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The Mathematics of Financial Models [[electronic resource] ] : Solving Real-World Problems with Quantitative Methods
The Mathematics of Financial Models [[electronic resource] ] : Solving Real-World Problems with Quantitative Methods
Autore Ravindran Kannoo
Pubbl/distr/stampa Hoboken, : Wiley, 2014
Descrizione fisica 1 online resource (346 pages)
Disciplina 332.01/51
Collana Wiley Finance
Soggetto topico Finance -- Mathematical models
Finance
Microsoft Excel (Computer file)
Stochastic analysis
Business & Economics
Finance - General
ISBN 1-118-82615-9
1-118-22185-0
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto The Mathematics of Financial Models; Contents; Preface; Acknowledgments; 1 Setting the Stage; Why Is This Book Different?; Road Map of the Book; References; 2 Building Zero Curves; Market Instruments; Treasury Bills; Treasury Notes; Treasury Bonds; Eurodollar Futures; Swaps; Linear Interpolation; Step 1: Convert Eurodollar Futures Prices to Forward Rates; Step 2: Calibrate Zero Rates for First Year; Step 3: Calibrate to Obtain Zero Rates for First Two Years; Step 4: Calibrate to Obtain Zero Rates for First Five Years; Cubic Splining; Splining over One Time Interval
Splining over Two Time IntervalsSplining over Four Time Intervals; Splining over All Time Intervals; Appendix: Finding Swap Rates Using A Floating Coupon Bond Approach; References; 3 Valuing Vanilla Options; Black-Scholes Formulae; Adaptations of the Black-Scholes Formulae; Pricing Options on Dividend-Paying Stocks; Pricing Options on Futures Contracts; Pricing Options on Forward Contracts; Limitations of the Black-Scholes Formulae; Application in Currency Risk Management; Risk-Management Strategies-Pros and Cons; Incorporating Views into Strategies; Appendix; Finding a Forward Bond Yield
References4 Simulations; Uniform Number Generation; Random Sampling; Stratified Sampling; Latin Hypercube Sampling; Non-Uniform Number Generation; Inverse Transform Method; Related Distribution Method; Applications of Simulations; Valuing European-Style Options; Simulating a Queue; Estimating Pi; Variance Reduction Techniques; Antithetic Variable Technique; Control Variable Technique; References; 5 Valuing Exotic Options; Valuing Path-Independent, European-Style Options on a Single Variable; Binary Options; Pay-Later Options; Nonlinear Payoff Options
Valuing Path-Dependent, European-Style Options on a Single VariableAveraging Options; Installment Options; Valuing path-Independent, European-Style Options on Two Variables; Exchange Options; Spread Options; Valuing Path-Dependent, European-Style Options on Multiple Variables; Averaging Spread Options; Lookback Basket Options; References; 6 Estimating Model Parameters; Calibration of Parameters in the Black-Scholes Model; Inferring qt,T; Using Implied Black-Scholes Volatility Surface and Zero Rate Term Structure to Value Options; Using Volatility Term Structure; Using Volatility Surface
Getting the Implied Stock Prices When i = 0Getting the Implied Probabilities When i = 0; Getting the Implied Stock Prices When i = 1; Getting the Implied Probabilities When i = 1; Calibration of Interest Rate Option Model Parameters; Statistical Estimation; Using Historical Implied Volatilities; Using Historical Underlying Values; References; 7 The Effectiveness of Hedging Strategies; Delta Hedging; Hedging the Sale of a Vanilla European-Style Call Option on a Nondividend-Paying Stock; Hedging the Sale of a Vanilla European-Style Call Option on a Dividend-Paying Stock
Hedging the Sale of a Vanilla European-Style Put Option on a Dividend-Paying Stock
Record Nr. UNINA-9910812067803321
Ravindran Kannoo  
Hoboken, : Wiley, 2014
Materiale a stampa
Lo trovi qui: Univ. Federico II
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Measure theory applications to stochastic analysis : proceedings, Oberwolfach Conference, Germany, July 3-9, 1977 / / edited by G. Kallianpur and D. Kölzow
Measure theory applications to stochastic analysis : proceedings, Oberwolfach Conference, Germany, July 3-9, 1977 / / edited by G. Kallianpur and D. Kölzow
Edizione [1st ed. 1978.]
Pubbl/distr/stampa Berlin ; ; Heidelberg ; ; New York : , : Springer-Verlag, , [1978]
Descrizione fisica 1 online resource (XIV, 266 p.)
