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Advanced Modelling in Mathematical Finance [[electronic resource] ] : In Honour of Ernst Eberlein / / edited by Jan Kallsen, Antonis Papapantoleon
Advanced Modelling in Mathematical Finance [[electronic resource] ] : In Honour of Ernst Eberlein / / edited by Jan Kallsen, Antonis Papapantoleon
Edizione [1st ed. 2016.]
Pubbl/distr/stampa Cham : , : Springer International Publishing : , : Imprint : Springer, , 2016
Descrizione fisica 1 online resource (XXIV, 496 p. 79 illus., 69 illus. in color.)
Disciplina 332.60151
Collana Springer Proceedings in Mathematics & Statistics
Soggetto topico Economics, Mathematical 
Probabilities
Quantitative Finance
Probability Theory and Stochastic Processes
ISBN 9783319458755
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Preface -- An Interview with Ernst Eberlein -- Part I: Flexible Lévy-based models. E. A. v. Hammerstein: Tail behaviour and tail dependence of generalized hyperbolic distributions -- O. Barndorff-Nielsen: Gamma kernels and BSS/LSS processes -- M. Mandjes and P. Spreij: Explicit computations for some Markov modulated counting processes -- Part II: Statistics and risk -- H. Geman and B. Liu: The outlook of energy markets in 2015: introducing distances between forward curves -- D. Madan: Three non-Gaussian models of dependence in returns -- A. Kimura and N. Yoshida: Estimation of correlation between latent processes -- J. Beirlant, W. Schoutens, J. De Spiegeleer, T. Reynkens, and K. Herrmann: Hunting for black swans in the European banking sector using extreme value analysis -- E. Lütkebohmert-Holtz and Y. Xiao: Collateralized borrowing and default risk -- G. Stahl: Model uncertainty in a holistic perspective -- Part III: Derivative pricing, hedging, and optimization -- Ch. Bayer and J. Schoenmakers: Option pricing in affine generalized Merton models -- G. Jahncke and J. Kallsen: Approximate pricing of call options on the quadratic variation in Lévy models -- A. Černý: Dynamic discrete-time hedging of barrier options under leptokurtic returns driven by an exponential Lévy model -- M. Musiela, E. Sokolova, and Th. Zariphopoulou: Exponential forward indifference prices in incomplete binomial models -- M. Feodoria and J. Kallsen: Almost surely optimal portfolios under propotional transaction costs -- J. M. Corcuera, J. Fajardo, and O. Pamen: On the optimal payoffs -- L. Rüschendorf and V. Wolf: Construction and hedging of optimal payoffs in Lévy Models -- Part IV: Term-structure modelling -- I. Klein, Th. Schmidt, and J. Teichmann: No arbitrage theory for bond markets -- K. Glau, Z. Grbac, and Antonis Papapantoleon: A unified view of LIBOR models -- Z. Grbac, D. Krief, and P. Tankov: Approximate option pricing in the Lévy LIBOR model -- F. E. Benth: Cointegrated commodity markets and pricing of derivatives in a non-Gaussian framework.
Record Nr. UNINA-9910155301603321
Cham : , : Springer International Publishing : , : Imprint : Springer, , 2016
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Asset Management : tecniche e stile di gestione del portafoglio / Gabriele Sampagnaro
Asset Management : tecniche e stile di gestione del portafoglio / Gabriele Sampagnaro
Autore Sampagnaro, Gabriele
Pubbl/distr/stampa Milano : Franco Angeli, 2005
Descrizione fisica 181 p. ; 23 cm
Disciplina 332.60151
Collana Economia e politica industriale
Soggetto non controllato PortafoglioGestioneModelli matematici
InvestimentiGestione
ISBN 88-464-7282-9
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione ita
Titolo uniforme
Record Nr. UNIPARTHENOPE-000007207
Sampagnaro, Gabriele  
Milano : Franco Angeli, 2005
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An elementary introduction to mathematical finance : options and other topics / Sheldon M. Ross
An elementary introduction to mathematical finance : options and other topics / Sheldon M. Ross
Autore Ross, Sheldon M.
Edizione [2nd ed.]
Pubbl/distr/stampa Cambridge, U. K. : Cambridge University Press, 2003
Descrizione fisica xv, 253 p. : ill. ; 24 cm
Disciplina 332.60151
Soggetto topico Investments - Mathematics
Stochastic analysis
Options (Finance) - Mathematical models
Securities - Prices - Mathematical models
ISBN 0521814294
Classificazione AMS 91B28
LC HG4515.3.R67
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Contents: Probability ; Normal random variables ; Geometric Brownian motion ; Interest rates and present value analysis ; Pricing contracts via Arbitrage ; The Arbitrage Theorem ; The Black-Scholes formula ; Additional results on options ; Valuing by expected utility ; Optimization models ; Exotic options ; Beyond geometric Brownian motion models ; Autogressive models and mean reversion.
Record Nr. UNISALENTO-b12164574
Ross, Sheldon M.  
