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Biblioteca

MARC Lista (tabellare)
Actuarial Sciences and Quantitative Finance : ICASQF2016, Cartagena, Colombia, June 2016 / / edited by Jaime A. Londoño, José Garrido, Monique Jeanblanc
Actuarial Sciences and Quantitative Finance : ICASQF2016, Cartagena, Colombia, June 2016 / / edited by Jaime A. Londoño, José Garrido, Monique Jeanblanc
Edizione [1st ed. 2017.]
Pubbl/distr/stampa Cham : , : Springer International Publishing : , : Imprint : Springer, , 2017
Descrizione fisica 1 online resource (IX, 174 p. 50 illus., 42 illus. in color.)
Disciplina 368.01
Collana Springer Proceedings in Mathematics & Statistics
Soggetto topico Actuarial science
Economics, Mathematical 
Statistics 
Actuarial Sciences
Quantitative Finance
Statistics for Business, Management, Economics, Finance, Insurance
ISBN 3-319-66536-7
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Part I: Actuarial Sciences -- Robust paradigm applied to parameter reduction in actuarial triangle models -- Unlocking reserve assumptions using retrospective analysis -- Spatial Statistical tools to assess mortality differences in Europe -- Stochastic control for insurance: Models, Strategies and Numerics -- Stochastic control for insurance: new problems and methods -- Part II: Quantitative Finance -- Bermudan option valuation under state-department models -- Option-Implied Objective Measures of Market Risk with Leverage -- The Sustainable Black-Scholes Equations -- Author Index.
Record Nr. UNINA-9910254289303321
Cham : , : Springer International Publishing : , : Imprint : Springer, , 2017
Materiale a stampa
Lo trovi qui: Univ. Federico II
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Advanced Modelling in Mathematical Finance : In Honour of Ernst Eberlein / / edited by Jan Kallsen, Antonis Papapantoleon
Advanced Modelling in Mathematical Finance : 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
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
Materiale a stampa
Lo trovi qui: Univ. Federico II
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Analytical Corporate Finance / / by Angelo Corelli
Analytical Corporate Finance / / by Angelo Corelli
Autore Corelli Angelo
Edizione [2nd ed. 2018.]
Pubbl/distr/stampa Cham : , : Springer International Publishing : , : Imprint : Springer, , 2018
Descrizione fisica 1 online resource (xx, 501 pages) : illustrations
Disciplina 658.15
Collana Springer Texts in Business and Economics
Soggetto topico Business enterprises—Finance
Risk management
Economics, Mathematical 
Financial engineering
Accounting
Business Finance
Risk Management
Quantitative Finance
Financial Engineering
Financial Accounting
ISBN 3-319-95762-7
9783319957623
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Basic Concepts -- Valuation Tools -- The Relationship Between Risk and Return -- Business Analysis -- Debt Valuation -- Equity Valuation -- Capital Structure -- Company Valuation -- Financial and Real Options -- Long-Term Financing -- Working Capital Management -- Financial Planning -- International Corporate Finance -- Special Topics.
Record Nr. UNINA-9910298198003321
Corelli Angelo  
Cham : , : Springer International Publishing : , : Imprint : Springer, , 2018
Materiale a stampa
Lo trovi qui: Univ. Federico II
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Applied Asset and Risk Management : A Guide to Modern Portfolio Management and Behavior-Driven Markets / / by Marcus Schulmerich, Yves-Michel Leporcher, Ching-Hwa Eu
Applied Asset and Risk Management : A Guide to Modern Portfolio Management and Behavior-Driven Markets / / by Marcus Schulmerich, Yves-Michel Leporcher, Ching-Hwa Eu
Autore Schulmerich Marcus
Edizione [1st ed. 2015.]
Pubbl/distr/stampa Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer, , 2015
Descrizione fisica 1 online resource (491 p.)