Disciplina 519.2
Collana Lecture notes in mathematics
Soggetto topico Stochastic analysis
Measure theory
ISBN 3-540-35556-1
Classificazione 60-06
28-06
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Arret optimal previsible -- Stochastic integration with respect to hilbert valued martingales, representation theorems and infinite dimensional filtering -- Quelques resultats sur certaines mesures extremales. Applications a la representation des martingales -- Nonlinear semigroups in the control of partially-observable stochastic systems -- Optimal control of stochastic systems in a sphere bundle -- Optimal filtering of infinite-dimensional stationary signals -- On the theory of markovian representation -- Likelihood ratios with gauss measure noise models -- Realizing a weak solution on a probability space -- A class of measure-valued markov processes -- Diffusion operators in population genetics and convergence of Markov chains -- Equivalence problem on gaussian N-ple markov processes with multiplicity N -- Note on freidlin-wentzell type estimates for stochastic processes -- White noise and Lévy's functional analysis -- Gaussian processes: Nonlinear analysis and stochastic calculus -- Commutative wick algebras II. Square integrable martingale algebras and Ito algebras -- On the radon-nikodym theorem for operator measures and its applications to prediction and linear systems theory -- On subordination of decomposable fields -- On the stability and growth of real noise parameter-excited linear systems -- On the integration of sequences of moments' equations in the stability theory of stochastic systems -- Representation theorems for operators and measures on abstract wiener spaces -- An example on tail fields -- On the construction of least favourable distributions.
Record Nr. UNISA-996466757303316
Berlin ; ; Heidelberg ; ; New York : , : Springer-Verlag, , [1978]
Materiale a stampa
Lo trovi qui: Univ. di Salerno
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Noise and vibration analysis [[electronic resource] ] : signal analysis and experimental procedures / / Anders Brandt
Noise and vibration analysis [[electronic resource] ] : signal analysis and experimental procedures / / Anders Brandt
Autore Brandt Anders
Pubbl/distr/stampa Chichester, West Sussex, U.K. ; ; Hoboken, N.J., : Wiley, 2011
Descrizione fisica 1 online resource (466 p.)
Disciplina 620.3
Soggetto topico Acoustical engineering
Noise - Mathematical models
Signal processing
Stochastic analysis
Vibration - Mathematical models
ISBN 1-283-10093-2
9786613100931
0-470-97811-2
0-470-97817-1
0-470-97816-3
Classificazione TEC006000
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto NOISE AND VIBRATIONANALYSIS; Contents; About the Author; Preface; Acknowledgements; List of Abbreviations; Notation; 1 Introduction; 1.1 Noise and Vibration; 1.2 Noise and Vibration Analysis; 1.3 Application Areas; 1.4 Analysis of Noise and Vibrations; 1.4.1 Experimental Analysis; 1.5 Standards; 1.6 Becoming a Noise and Vibration Analysis Expert; 1.6.1 The Virtue of Simulation; 1.6.2 Learning Tools and the Format of this Book; 2 Dynamic Signals and Systems; 2.1 Introduction; 2.2 Periodic Signals; 2.2.1 Sine Waves; 2.2.2 Complex Sines; 2.2.3 Interacting Sines; 2.2.4 Orthogonality of Sines
2.3 Random Signals2.4 Transient Signals; 2.5 RMS Value and Power; 2.6 Linear Systems; 2.6.1 The Laplace Transform; 2.6.2 The Transfer Function; 2.6.3 The Impulse Response; 2.6.4 Convolution; 2.7 The Continuous Fourier Transform; 2.7.1 Characteristics of the Fourier Transform; 2.7.2 The Frequency Response; 2.7.3 Relationship between the Laplace and Frequency Domains; 2.7.4 Transient versus Steady-state Response; 2.8 Chapter Summary; 2.9 Problems; References; 3 Time Data Analysis; 3.1 Introduction to Discrete Signals; 3.2 The Sampling Theorem; 3.2.1 Aliasing