Cambridge, U. K. : Cambridge University Press, 2003
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Essential of stochastic finance : factal, models, theory / by Albert N. Shiryaev ; traslated from Russian by N. Kruzhilin
Essential of stochastic finance : factal, models, theory / by Albert N. Shiryaev ; traslated from Russian by N. Kruzhilin
Autore SHIRYAEV, Albert N.
Pubbl/distr/stampa New Jersey [ecc.] : World Scientific, 1999
Descrizione fisica XVI, 834 p. : ill. ; 23 cm
Disciplina 332.60151
Collana Advanced series on statistical science & applied probability
Soggetto topico Investimenti - Modelli matematici
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Record Nr. UNISA-990005512070203316
SHIRYAEV, Albert N.  
New Jersey [ecc.] : World Scientific, 1999
Materiale a stampa
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Essential of stochastic finance : factal, models, theory / by Albert N. Shiryaev ; traslated from Russian by N. Kruzhilin
Essential of stochastic finance : factal, models, theory / by Albert N. Shiryaev ; traslated from Russian by N. Kruzhilin
Autore Shiryaev, Albert N.
Pubbl/distr/stampa New Jersey [ecc.] : World Scientific, c1999
Descrizione fisica XVI, 834 p. : ill. ; 23 cm
Disciplina 332.60151
Collana Advanced series on statistical science & applied probability
Soggetto topico Investimenti - MODELLI MATEMATICI
ISBN 978-981-02-3605-2
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Record Nr. UNISA-990003606930203316
Shiryaev, Albert N.  
New Jersey [ecc.] : World Scientific, c1999
Materiale a stampa
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Finanza e investimenti : fondamenti matematici / David G. Luenberger
Finanza e investimenti : fondamenti matematici / David G. Luenberger
Autore Luenberger, David G.
Pubbl/distr/stampa Milano : Apogeo, 2011
Descrizione fisica XIII, 509 p. ; 24 cm
Disciplina 332.60151
Collana Idee & Strumenti
Soggetto non controllato Investimenti
ISBN 978-88-503-3094-2
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione ita
Record Nr. UNINA-990009512280403321
Luenberger, David G.  
Milano : Apogeo, 2011
Materiale a stampa
Lo trovi qui: Univ. Federico II
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Finanza e investimenti : fondamenti matematici / David G. Luenberger ; edizione italiana a cura di Sergio Scarlatti
Finanza e investimenti : fondamenti matematici / David G. Luenberger ; edizione italiana a cura di Sergio Scarlatti
Autore LUENBERGER, David G.
Pubbl/distr/stampa Milano : Apogeo, 2011
Descrizione fisica XVIII, 501 p. ; 25 cm
Disciplina 332.60151
Collana Idee & strumenti
Soggetto topico Investimenti - Modelli matematici
ISBN 978-88-503-3094-2
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione ita
Record Nr. UNISA-990005796010203316
LUENBERGER, David G.  
Milano : Apogeo, 2011
Materiale a stampa
Lo trovi qui: Univ. di Salerno
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Finanza e investimenti : fondamenti matematici / David G. Luenberger ; edizione italiana a cura di Sergio Scarlatti
Finanza e investimenti : fondamenti matematici / David G. Luenberger ; edizione italiana a cura di Sergio Scarlatti
Autore LUENBERGER, David G.
Pubbl/distr/stampa Milano : Apogeo, copyr. 2006
Descrizione fisica XVIII, 509 p. ; 25 cm
Disciplina 332.60151
Collana Idee & strumenti
Soggetto topico Investimenti - Modelli matematici
ISBN 88-503-2496-0
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione ita
Record Nr. UNISA-990002880770203316
LUENBERGER, David G.  
Milano : Apogeo, copyr. 2006
Materiale a stampa
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Finite difference methods in financial engineering [[electronic resource] ] : a partial differential equation approach / / Daniel J. Duffy
Finite difference methods in financial engineering [[electronic resource] ] : a partial differential equation approach / / Daniel J. Duffy
Autore Duffy Daniel J
Pubbl/distr/stampa Chichester, England ; ; Hoboken, NJ, : John Wiley, c2006
Descrizione fisica 1 online resource (441 p.)
Disciplina 332.60151
Collana Wiley finance series
Soggetto topico Financial engineering - Mathematics
Derivative securities - Prices - Mathematical models
Finite differences
Differential equations, Partial - Numerical solutions
Soggetto genere / forma Electronic books.
