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General Pontryagin-type stochastic maximum principle and backward stochastic evolution equations in infinite dimensions / Qi Lü, Xu Zhang
| General Pontryagin-type stochastic maximum principle and backward stochastic evolution equations in infinite dimensions / Qi Lü, Xu Zhang |
| Autore | Lü, Qi |
| Pubbl/distr/stampa | Cham, : Springer, 2014 |
| Descrizione fisica | IX, 146 p. ; 24 cm |
| Altri autori (Persone) | Zhang, Xu |
| Soggetto topico |
93E20 - Optimal stochastic control [MSC 2020]
60H10 - Stochastic ordinary differential equations [MSC 2020] 60H15 - Stochastic partial differential equations (aspects of stochastic analysis) [MSC 2020] 49J55 - Existence of optimal solutions to problems involving randomness [MSC 2020] 49K45 - Optimality conditions for problems involving randomness [MSC 2020] |
| Soggetto non controllato |
Backward stochastics evolution equation
Optimal Control Pontryagin-type maximum principle Quantitative Finance Stochastic Evolution Equations Transportation solution |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Titolo uniforme | |
| Record Nr. | UNICAMPANIA-VAN0103455 |
Lü, Qi
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| Cham, : Springer, 2014 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Vanvitelli | ||
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Generalized hyperbolic secant distributions : with applications to finance / Matthias J. Fischer
| Generalized hyperbolic secant distributions : with applications to finance / Matthias J. Fischer |
| Autore | Fischer, Matthias J. |
| Pubbl/distr/stampa | Heidelberg, : Springer, 2014 |
| Descrizione fisica | VIII, 72 p. : ill. ; 24 cm |
| Soggetto topico |
62P20 - Applications of statistics to economics [MSC 2020]
91B70 - Stochastic models in economics [MSC 2020] 91B84 - Economic time series analysis [MSC 2020] 91G70 - Statistical methods; risk measures [MSC 2020] 62E15 - Exact distribution theory in statistics [MSC 2020] |
| Soggetto non controllato |
Asymmetry
Distributions Financial returns Heavy tails Quantitative Finance |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Titolo uniforme | |
| Record Nr. | UNICAMPANIA-VAN0104150 |
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Fischer, Matthias J.
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| Heidelberg, : Springer, 2014 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Vanvitelli | ||
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High-Frequency Statistics with Asynchronous and Irregular Data / Ole Martin
| High-Frequency Statistics with Asynchronous and Irregular Data / Ole Martin |
| Autore | Martin, Ole |
| Pubbl/distr/stampa | Wiesbaden, : Springer spektrum, 2019 |
| Descrizione fisica | xiii, 323 p. : ill. ; 24 cm |
| Soggetto topico |
60-XX - Probability theory and stochastic processes [MSC 2020]
62-XX - Statistics [MSC 2020] 91-XX - Game theory, economics, finance, and other social and behavioral sciences [MSC 2020] |
| Soggetto non controllato |
Asynchronous data
Asynchronous observations Bootstrap Bootstrapping asymptotic laws Central limit theorems Common jumps Estimating quadratic covariation High-frequency statistics Irregular data Laws of large numbers Quadratic covariation Quantitative Finance Random observation schemes Random observations Test for common jumps Test for jumps |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Titolo uniforme | |
| Record Nr. | UNICAMPANIA-VAN0126614 |
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Martin, Ole
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| Wiesbaden, : Springer spektrum, 2019 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Vanvitelli | ||
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In memoriam Paul-André Meyer : Séminaire de Probabilités XXXIX / Michel Emery, Marc Yor (eds.)