3.2.2 Discrete Representation of Analog Signals3.2.3 Interpolation and Resampling; 3.3 Filters; 3.3.1 Analog Filters; 3.3.2 Digital Filters; 3.3.3 Smoothing Filters; 3.3.4 Acoustic Octave Filters; 3.3.5 Analog RMS Integration; 3.3.6 Frequency Weighting Filters; 3.4 Time Series Analysis; 3.4.1 Min- and Max-analysis; 3.4.2 Time Data Integration; 3.4.3 Time Data Differentiation; 3.4.4 FFT-based Processing; 3.5 Chapter Summary; 3.6 Problems; References; 4 Statistics and Random Processes; 4.1 Introduction to the Use of Statistics; 4.1.1 Ensemble and Time Averages; 4.1.2 Stationarity and Ergodicity
4.2 Random Theory4.2.1 Expected Value; 4.2.2 Errors in Estimates; 4.2.3 Probability Distribution; 4.2.4 Probability Density; 4.2.5 Histogram; 4.2.6 Sample Probability Density Estimate; 4.2.7 Average Value and Variance; 4.2.8 Central Moments; 4.2.9 Skewness; 4.2.10 Kurtosis; 4.2.11 Crest Factor; 4.2.12 Correlation Functions; 4.2.13 The Gaussian Probability Distribution; 4.3 Statistical Methods; 4.3.1 Hypothesis Tests; 4.3.2 Test of Normality; 4.3.3 Test of Stationarity; 4.4 Quality Assessment of Measured Signals; 4.5 Chapter Summary; 4.6 Problems; References; 5 Fundamental Mechanics
5.1 Newton's Laws5.2 The Single Degree-of-freedom System (SDOF); 5.2.1 The Transfer Function; 5.2.2 The Impulse Response; 5.2.3 The Frequency Response; 5.2.4 The Q-factor; 5.2.5 SDOF Forced Response; 5.3 Alternative Quantities for Describing Motion; 5.4 Frequency Response Plot Formats; 5.4.1 Magnitude and Phase; 5.4.2 Real and Imaginary Parts; 5.4.3 The Nyquist Plot - Imaginary vs. Real Part; 5.5 Determining Natural Frequency and Damping; 5.5.1 Peak in the Magnitude of FRF; 5.5.2 Peak in the Imaginary Part of FRF; 5.5.3 Resonance Bandwidth (3 dB Bandwidth); 5.5.4 Circle in the Nyquist Plot
5.6 Rotating Mass
Record Nr. UNINA-9910133454803321
Brandt Anders  
Chichester, West Sussex, U.K. ; ; Hoboken, N.J., : Wiley, 2011
Materiale a stampa
Lo trovi qui: Univ. Federico II
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Noise and vibration analysis [[electronic resource] ] : signal analysis and experimental procedures / / Anders Brandt
Noise and vibration analysis [[electronic resource] ] : signal analysis and experimental procedures / / Anders Brandt
Autore Brandt Anders
Pubbl/distr/stampa Chichester, West Sussex, U.K. ; ; Hoboken, N.J., : Wiley, 2011
Descrizione fisica 1 online resource (466 p.)
Disciplina 620.3
Soggetto topico Acoustical engineering
Noise - Mathematical models
Signal processing
Stochastic analysis
Vibration - Mathematical models
ISBN 1-283-10093-2
9786613100931
0-470-97811-2
0-470-97817-1
0-470-97816-3
Classificazione TEC006000
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto NOISE AND VIBRATIONANALYSIS; Contents; About the Author; Preface; Acknowledgements; List of Abbreviations; Notation; 1 Introduction; 1.1 Noise and Vibration; 1.2 Noise and Vibration Analysis; 1.3 Application Areas; 1.4 Analysis of Noise and Vibrations; 1.4.1 Experimental Analysis; 1.5 Standards; 1.6 Becoming a Noise and Vibration Analysis Expert; 1.6.1 The Virtue of Simulation; 1.6.2 Learning Tools and the Format of this Book; 2 Dynamic Signals and Systems; 2.1 Introduction; 2.2 Periodic Signals; 2.2.1 Sine Waves; 2.2.2 Complex Sines; 2.2.3 Interacting Sines; 2.2.4 Orthogonality of Sines
2.3 Random Signals2.4 Transient Signals; 2.5 RMS Value and Power; 2.6 Linear Systems; 2.6.1 The Laplace Transform; 2.6.2 The Transfer Function; 2.6.3 The Impulse Response; 2.6.4 Convolution; 2.7 The Continuous Fourier Transform; 2.7.1 Characteristics of the Fourier Transform; 2.7.2 The Frequency Response; 2.7.3 Relationship between the Laplace and Frequency Domains; 2.7.4 Transient versus Steady-state Response; 2.8 Chapter Summary; 2.9 Problems; References; 3 Time Data Analysis; 3.1 Introduction to Discrete Signals; 3.2 The Sampling Theorem; 3.2.1 Aliasing