Disciplina 004.0151
158.7
330
330.0151
Collana Management for Professionals
Soggetto topico Finance
Economics, Mathematical 
Industrial psychology
Business mathematics
Finance, Personal
Pension plans
Computer science—Mathematics
Computer mathematics
Finance, general
Quantitative Finance
Industrial and Organizational Psychology
Business Mathematics
Personal Finance/Wealth Management/Pension Planning
Mathematical Applications in Computer Science
ISBN 3-642-55444-X
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Risk Measures in Asset Management -- Modern Portfolio Theory and Its Problems -- Stock Market Anomalies -- Stock Market Crashes -- Explaining Stock Market Crashes: A Behavioral Finance Approach -- Investor Risk Perceptions and Investments: Recent Developments.
Record Nr. UNINA-9910298520003321
Schulmerich Marcus  
Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer, , 2015
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Applied Quantitative Finance / / edited by Wolfgang Karl Härdle, Cathy Yi-Hsuan Chen, Ludger Overbeck
Applied Quantitative Finance / / edited by Wolfgang Karl Härdle, Cathy Yi-Hsuan Chen, Ludger Overbeck
Edizione [3rd ed. 2017.]
Pubbl/distr/stampa Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer, , 2017
Descrizione fisica 1 online resource (X, 372 p. 111 illus., 75 illus. in color.)
Disciplina 332.0151
Collana Statistics and Computing
Soggetto topico Statistics 
Economics, Mathematical 
Risk management
Business enterprises—Finance
Statistics for Business, Management, Economics, Finance, Insurance
Quantitative Finance
Risk Management
Business Finance
ISBN 3-662-54486-5
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Part I Market Risk: VaR in High-Dimensional Systems --  Multivariate Volatility Models -- Portfolio Selection with Spectral Risk Measures --  Implementation of Local Stochastic Volatility Model -- Part II Credit Risk: Estimating DTD via Sequential Monte Carlo.- Risk Measurement with Spectral Capital Allocation.- Market Based Credit Rating and its Applications.- Using Public Information to Predict Corporate Default Risk.- Stress Testing in Credit Portfolio Models.- Penalized Independent Factor.- Term Structure of Loss Cascades in Portfolio Securitisation.- Credit Rating Score Analysis -- Part III Dynamics Risk Measurement: Copulae in High Dimensions - An Introduction.- Measuring and Modeling Risk Using High-Frequency Data.- Measuring Financial Risk in Energy Markets.- Risk Analysis of Cryptocurrency as an Alternative Asset Class.- Time Varying Quantile Lasso.- Dynamic Topic Modelling for Cryptocurrency Community Forums.
Record Nr. UNINA-9910254306803321
Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer, , 2017
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Asset Management and Institutional Investors / / edited by Ignazio Basile, Pierpaolo Ferrari
Asset Management and Institutional Investors / / edited by Ignazio Basile, Pierpaolo Ferrari
Edizione [1st ed. 2016.]
Pubbl/distr/stampa Cham : , : Springer International Publishing : , : Imprint : Springer, , 2016
Descrizione fisica 1 online resource (XIII, 468 p. 82 illus., 58 illus. in color.)
Disciplina 332.6
Soggetto topico Investment banking
Securities
Business enterprises—Finance
Economics, Mathematical 
Risk management
Capital market
Investments and Securities
Business Finance
Quantitative Finance
Risk Management
Capital Markets
ISBN 3-319-32796-8
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Institutional Investors - Typologies, Roles and Products: Institutional Investors -- Collective Investment Vehicles and Other Asset Management Products -- Investment Management Policy: The Stages of Investment Management Policy -- Strategic Asset Allocation with Mean-Variance Optimisation -- Methods and Tools for Portfolio Selection -- Alternative Approaches to Traditional Mean-Variance Optimisation -- Performance Evaluation for Traditional Investment Portfolios: Performance Evaluation -- Returns-Based Style Analysis -- Performance Attribution -- Portfolio Diversification Towards Alternative Asset Classes: Portfolio Diversification Policies - Alternative Asset Classes -- Hedge Funds -- Hedge Fund Performance -- Private Equity -- Real Estate -- Commodities -- Currency Overlay Techniques.