| In memoriam Paul-André Meyer : Séminaire de Probabilités XXXIX / Michel Emery, Marc Yor (eds.) |
| Pubbl/distr/stampa | Berlin, : Springer, 2006 |
| Descrizione fisica | VIII, 417 p. ; 24 cm |
| Soggetto topico |
60Hxx - Stochastic analysis [MSC 2020]
60Jxx - Markov processes [MSC 2020] 60Gxx - Stochastic processes [MSC 2020] 91Gxx - Actuarial science and mathematical finance [MSC 2020] |
| Soggetto non controllato |
Brownian Motions
Brownian bridge Calculus Diffusion Processes Dirichlet process Filtration Local martingale Lévy processes Martingales Mathematical Finance Ornstein-Uhlenbeck process Quantitative Finance Semimartingales Sets Stochastic Calculus |
| ISBN | 978-35-403-0994-9 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Titolo uniforme | |
| Record Nr. | UNICAMPANIA-VAN0057413 |
| Berlin, : Springer, 2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Vanvitelli | ||
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Independent Random Sampling Methods / Luca Martino, David Luengo, Joaquín Míguez
| Independent Random Sampling Methods / Luca Martino, David Luengo, Joaquín Míguez |
| Autore | Martino, Luca |
| Pubbl/distr/stampa | Cham, : Springer, 2018 |
| Descrizione fisica | xii, 280 p. : ill. ; 24 cm |
| Altri autori (Persone) |
Luengo, David
Míguez, Joaquín |
| Soggetto topico | 65Cxx - Probabilistic methods, stochastic differential equations [MSC 2020] |
| Soggetto non controllato |
Accept-reject methods
Adaptive rejection sampling Independent sampling Markov Chain Monte Carlo Multidimensional random sampling Quantitative Finance Random sampling Ratio-of-uniforms Rejection samplers |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Titolo uniforme | |
| Record Nr. | UNICAMPANIA-VAN0124775 |
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Martino, Luca
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| Cham, : Springer, 2018 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Vanvitelli | ||
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Innovations in derivatives markets : fixed income modeling, valuation adjustments, risk management, and regulation / Kathrin Glau ... [et al.] editors
| Innovations in derivatives markets : fixed income modeling, valuation adjustments, risk management, and regulation / Kathrin Glau ... [et al.] editors |
| Pubbl/distr/stampa | [Cham], : Springer Open, 2016 |
| Descrizione fisica | X, 449 p. : ill. ; 24 cm |
| Soggetto topico |
00B25 - Proceedings of conferences of miscellaneous specific interest [MSC 2020]
91-XX - Game theory, economics, finance, and other social and behavioral sciences [MSC 2020] 91G20 - Derivative securities (option pricing, hedging, etc.) [MSC 2020] 91G40 - Credit risk [MSC 2020] |
| Soggetto non controllato |
Banking
Counterparty credit risk Derivatives markets Derivatives pricing Financial Engineering Fixed income modeling Interest-rate modeling Liquidity Multi-curve models Quantitative Finance Regulation Risk management Valuation adjustments |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Titolo uniforme | |
| Record Nr. | UNICAMPANIA-VAN0114880 |
| [Cham], : Springer Open, 2016 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Vanvitelli | ||
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Innovations in Quantitative Risk Management [[electronic resource] ] : TU München, September 2013 / / edited by Kathrin Glau, Matthias Scherer, Rudi Zagst
| Innovations in Quantitative Risk Management [[electronic resource] ] : TU München, September 2013 / / edited by Kathrin Glau, Matthias Scherer, Rudi Zagst |
| Autore | Glau Kathrin |
| Edizione | [1st ed. 2015.] |
| Pubbl/distr/stampa | Cham, : Springer Nature, 2015 |
| Descrizione fisica | 1 online resource (xi, 438 pages) : illustrations; digital, PDF file(s) |
| Disciplina | 658.155 |
| Collana | Springer Proceedings in Mathematics & Statistics |
| Soggetto topico |
Economics, Mathematical
Game theory Finance Actuarial science Quantitative Finance Game Theory, Economics, Social and Behav. Sciences Finance, general Actuarial Sciences |
| Soggetto non controllato |
Quantitative Finance
Game Theory, Economics, Social and Behav. Sciences Finance/Investment/Banking Actuarial Sciences |
| ISBN |
9783319091143 (ebook)
9783319091136 (hardback) |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Part I Markets, Regulation, and Model Risk -- A Random Holding Period Approach for Liquidity-Inclusive Risk Management -- Regulatory Developments in Risk Management: Restoring Confidence in Internal Models -- Model Risk in Incomplete Markets with Jumps -- Part II Financial Engineering -- Bid-Ask Spread for Exotic Options Under Conic Finance -- Derivative Pricing Under the Possibility of Long Memory in the supOU Stochastic Volatility Model -- A Two-Sided BNS Model for Multicurrency FX Markets -- Modeling the Price of Natural Gas with Temperature and Oil Price as Exogenous Factors -- Copula-Specific Credit Portfolio Modeling -- Implied Recovery Rates—Auctions and Models -- Upside and Downside Risk Exposures of Currency Carry Trades via Tail Dependence -- Part III Insurance Risk and Asset Management -- Participating Life Insurance Contracts Under Risk Based Solvency Frameworks: How to Increase Capital Efficiency by Product Design -- Reducing Surrender Incentives Through Fee Structure in Variable Annuities -- A Variational Approach for Mean-Variance-Optimal Deterministic Consumption and Investment -- Risk Control in Asset Management: Motives and Concepts -- Worst-Case Scenario Portfolio Optimization Given the Probability of a Crash -- Improving Optimal Terminal Value Replicating Portfolios -- Part IV Computational Methods for Risk Management -- Risk and Computation -- Extreme Value Importance Sampling for Rare Event Risk Measurement -- A Note on the Numerical Evaluation of the Hartman–Watson Density and Distribution Function -- Computation of Copulas by Fourier Methods -- Part V Dependence Modelling -- Goodness-of-fit Tests for Archimedean Copulas in High Dimensions -- Duality in Risk Aggregation -- Some Consequences of the Markov Kernel Perspective of Copulas -- Copula Representations for Invariant Dependence Functions -- Nonparametric Copula Density Estimation Using a Petrov–Galerkin Projection. |