ISBN 1-118-85648-1
1-118-67344-1
1-280-41120-1
9786610411207
0-470-85883-4
Classificazione QK 660
SK 980
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto 0 Goals of this Book and Global Overview; Contents; 0.1 What is this Book?; 0.2 Why has this Book Been Written?; 0.3 For Whom is this Book Intended?; 0.4 Why Should I Read this Book?; 0.5 The Structure of this Book; 0.6 What this Book Does Not Cover; 0.7 Contact, Feedback and More Information; Part I The Continuous Theory Of Partial DifferentialI Equations; 1 An Introduction to Ordinary Differential Equations; 1.1 Introduction and Objectives; 1.2 Two-Point Boundary Value Problem; 1.2.1 Special Kinds of Boundary Condition; 1.3 Linear Boundary Value Problems; 1.4 Initial Value Problems
1.5 Some Special Cases1.6 Summary and Conclusions; 2 An Introduction to Partial Differential Equations; 2.1 Introduction and Objectives; 2.2 Partial Differential Equations; 2.3 Specialisations; 2.3.1 Elliptic Equations; 2.3.2 Free Boundary Value Problems; 2.4 Parabolic Partial Differential Equations; 2.4.1 Special Cases; 2.5 Hyperbolic Equations; 2.5.1 Second-Order Equations; 2.5.2 First-Order Equations; 2.6 Systems of Equations; 2.6.1 Parabolic Systems; 2.6.2 First-Order Hyperbolic Systems; 2.7 Equations Containing Integrals; 2.8 Summary and Conclusions
3 Second-Order Parabolic Differential Equations3.1 Introduction and Objectives; 3.2 Linear Parabolic Equations; 3.3 The Continuous Problem; 3.4 The Maximum Principle for Parabolic Equations; 3.5 A Special Case: One-Factor Generalised Black-Scholes Models; 3.6 Fundamental Solution and the Green's Function; 3.7 Integral Representation of the Solution of Parabolic PDEs; 3.8 Parabolic Equations in One Space Dimension; 3.9 Summary and Conclusions; 4 An Introduction to the Heat Equation in One Dimension; 4.1 Introduction and Objectives; 4.2 Motivation and Background
4.3 The Heat Equation and Financial Engineering4.4 The Separation of Variables Technique; 4.4.1 Heat Flow in a Road with Ends Held at Constant Temperature; 4.4.2 Heat Flow in a Rod Whose Ends are at a Specified Variable Temperature; 4.4.3 Heat Flow in an Infinite Rod; 4.4.4 Eigenfunction Expansions; 4.5 Transformation Techniques for the Heat Equation; 4.5.1 Laplace Transform; 4.5.2 Fourier Transform for the Heat Equation; 4.6 Summary and Conclusions; 5 An Introduction to the Method of Characteristics; 5.1 Introduction and Objectives; 5.2 First-Order Hyperbolic Equations; 5.2.1 An Example
5.3 Second-Order Hyperbolic Equations5.3.1 Numerical Integration Along the Characteristic Lines; 5.4 Applications to Financial Engineering; 5.4.1 Generalisations; 5.5 Systems of Equations; 5.5.1 An Example; 5.6 Propagation of Discontinuities; 5.6.1 Other Problems; 5.7 Summary and Conclusions; Part II FiniteI DifferenceI Methods: The Fundamentals; 6 An Introduction to the Finite Difference Method; 6.1 Introduction and Objectives; 6.2 Fundamentals of Numerical Differentiation; 6.3 Caveat: Accuracy and Round-Off Errors; 6.4 Where are Divided Differences Used in Instrument Pricing?
6.5 Initial Value Problems
Record Nr. UNINA-9910145039503321
Duffy Daniel J  
Chichester, England ; ; Hoboken, NJ, : John Wiley, c2006
Materiale a stampa
Lo trovi qui: Univ. Federico II
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Frequently asked questions in quantitative finance [[electronic resource] ] : including key models, important formulae, popular contracts, essays and opinions, a history of quantitative finance, sundry lists, the commonest mistakes in quant finance, brainteasers, plenty of straight-talking, the Modellers ́Manifesto and lots more / / by Paul Wilmott
Frequently asked questions in quantitative finance [[electronic resource] ] : including key models, important formulae, popular contracts, essays and opinions, a history of quantitative finance, sundry lists, the commonest mistakes in quant finance, brainteasers, plenty of straight-talking, the Modellers ́Manifesto and lots more / / by Paul Wilmott
Autore Wilmott Paul
Edizione [2nd ed.]
Pubbl/distr/stampa New York, : Wiley, 2009
Descrizione fisica 1 online resource (624 p.)
Disciplina 332.60151
Soggetto topico Finance - Mathematical models
Investments - Mathematical models
Options (Finance) - Mathematical models
Soggetto genere / forma Electronic books.
ISBN 1-282-48309-9
9786612483097
0-470-68514-X
0-470-68275-2
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Frequently Asked Questions In Quantitative Finance; Contents; Preface to the Second Edition; Preface to the First Edition; 1 The Quantitative Finance Timeline; 2 FAQs; 3 The Financial Modelers' Manifesto; 4 Essays; 5 The Commonest Mistakes in Quantitative Finance: A Dozen Basic Lessons in Commonsense for Quants and Risk Managers and the Traders Who Rely on Them; 6 The Most Popular Probability Distributions and Their Uses in Finance; 7 Twelve Different Ways to Derive Black-Scholes; 8 Models and Equations; 9 The Black-Scholes Formulæ and the Greeks; 10 Common Contracts; 11 Popular Quant Books
12 The Most Popular Search Words and Phrases on Wilmott.com 13 Brainteasers; 14 Paul & Dominic's Guide to Getting a Quant Job; Index
Record Nr. UNINA-9910457344603321
Wilmott Paul  
New York, : Wiley, 2009
Materiale a stampa
Lo trovi qui: Univ. Federico II
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