top

  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.

  Info

  • Utilizzare questo link per rimuovere la selezione effettuata.
From Probability to Finance [[electronic resource] ] : Lecture Notes of BICMR Summer School on Financial Mathematics / / edited by Ying Jiao
From Probability to Finance [[electronic resource] ] : Lecture Notes of BICMR Summer School on Financial Mathematics / / edited by Ying Jiao
Edizione [1st ed. 2020.]
Pubbl/distr/stampa Singapore : , : Springer Singapore : , : Imprint : Springer, , 2020
Descrizione fisica 1 online resource (VII, 248 p. 25 illus., 20 illus. in color.)
Disciplina 332.0151922
Collana Mathematical Lectures from Peking University
Soggetto topico Applied mathematics
Engineering mathematics
Probabilities
Applications of Mathematics
Probability Theory and Stochastic Processes
ISBN 981-15-1576-X
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Zenghu Li: Continuous-state branching processes with immigration -- Christophette Blanchet-Scalliet and Monique Jeanblanc: Enlargement of filtration in discrete time -- Guillaume Bernis and Simone Scotti: Clustering Effects via Hawkes Processes -- Jingping Yang, Fang Wang and Zongkai Xie: Bernstein Copulas and Composite Bernstein Copulas -- Claudio Albanese, Marc Chataigner and Stéphane Crépey: Wealth Transfers, Indifference Pricing, and XVA Compression Schemes.
Record Nr. UNINA-9910484073403321
Singapore : , : Springer Singapore : , : Imprint : Springer, , 2020
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
From Probability to Finance [[electronic resource] ] : Lecture Notes of BICMR Summer School on Financial Mathematics / / edited by Ying Jiao
From Probability to Finance [[electronic resource] ] : Lecture Notes of BICMR Summer School on Financial Mathematics / / edited by Ying Jiao
Edizione [1st ed. 2020.]
Pubbl/distr/stampa Singapore : , : Springer Singapore : , : Imprint : Springer, , 2020
Descrizione fisica 1 online resource (VII, 248 p. 25 illus., 20 illus. in color.)
Disciplina 332.0151922
Collana Mathematical Lectures from Peking University
Soggetto topico Applied mathematics
Engineering mathematics
Probabilities
Applications of Mathematics
Probability Theory and Stochastic Processes
ISBN 981-15-1576-X
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Zenghu Li: Continuous-state branching processes with immigration -- Christophette Blanchet-Scalliet and Monique Jeanblanc: Enlargement of filtration in discrete time -- Guillaume Bernis and Simone Scotti: Clustering Effects via Hawkes Processes -- Jingping Yang, Fang Wang and Zongkai Xie: Bernstein Copulas and Composite Bernstein Copulas -- Claudio Albanese, Marc Chataigner and Stéphane Crépey: Wealth Transfers, Indifference Pricing, and XVA Compression Schemes.
Record Nr. UNISA-996418278803316
Singapore : , : Springer Singapore : , : Imprint : Springer, , 2020
Materiale a stampa
Lo trovi qui: Univ. di Salerno
Opac: Controlla la disponibilità qui
Mathematical finance : deterministic and stochastic models / Jacques Janssen, Raimondo Manca, Ernesto Volpe di Prignano
Mathematical finance : deterministic and stochastic models / Jacques Janssen, Raimondo Manca, Ernesto Volpe di Prignano
Autore Janssen, Jacques <1939->
Pubbl/distr/stampa London : wiley, 2009
Descrizione fisica xx, 852 p. ; 24 cm
Disciplina 332.0151922
Altri autori (Persone) Manca, Raimondo
Volpe, Ernesto
Soggetto non controllato Matematica finanziaria
Processi stocastici
ISBN 978-1-84821-081-3
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Record Nr. UNINA-990009495530403321
Janssen, Jacques <1939->  
London : wiley, 2009
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Problems and solutions in mathematical finance . Volume 2, : Equity derivatives / / Eric Chin, Dian Nel, Sverrir Olafsson
Problems and solutions in mathematical finance . Volume 2, : Equity derivatives / / Eric Chin, Dian Nel, Sverrir Olafsson
Autore Chin Eric <1971->
Pubbl/distr/stampa Chichester, West Sussex, England : , : Wiley, , 2017
Descrizione fisica 1 online resource (859 pages) : illustrations, tables
Disciplina 332.0151922
Collana Wiley Finance Series
Soggetto topico Finance - Mathematical models
Stochastic analysis
Soggetto genere / forma Electronic books.