3.2.2 Discrete Representation of Analog Signals3.2.3 Interpolation and Resampling; 3.3 Filters; 3.3.1 Analog Filters; 3.3.2 Digital Filters; 3.3.3 Smoothing Filters; 3.3.4 Acoustic Octave Filters; 3.3.5 Analog RMS Integration; 3.3.6 Frequency Weighting Filters; 3.4 Time Series Analysis; 3.4.1 Min- and Max-analysis; 3.4.2 Time Data Integration; 3.4.3 Time Data Differentiation; 3.4.4 FFT-based Processing; 3.5 Chapter Summary; 3.6 Problems; References; 4 Statistics and Random Processes; 4.1 Introduction to the Use of Statistics; 4.1.1 Ensemble and Time Averages; 4.1.2 Stationarity and Ergodicity
4.2 Random Theory4.2.1 Expected Value; 4.2.2 Errors in Estimates; 4.2.3 Probability Distribution; 4.2.4 Probability Density; 4.2.5 Histogram; 4.2.6 Sample Probability Density Estimate; 4.2.7 Average Value and Variance; 4.2.8 Central Moments; 4.2.9 Skewness; 4.2.10 Kurtosis; 4.2.11 Crest Factor; 4.2.12 Correlation Functions; 4.2.13 The Gaussian Probability Distribution; 4.3 Statistical Methods; 4.3.1 Hypothesis Tests; 4.3.2 Test of Normality; 4.3.3 Test of Stationarity; 4.4 Quality Assessment of Measured Signals; 4.5 Chapter Summary; 4.6 Problems; References; 5 Fundamental Mechanics
5.1 Newton's Laws5.2 The Single Degree-of-freedom System (SDOF); 5.2.1 The Transfer Function; 5.2.2 The Impulse Response; 5.2.3 The Frequency Response; 5.2.4 The Q-factor; 5.2.5 SDOF Forced Response; 5.3 Alternative Quantities for Describing Motion; 5.4 Frequency Response Plot Formats; 5.4.1 Magnitude and Phase; 5.4.2 Real and Imaginary Parts; 5.4.3 The Nyquist Plot - Imaginary vs. Real Part; 5.5 Determining Natural Frequency and Damping; 5.5.1 Peak in the Magnitude of FRF; 5.5.2 Peak in the Imaginary Part of FRF; 5.5.3 Resonance Bandwidth (3 dB Bandwidth); 5.5.4 Circle in the Nyquist Plot
5.6 Rotating Mass
Record Nr. UNINA-9910827253203321
Brandt Anders  
Chichester, West Sussex, U.K. ; ; Hoboken, N.J., : Wiley, 2011
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Nonstandard methods in stochastic analysis and mathematical physics / Sergio Albeverio ... [et al.]
Nonstandard methods in stochastic analysis and mathematical physics / Sergio Albeverio ... [et al.]
Autore Albeverio, Sergio
Pubbl/distr/stampa Orlando : Academic Press, 1986
Descrizione fisica xi, 514 p. : ill. ; 24 cm.
Disciplina 519.2
Collana Pure and applied mathematics. A series of monographs & textbooks [Academic Press], 0079-8169 ; 122
Soggetto topico Mathematical physics
Stochastic analysis
ISBN 0120488604 (alk. paper)
Classificazione AMS 47E05
AMS 47F05
AMS 60H05
AMS 60H20
AMS 60J
QA274.2
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione en
Record Nr. UNISALENTO-991001181309707536
Albeverio, Sergio  
Orlando : Academic Press, 1986
Materiale a stampa
Lo trovi qui: Univ. del Salento
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Notes on Tug-of-War Games and the p-Laplace Equation [[electronic resource] /] / by Mikko Parviainen
Notes on Tug-of-War Games and the p-Laplace Equation [[electronic resource] /] / by Mikko Parviainen
Autore Parviainen Mikko
Edizione [1st ed. 2024.]
Pubbl/distr/stampa Singapore : , : Springer Nature Singapore : , : Imprint : Springer, , 2024
Descrizione fisica 1 online resource (83 pages)
Disciplina 519.22
Collana SpringerBriefs on PDEs and Data Science
Soggetto topico Stochastic analysis
Game theory
Differential equations
Discrete mathematics
Stochastic Analysis
Game Theory
Differential Equations
Discrete Mathematics
ISBN 9789819978793
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Chapter 1. Introduction -- Chapter 2. Viscosity Solutions -- Chapter 3. Stochastic Tug-of-War Game -- Chapter 4. Cancellation Method for Regularity of the Tug-of-War with Noise -- Chapter 5. Mean Value Characterizations -- Chapter 6. Further Regularity Methods -- Chapter 7. Open Problems and Comments.