Record Nr. UNINA-9910254887803321
Cham : , : Springer International Publishing : , : Imprint : Springer, , 2016
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Backward Stochastic Differential Equations with Jumps and Their Actuarial and Financial Applications : BSDEs with Jumps / / by Łukasz Delong
Backward Stochastic Differential Equations with Jumps and Their Actuarial and Financial Applications : BSDEs with Jumps / / by Łukasz Delong
Autore Delong Łukasz
Edizione [1st ed. 2013.]
Pubbl/distr/stampa London : , : Springer London : , : Imprint : Springer, , 2013
Descrizione fisica 1 online resource (X, 288 p.)
Disciplina 519.2
Collana EAA Series
Soggetto topico Economics, Mathematical 
Actuarial science
Mathematical optimization
Probabilities
Quantitative Finance
Actuarial Sciences
Continuous Optimization
Probability Theory and Stochastic Processes
ISBN 1-4471-5331-6
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Introduction -- Stochastic Calculus -- Backward Stochastic Differential Equations – the General Case -- Forward-Backward Stochastic Differential Equations -- Numerical Methods for FBSDEs -- Nonlinear Expectations and g-Expectations -- Combined Financial and Insurance Model -- Linear BSDEs and Predictable Representations of Insurance Payment Processes -- Arbitrage-Free Pricing, Perfect Hedging and Superhedging -- Quadratic Pricing and Hedging -- Utility Maximization and Indifference Pricing and Hedging -- Pricing and Hedging under a Least Favorable Measure -- Dynamic Risk Measures -- Other Classes of BSDEs.
Record Nr. UNINA-9910438152403321
Delong Łukasz  
London : , : Springer London : , : Imprint : Springer, , 2013
Materiale a stampa
Lo trovi qui: Univ. Federico II
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Bank Management and Control : Strategy, Capital and Risk Management / / by Johannes Wernz
Bank Management and Control : Strategy, Capital and Risk Management / / by Johannes Wernz
Autore Wernz Johannes
Edizione [1st ed. 2014.]
Pubbl/distr/stampa Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer, , 2014
Descrizione fisica 1 online resource (131 p.)
Disciplina 332.1
332.1068
Collana Management for Professionals
Soggetto topico Finance
Economics, Mathematical 
Statistics 
Macroeconomics
Finance, general
Quantitative Finance
Statistics for Business, Management, Economics, Finance, Insurance
Macroeconomics/Monetary Economics//Financial Economics
ISBN 3-642-40374-3
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto 1 Outline -- 2 Bank Management and Steering -- 3 Banks in their Regulatory and Economic Environment -- 4 Risk Modeling and Capital - Credit Risk (Loans) -- 5 Risk Modeling and Capital - Counterparty Credit Risk (EPE) -- 6 Risk Modeling and Capital - Credit Risk (Securitizations) -- 7 Risk Modeling and Capital - Market Risk -- 8 Risk Modeling and Capital - Operational Risk -- 9 Risk Modeling - Asset Liability Management (ALM) -- 10 Appendix: A-IRB Formulas for the Derivation of Risk-Weighted Assets -- 11 Appendix: Credit Portfolio Modeling -- 12 Appendix: Country Risk/Issuer Risk -- 13 Appendix: Settlement Risk ans Systemic Risk -- 14 Appendix: Historical Data.
Record Nr. UNINA-9910298536703321
Wernz Johannes  
Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer, , 2014
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Causal Inference in Econometrics / / edited by Van-Nam Huynh, Vladik Kreinovich, Songsak Sriboonchitta
Causal Inference in Econometrics / / edited by Van-Nam Huynh, Vladik Kreinovich, Songsak Sriboonchitta
Edizione [1st ed. 2016.]