| Record Nr. | UNINA-9910132289903321 |
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Glau Kathrin
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| Cham, : Springer Nature, 2015 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Innovations in Quantitative Risk Management [[electronic resource] ] : TU München, September 2013 / / edited by Kathrin Glau, Matthias Scherer, Rudi Zagst
| Innovations in Quantitative Risk Management [[electronic resource] ] : TU München, September 2013 / / edited by Kathrin Glau, Matthias Scherer, Rudi Zagst |
| Autore | Glau Kathrin |
| Edizione | [1st ed. 2015.] |
| Pubbl/distr/stampa | Cham, : Springer Nature, 2015 |
| Descrizione fisica | 1 online resource (xi, 438 pages) : illustrations; digital, PDF file(s) |
| Disciplina | 658.155 |
| Collana | Springer Proceedings in Mathematics & Statistics |
| Soggetto topico |
Economics, Mathematical
Game theory Finance Actuarial science Quantitative Finance Game Theory, Economics, Social and Behav. Sciences Finance, general Actuarial Sciences |
| Soggetto non controllato |
Quantitative Finance
Game Theory, Economics, Social and Behav. Sciences Finance/Investment/Banking Actuarial Sciences |
| ISBN |
9783319091143 (ebook)
9783319091136 (hardback) |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Part I Markets, Regulation, and Model Risk -- A Random Holding Period Approach for Liquidity-Inclusive Risk Management -- Regulatory Developments in Risk Management: Restoring Confidence in Internal Models -- Model Risk in Incomplete Markets with Jumps -- Part II Financial Engineering -- Bid-Ask Spread for Exotic Options Under Conic Finance -- Derivative Pricing Under the Possibility of Long Memory in the supOU Stochastic Volatility Model -- A Two-Sided BNS Model for Multicurrency FX Markets -- Modeling the Price of Natural Gas with Temperature and Oil Price as Exogenous Factors -- Copula-Specific Credit Portfolio Modeling -- Implied Recovery Rates—Auctions and Models -- Upside and Downside Risk Exposures of Currency Carry Trades via Tail Dependence -- Part III Insurance Risk and Asset Management -- Participating Life Insurance Contracts Under Risk Based Solvency Frameworks: How to Increase Capital Efficiency by Product Design -- Reducing Surrender Incentives Through Fee Structure in Variable Annuities -- A Variational Approach for Mean-Variance-Optimal Deterministic Consumption and Investment -- Risk Control in Asset Management: Motives and Concepts -- Worst-Case Scenario Portfolio Optimization Given the Probability of a Crash -- Improving Optimal Terminal Value Replicating Portfolios -- Part IV Computational Methods for Risk Management -- Risk and Computation -- Extreme Value Importance Sampling for Rare Event Risk Measurement -- A Note on the Numerical Evaluation of the Hartman–Watson Density and Distribution Function -- Computation of Copulas by Fourier Methods -- Part V Dependence Modelling -- Goodness-of-fit Tests for Archimedean Copulas in High Dimensions -- Duality in Risk Aggregation -- Some Consequences of the Markov Kernel Perspective of Copulas -- Copula Representations for Invariant Dependence Functions -- Nonparametric Copula Density Estimation Using a Petrov–Galerkin Projection. |
| Record Nr. | UNISA-996213775103316 |
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Glau Kathrin
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| Cham, : Springer Nature, 2015 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. di Salerno | ||
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Innovations in quantitative risk management : TU München, september 2013 / Kathrin Glau, Matthias Scherer, Rudi Zagst editors
| Innovations in quantitative risk management : TU München, september 2013 / Kathrin Glau, Matthias Scherer, Rudi Zagst editors |
| Pubbl/distr/stampa | [Cham], : Springer, 2015 |
| Descrizione fisica | XI, 438 p. : ill. ; 24 cm |
| Soggetto topico |
91B05 - Risk models (general) [MSC 2020]
91B24 - Microeconomic theory (price theory and economic markets) [MSC 2020] 91B82 - Statistical methods; economic indices and measures [MSC 2020] 91G30 - Interest rates, asset pricing, etc. (stochastic models) [MSC 2020] |
| Soggetto non controllato |
Credit risk
Dependence modeling Interest-rate modeling Model risk Quantitative Finance Risk management |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Titolo uniforme | |
| Record Nr. | UNICAMPANIA-VAN0113256 |
| [Cham], : Springer, 2015 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Vanvitelli | ||
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Inspired by finance : the Musiela festschrift / Yuri Kabanov, Marek Rutkowski, Thaleia Zariphopoulou editors
| Inspired by finance : the Musiela festschrift / Yuri Kabanov, Marek Rutkowski, Thaleia Zariphopoulou editors |
| Pubbl/distr/stampa | Cham, : Springer, 2014 |
| Descrizione fisica | XXIII, 543 p. : ill. ; 24 cm |
| Soggetto topico | 91Gxx - Actuarial science and mathematical finance [MSC 2020] |
| Soggetto non controllato |
Arbitrage pricing
Credit risk Exotic Options Financial derivatives Portfolio optimization Quantitative Finance |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Titolo uniforme | |
| Record Nr. | UNICAMPANIA-VAN0103224 |
| Cham, : Springer, 2014 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Vanvitelli | ||
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