ISBN 1-119-96611-6
1-119-96610-8
1-119-19219-6
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Record Nr. UNINA-9910158568003321
Chin Eric <1971->  
Chichester, West Sussex, England : , : Wiley, , 2017
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Proceedings of the First International Forum on Financial Mathematics and Financial Technology / / Zhiyong Zheng, editor
Proceedings of the First International Forum on Financial Mathematics and Financial Technology / / Zhiyong Zheng, editor
Pubbl/distr/stampa Gateway East, Singapore : , : Springer, , [2021]
Descrizione fisica 1 online resource (238 pages)
Disciplina 332.0151922
Collana Financial mathematics and FinTech
Soggetto topico Business mathematics
Soggetto genere / forma Electronic books.
ISBN 981-15-8373-0
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Record Nr. UNINA-9910484958603321
Gateway East, Singapore : , : Springer, , [2021]
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Stochastic analysis, stochastic systems, and applications to finance [[electronic resource] /] / edited by Allanus Tsoi, David Nualart, George Yin
Stochastic analysis, stochastic systems, and applications to finance [[electronic resource] /] / edited by Allanus Tsoi, David Nualart, George Yin
Pubbl/distr/stampa Singapore, : World Scientific, c2011
Descrizione fisica 1 online resource (274 p.)
Disciplina 332.0151922
Altri autori (Persone) TsoiAllanus Hak-Man <1955->
NualartDavid <1951->
YinGeorge <1954->
Soggetto topico Finance - Mathematical models
Stochastic systems
Stochastic analysis
Soggetto genere / forma Electronic books.
ISBN 1-283-43395-8
9786613433954
981-4355-71-2
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto pt. 1. Stochastic analysis and systems -- pt. 2. Finance and stochastics.
Record Nr. UNINA-9910464515603321
Singapore, : World Scientific, c2011
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Stochastic analysis, stochastic systems, and applications to finance [[electronic resource] /] / edited by Allanus Tsoi, David Nualart, George Yin
Stochastic analysis, stochastic systems, and applications to finance [[electronic resource] /] / edited by Allanus Tsoi, David Nualart, George Yin
Pubbl/distr/stampa Singapore, : World Scientific, c2011
Descrizione fisica 1 online resource (274 p.)
Disciplina 332.0151922
Altri autori (Persone) TsoiAllanus Hak-Man <1955->
NualartDavid <1951->
YinGeorge <1954->
Soggetto topico Finance - Mathematical models
Stochastic systems
Stochastic analysis
Soggetto genere / forma Electronic books.
ISBN 1-283-43395-8
9786613433954
981-4355-71-2
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto pt. 1. Stochastic analysis and systems -- pt. 2. Finance and stochastics.
Record Nr. UNINA-9910544630303321
Singapore, : World Scientific, c2011
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Stochastic calculus for finance / Steven E. Shreve
Stochastic calculus for finance / Steven E. Shreve
Autore Shreve, Steven E
Pubbl/distr/stampa New York : Springer, c2004
Descrizione fisica 2 v. ; 24 cm
Disciplina 332.0151922
Collana Springer finance. Textbook
Soggetto topico Calcolo finanziario
ISBN 9780387401003 (v. 1)
9780387401010 (v. 2)
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto 1.: The binomial asset pricing model. - XV, 187 p
Record Nr. UNISALENTO-b14357550
Shreve, Steven E  
New York : Springer, c2004
Materiale a stampa
Lo trovi qui: Univ. del Salento
Opac: Controlla la disponibilità qui
Stochastic optimization models in finance / / edited by W. T. Ziemba, R. G. Vickson
Stochastic optimization models in finance / / edited by W. T. Ziemba, R. G. Vickson
Autore Ziemba W. T.
Pubbl/distr/stampa New York, New York ; ; London, [England] : , : Academic Press, , 1975
Descrizione fisica 1 online resource (736 p.)