Pubbl/distr/stampa Cham : , : Springer International Publishing : , : Imprint : Springer, , 2016
Descrizione fisica 1 online resource (XI, 638 p. 106 illus., 15 illus. in color.)
Disciplina 330.015195
Collana Studies in Computational Intelligence
Soggetto topico Computational intelligence
Economics, Mathematical 
Quality control
Reliability
Industrial safety
Computational Intelligence
Quantitative Finance
Quality Control, Reliability, Safety and Risk
ISBN 3-319-27284-5
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Intro -- Preface -- Contents -- Part I Fundamental Theory -- Validating Markov Switching VAR Through Spectral Representations -- 1 Introduction -- 2 Spectra of Markov Switching VAR -- 2.1 The Case of Hidden Markov Process -- 2.2 The Case of MS VAR(p) -- 3 Frequency Variability in Real Data -- 4 Conclusion -- References -- Rapid Optimal Lag Order Detection and Parameter Estimation of Standard Long Memory Time Series -- 1 Introduction -- 2 Preliminaries -- 2.1 Fractionally Differenced Long Memory Processes -- 3 State Space Representation of an ARFIMA Time Series -- 3.1 State Space Representation of ARFIMA Model -- 3.2 KF and Estimation Process -- 4 Simulation Results -- 5 Empirical Evidence -- 6 Concluding Remarks -- References -- Spatial Econometric Analysis: Potential Contribution to the Economic Analysis of Smallholder Development -- 1 Introduction -- 2 Advances in Data to Capture Spatial Heterogeneity -- 2.1 GIS and GPS Mapping -- 2.2 Big Data -- 2.3 Increased Availability of Panel Data Sets -- 3 Review of Existing Literature on Spatial Econometric Analysis of Smallholder Development -- 3.1 Recent Progress in Spatial Econometric Modelling -- 3.2 Use of Spatial Econometric Analysis to Study Spillovers and Spatial Interaction -- 3.3 Environmental and Land Use Applications -- 3.4 Accounting for Space in Analyses of Technology Adoption and Productivity -- 4 Potential Areas for Analysis Using Spatial Econometric Methods: Examples from the Philippines -- 4.1 Spatial Heterogeneity in the Rural Sector of the Philippines: Example of Rice Ecosystems -- 4.2 Assessment of Smallholder Response to Rural Development Interventions -- 4.3 Measuring, Decomposing and Explaining TFP Growth in Smallholder Farming -- 5 Prospects and Conclusions -- References -- Consistent Re-Calibration in Yield Curve Modeling: An Example -- 1 Introduction.
2 Hull--White Extended Discrete-Time Vasiček Model -- 2.1 Discrete-Time (One-Factor) Vasiček Model -- 2.2 Hull--White Extended Version of the Vasiček Model -- 2.3 Calibration of Hull--White Extension -- 3 Consistent Re-Calibration Models -- 3.1 Consistent Re-Calibration Algorithm -- 3.2 Heath-Jarrow-Morton Representation of the CRC Algorithm -- 4 Real World Dynamics and Market-Price of Risk -- 5 Choice of Parameter Process -- 5.1 Pricing Model Approach Interpretation -- 5.2 Historical Calibration of the Prediction Model -- 5.3 Continuous-Time Modeling Motivated Inference -- 6 Conclusions -- 7 Swiss Currency CHF Example -- References -- Autoregressive Conditional Duration Model with an Extended Weibull Error Distribution -- 1 Introduction -- 2 Extended Weibull Distribution -- 2.1 Properties of EW Distribution -- 3 ACD Model with EW Distribution -- 4 Bayesian Estimation Methodology -- 5 Simulation Study -- 5.1 Random Variates Generation -- 5.2 Simulation -- 6 Empirical Analysis -- 6.1 Trade Duration Data -- 6.2 Daily Range Data -- 7 Conclusion -- References -- Across-the-Board Spending Cuts Are Very Inefficient: A Proof -- 1 Formulation of the Problem: Are Across-the-Board Spending Cuts Economically Reasonable -- 2 Let Us Formulate the Problem in Precise Terms -- 3 Analysis of the Problem -- References -- Invariance Explains Multiplicative and Exponential Skedactic Functions -- 1 Why Are Multiplicative and Exponential Skedactic Functions Empirically Successful: Formulation of the Problem -- 2 Natural Invariances -- 3 Case of Scale Invariance: Definitions and the Main Result -- 4 Case of Shift-Invariance: Definitions and the Main Result -- 5 General Case -- 6 Proofs -- References -- Why Some Families of Probability Distributions Are Practically Efficient: A Symmetry-Based Explanation -- 1 Formulation of the Problem -- 2 Our Main Idea.