Record Nr. UNINA-9910841865903321
Parviainen Mikko  
Singapore : , : Springer Nature Singapore : , : Imprint : Springer, , 2024
Materiale a stampa
Lo trovi qui: Univ. Federico II
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On the martingale problem for interactive measure-valued branching diffusions / / Edwin Perkins
On the martingale problem for interactive measure-valued branching diffusions / / Edwin Perkins
Autore Perkins Edwin Arend <1953->
Pubbl/distr/stampa Providence, Rhode Island, United States : , : American Mathematical Society, , 1995
Descrizione fisica 1 online resource (102 p.)
Disciplina 519.2/34
Collana Memoirs of the American Mathematical Society
Soggetto topico Branching processes
Random measures
Stochastic analysis
Soggetto genere / forma Electronic books.
ISBN 1-4704-0128-2
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto ""Contents""; ""1. Introduction""; ""2. Historical Integrals and Stochastic Calculus""; ""3. On the Compact Support Property""; ""4. Pathwise Existence and Uniqueness in a Stochastic Equation for Historical Processes""; ""5. Existence and Uniqueness for a Historical Martingale Problem""; ""References""
Record Nr. UNINA-9910480533103321
Perkins Edwin Arend <1953->  
Providence, Rhode Island, United States : , : American Mathematical Society, , 1995
Materiale a stampa
Lo trovi qui: Univ. Federico II
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On the martingale problem for interactive measure-valued branching diffusions / / Edwin Perkins
On the martingale problem for interactive measure-valued branching diffusions / / Edwin Perkins
Autore Perkins Edwin Arend <1953->
Pubbl/distr/stampa Providence, Rhode Island, United States : , : American Mathematical Society, , 1995
Descrizione fisica 1 online resource (102 p.)
Disciplina 519.2/34
Collana Memoirs of the American Mathematical Society
Soggetto topico Branching processes
Random measures
Stochastic analysis
ISBN 1-4704-0128-2
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto ""Contents""; ""1. Introduction""; ""2. Historical Integrals and Stochastic Calculus""; ""3. On the Compact Support Property""; ""4. Pathwise Existence and Uniqueness in a Stochastic Equation for Historical Processes""; ""5. Existence and Uniqueness for a Historical Martingale Problem""; ""References""
Record Nr. UNINA-9910788757203321
Perkins Edwin Arend <1953->  
Providence, Rhode Island, United States : , : American Mathematical Society, , 1995
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
On the martingale problem for interactive measure-valued branching diffusions / / Edwin Perkins
On the martingale problem for interactive measure-valued branching diffusions / / Edwin Perkins
Autore Perkins Edwin Arend <1953->
Pubbl/distr/stampa Providence, Rhode Island, United States : , : American Mathematical Society, , 1995
Descrizione fisica 1 online resource (102 p.)
Disciplina 519.2/34
Collana Memoirs of the American Mathematical Society
Soggetto topico Branching processes
Random measures
Stochastic analysis
ISBN 1-4704-0128-2
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto ""Contents""; ""1. Introduction""; ""2. Historical Integrals and Stochastic Calculus""; ""3. On the Compact Support Property""; ""4. Pathwise Existence and Uniqueness in a Stochastic Equation for Historical Processes""; ""5. Existence and Uniqueness for a Historical Martingale Problem""; ""References""
Record Nr. UNINA-9910827874203321
Perkins Edwin Arend <1953->  
Providence, Rhode Island, United States : , : American Mathematical Society, , 1995
Materiale a stampa
Lo trovi qui: Univ. Federico II
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Performance analysis of manufacturing systems / Tayfur Altiok
Performance analysis of manufacturing systems / Tayfur Altiok
Autore Altiok, Tayfur
Pubbl/distr/stampa New York : Springer, c1997
Descrizione fisica xi, 355 p. : ill.; 24 cm
Disciplina 658.5
Collana Springer series in operations research
Soggetto topico Production management - Evaluation
Production management - Mathematical models
Stochastic analysis
ISBN 0387947736
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Record Nr. UNISALENTO-991001871589707536
Altiok, Tayfur  
New York : Springer, c1997
Materiale a stampa
Lo trovi qui: Univ. del Salento
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