Disciplina 332.01/51922
332.0151922
Collana Economic Theory and Mathematical Economics
Soggetto topico Finance
Mathematical optimization
Stochastic processes
ISBN 1-4832-7399-7
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Front Cover; Stochastic Optimization Models in Finance; Copyright Page; Dedication; Table of Contents; PREFACE; ACKNOWLEDGMENTS; Part I: Mathematical Tools; INTRODUCTION; I. Expected Utility Theory; II. Convexity and the Kuhn-Tucker Conditions; III. Dynamic Programming; SECTION1: EXPECTED UTILITY THEORY; CHAPTER 1. A GENERAL THEORY OF SUBJECTIVE PROBABILITIESAND EXPECTED UTILITIES; 1.Introduction; 2. Definitions andnotation; 3. Axioms and summarytheorem; 4.Theorems; 5. Proof of Theorem3; 6. Proof of Theorem4; SECTION2: CONVEXITY AND THE KUHN-TUCKERCONDITIONS; CHAPTER2. PSEUDO-CONVEX FUNCTIONS
Abstract1.Introduction; 2. Properties of pseudo-convex functions andapplications; 3. Remarks on pseudo-convexfunctions; 4.Acknowledgement; CHAPTER3. CONVEXITY, PSEUDO-CONVEXITY AND QUASI-CONVEXITY OF COMPOSITE FUNCTIONS; ABSTRACT; Preliminaries; Principal result; Applications; SECTION3: DYNAMIC PROGRAMMING; Chapter4. Introduction to Dynamic Programming; I. Introduction; II. Sequential Decision Processes; III. Terminating Process; IV. The Main Theorem and an Algorithm; V. Nonterminating Processes; ACKNOWLEDGMENT; REFERENCES; CHAPTER5. COMPUTATIONAL AND REVIEW EXERCISES; Exercise Source Notes
CHAPTER6. MIND-EXPANDING EXERCISESExercise Source Notes; Part II: Qualitative Economic Results; INTRODUCTION; I. Stochastic Dominance; II. Measures of Risk Aversion; III. Separation Theorems; IV. Additional Reading Material; SECTION1: STOCHASTIC DOMINANCE; Chapter 1. The Efficiency Analysis of ChoicesInvolvingRisk; I. INTRODUCTION; II. UNRESTRICTED UTILITY-THE GENERALEFFICIENCY CRITERION; III. EFFICIENCY IN THE FACE OF RISK AVERSION; IV. THE LIMITATIONS OF THE MEAN-VARIANCEEFFICIENCY CRITERION; V. CONCLUSION; REFERENCES; Chapter 2. A Unified Approach to Stochastic Dominance
I. Introduction to Stochastic DominanceII. Examples of Stochastic Dominance Relations; III. Probabilistic Content of Stochastic Dominance; REFERENCES; SECTION2: MEASURES OF RISK AVERSION; CHAPTER3. RISK AVERSION IN THE SMALL AND IN THE LARGE; 1. SUMMARY AND INTRODUCTION; 2. THE RISK PREMIUM; 3. LOCAL RISK AVERSION; 4. CONCAVITY; 5. COMPARATIVE RISK AVERSION; 6. CONSTANT RISK AVERSION; 7. INCREASING AND DECREASING RISK AVERSION; 8. OPERATIONS WHICH PRESERVE DECREASING RISK AVERSION; 9. EXAMPLES; 10. PROPORTIONAL RISK AVERSION; 11. CONSTANT PROPORTIONAL RISK AVERSION
12. INCREASING AND DECREASING PROPORTIONAL RISK AVERSION13. RELATED WORK OF ARROW; ADDENDUM; SECTION3: SEPARATION THEOREMS; CHAPTER 4. THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCKPORTFOLIOS AND CAPITAL BUDGETS; Introduction and Preview of Some Conclusions; I - Portfolio Selection for an Individual Investor:The Separation Theorem; II -Portfolio Selection: TheOptimal Stock Mix; Ill Risk Premiums and Other Properties of Stocks Held Long or Shortin Optimal Portfolios
IV - Market Prices of Shares Implied by Shareholder Optimization in Purely Competitive MarketsUnder Idealized Uncertainty
Record Nr. UNINA-9910540114903321
Ziemba W. T.  
New York, New York ; ; London, [England] : , : Academic Press, , 1975
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Stochastic optimization models in finance / / edited by W. T. Ziemba, R. G. Vickson
Stochastic optimization models in finance / / edited by W. T. Ziemba, R. G. Vickson
Pubbl/distr/stampa New York, New York ; ; London, [England] : , : Academic Press, , 1975
Descrizione fisica 1 online resource (736 p.)
