Pearson's system to characterize diffusion processes : a note / Umberto Cherubini, Marcello Esposito
| Using Pearson's system to characterize diffusion processes : a note / Umberto Cherubini, Marcello Esposito |
| Autore | Cherubini, Umberto |
| Pubbl/distr/stampa | Milano : Banca commerciale italiana, 1993 |
| Descrizione fisica | 11 p. ; 30 cm |
| Altri autori (Persone) | Esposito, Marcello |
| Collana | Collana ricerche |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-990003230410403321 |
|
Cherubini, Umberto
|
||
| Milano : Banca commerciale italiana, 1993 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