3 Which Objective Functions Are Invariant? -- 4 Which Constraints Are Invariant? -- 5 Invariant Objective Functions and Constraints: Summary -- 6 Resulting Distributions -- 6.1 All Constraints Are Both Shift- and Scale-Invariant, Objective Function is Entropy -- 6.2 All Constraints Are Both Shift- and Scale-Invariant, Objective Function is Generalized Entropy -- 6.3 All Constraints Are Scale-Invariant Relative to the Same Value x0, Objective Function is Entropy -- 6.4 All Constraints Are Shift-Invariant, Objective Function Is Entropy -- 6.5 All Constraints Are Shift-Invariant, Objective Function Is Generalized Entropy -- 6.6 Different Constraints Have Different Symmetries, Objective Function Is Entropy -- 6.7 Different Constraints Have Different Symmetries, Objective Function is Generalized Entropy -- 7 Conclusion -- References -- The Multivariate Extended Skew Normal Distribution and Its Quadratic Forms -- 1 Introduction -- 2 The Multivariate Extended Skew Normal Distribution -- 3 Extended Noncentral Skew Chi-Square Distributions -- 4 The Distribution of Quadratic Form of Y -- References -- Multiple Copula Regression Function and Directional Dependence Under Multivariate Non-exchangeable Copulas -- 1 Introduction -- 2 Multivariate Copula Based Directional Dependence -- 2.1 Multivariate Non-exchangeable Copulas -- 2.2 Directional Dependence Using Copula-Based Multiple Regression -- 3 Multivariate Non-exchangeable Copulas and Their Application to Directional Dependence -- 3.1 Skew Normal Copulas -- 3.2 Multivariate Non-exchangeable Generalized FGM Copula -- References -- On Consistency of Estimators Based on Random Set Vector Observations -- 1 Introduction -- 2 Characterization of the Joint Belief Function of Discrete Random Set Vector -- 3 Bivariate CAR Models -- 4 The Likelihood Function of Random Set Vector Observations -- References.
Brief Introduction to Causal Compositional Models -- 1 Introduction -- 2 Notation and Basic Concepts -- 3 Compositional Models -- 4 Causal Models -- 5 Intervention -- 6 Hidden Variables -- 7 Conclusions -- References -- A New Proposal to Predict Corporate Bankruptcy in Italy During the 2008 Economic Crisis -- 1 Introduction -- 2 The Algorithm -- 3 Experimental Results -- 3.1 The Data -- 3.2 Performance Assessment -- 3.3 Results -- 4 Conclusions -- References -- Part II Applications -- The Inflation Hedging Ability of Domestic Gold in Malaysia -- 1 Introduction -- 2 Gold investment in Malaysia -- 3 Literature Review -- 4 Data and Methodology -- 5 Results -- References -- To Determine the Key Factors for Citizen in Selecting a Clinic/Division in Thailand -- 1 Introduction -- 2 Literature Review -- 2.1 Decision Customers Make Before Going to Clinic/Hospital -- 2.2 Grey Relational Analysis (GRA) -- 3 Questionnaire Design -- 4 Analysis Results -- 5 Conclusion -- References -- ARIMA Versus Artificial Neural Network for Thailand's Cassava Starch Export Forecasting -- 1 Introduction -- 2 Literature Review -- 3 Cassava Starch Export Time Series -- 4 Forecasting Accuracy Measures -- 5 ARIMA Models for Cassava Starch Export Forecasting -- 5.1 ARIMA Models -- 5.2 Forecasting Accuracy of the ARIMA Models -- 6 Artificial Neural Network Models for Cassava Starch Export Forecasting -- 6.1 Input Layer -- 6.2 Output Layer -- 6.3 Hidden Layer -- 7 Comparison of the ANN Models with the ARIMA Models -- 8 Conclusion -- References -- Copula Based Volatility Models and Extreme Value Theory for Portfolio Simulation with an Application to Asian Stock Markets -- 1 Introduction -- 2 Methodology -- 2.1 Marginal Models -- 2.2 The Distributions of Standardized Residuals -- 2.3 Copula Approach -- 2.4 Portfolio Simulation -- 3 Empirical Results -- 4 Conclusions -- References.