Disciplina 332.01/51922
332.0151922
Collana Economic Theory and Mathematical Economics
Soggetto topico Finance
Mathematical optimization
Stochastic processes
Soggetto genere / forma Electronic books.
ISBN 1-4832-7399-7
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Front Cover; Stochastic Optimization Models in Finance; Copyright Page; Dedication; Table of Contents; PREFACE; ACKNOWLEDGMENTS; Part I: Mathematical Tools; INTRODUCTION; I. Expected Utility Theory; II. Convexity and the Kuhn-Tucker Conditions; III. Dynamic Programming; SECTION1: EXPECTED UTILITY THEORY; CHAPTER 1. A GENERAL THEORY OF SUBJECTIVE PROBABILITIESAND EXPECTED UTILITIES; 1.Introduction; 2. Definitions andnotation; 3. Axioms and summarytheorem; 4.Theorems; 5. Proof of Theorem3; 6. Proof of Theorem4; SECTION2: CONVEXITY AND THE KUHN-TUCKERCONDITIONS; CHAPTER2. PSEUDO-CONVEX FUNCTIONS
Abstract1.Introduction; 2. Properties of pseudo-convex functions andapplications; 3. Remarks on pseudo-convexfunctions; 4.Acknowledgement; CHAPTER3. CONVEXITY, PSEUDO-CONVEXITY AND QUASI-CONVEXITY OF COMPOSITE FUNCTIONS; ABSTRACT; Preliminaries; Principal result; Applications; SECTION3: DYNAMIC PROGRAMMING; Chapter4. Introduction to Dynamic Programming; I. Introduction; II. Sequential Decision Processes; III. Terminating Process; IV. The Main Theorem and an Algorithm; V. Nonterminating Processes; ACKNOWLEDGMENT; REFERENCES; CHAPTER5. COMPUTATIONAL AND REVIEW EXERCISES; Exercise Source Notes
CHAPTER6. MIND-EXPANDING EXERCISESExercise Source Notes; Part II: Qualitative Economic Results; INTRODUCTION; I. Stochastic Dominance; II. Measures of Risk Aversion; III. Separation Theorems; IV. Additional Reading Material; SECTION1: STOCHASTIC DOMINANCE; Chapter 1. The Efficiency Analysis of ChoicesInvolvingRisk; I. INTRODUCTION; II. UNRESTRICTED UTILITY-THE GENERALEFFICIENCY CRITERION; III. EFFICIENCY IN THE FACE OF RISK AVERSION; IV. THE LIMITATIONS OF THE MEAN-VARIANCEEFFICIENCY CRITERION; V. CONCLUSION; REFERENCES; Chapter 2. A Unified Approach to Stochastic Dominance
I. Introduction to Stochastic DominanceII. Examples of Stochastic Dominance Relations; III. Probabilistic Content of Stochastic Dominance; REFERENCES; SECTION2: MEASURES OF RISK AVERSION; CHAPTER3. RISK AVERSION IN THE SMALL AND IN THE LARGE; 1. SUMMARY AND INTRODUCTION; 2. THE RISK PREMIUM; 3. LOCAL RISK AVERSION; 4. CONCAVITY; 5. COMPARATIVE RISK AVERSION; 6. CONSTANT RISK AVERSION; 7. INCREASING AND DECREASING RISK AVERSION; 8. OPERATIONS WHICH PRESERVE DECREASING RISK AVERSION; 9. EXAMPLES; 10. PROPORTIONAL RISK AVERSION; 11. CONSTANT PROPORTIONAL RISK AVERSION
12. INCREASING AND DECREASING PROPORTIONAL RISK AVERSION13. RELATED WORK OF ARROW; ADDENDUM; SECTION3: SEPARATION THEOREMS; CHAPTER 4. THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCKPORTFOLIOS AND CAPITAL BUDGETS; Introduction and Preview of Some Conclusions; I - Portfolio Selection for an Individual Investor:The Separation Theorem; II -Portfolio Selection: TheOptimal Stock Mix; Ill Risk Premiums and Other Properties of Stocks Held Long or Shortin Optimal Portfolios
IV - Market Prices of Shares Implied by Shareholder Optimization in Purely Competitive MarketsUnder Idealized Uncertainty
Record Nr. UNINA-9910480819503321
New York, New York ; ; London, [England] : , : Academic Press, , 1975
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui