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 |
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 | ||
|
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 | ||
|
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 | ||
|
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 |
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 |
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 | ||
|
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 | ||
|
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 | ||
|
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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