Modeling Dependence of Health Behaviors Using Copula-Based Bivariate Ordered Probit -- 1 Introduction -- 2 Data -- 3 Copula-Based Bivariate Ordered Probit Models -- 4 Results and Discussion -- 4.1 Factors Affecting Alcohol Consumption and Physical Activity Behaviors -- 4.2 Factors Affecting Tobacco Consumption and Physical Activity Behaviors -- 4.3 Factors Affecting Alcohol Consumption and Tobacco Consumption Behaviors -- 4.4 Dependence Measures of Health Behaviors Pairs -- 5 Concluding Remarks -- References -- Reinvestigating the Effect of Alcohol Consumption on Hypertension Disease -- 1 Introduction -- 2 Data -- 3 Switching Regression Model for Level of Hypertension -- 4 Results and Discussion -- 4.1 Binary Choice Equation for Alcohol Consumption -- 4.2 Factors Affecting Hypertension Level for Non-alcohol Users -- 4.3 Factors Affecting Hypertension Level for Alcohol Users -- 4.4 Effect of Alcohol Consumption on Blood Pressure Level -- 5 Concluding Remarks -- References -- Optimizing Stock Returns Portfolio Using the Dependence Structure Between Capital Asset Pricing Models: A Vine Copula-Based Approach -- 1 Introduction -- 2 Copulas and Vine Copulas -- 2.1 Vine Copulas -- 2.2 Drawable Vine (D-vine) -- 2.3 Canonical Vine (C-vine) -- 3 An Application and Empirical Results -- 3.1 Capital Asset Pricing Model:CAPM -- 3.2 Optimal Portfolio with Conditional Value at Risk via Vine-Copulas -- 3.3 Data -- 3.4 Experimental Results -- 4 Concluding Remarks -- References -- Analysis of Transmission and Co-Movement of Rice Export Prices Between Thailand and Vietnam -- 1 Introduction -- 2 Methodology -- 2.1 VAR Models -- 2.2 Copulas -- 2.3 Model Validation -- 3 Empirical Results -- 3.1 The Data -- 3.2 Causality Tests and Impulse Response -- 3.3 Estimate Results of Copulas -- 4 Conclusions -- References.
Modeling Co-Movement and Risk Management of Gold and Silver Spot Prices.
Record Nr. UNINA-9910254205303321
Cham : , : Springer International Publishing : , : Imprint : Springer, , 2016
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Change of Time Methods in Quantitative Finance / / by Anatoliy Swishchuk
Change of Time Methods in Quantitative Finance / / by Anatoliy Swishchuk
Autore Swishchuk Anatoliy
Edizione [1st ed. 2016.]
Pubbl/distr/stampa Cham : , : Springer International Publishing : , : Imprint : Springer, , 2016
Descrizione fisica 1 online resource (140 p.)
Disciplina 650.01513
Collana SpringerBriefs in Mathematics
Soggetto topico Economics, Mathematical 
Quantitative Finance
ISBN 3-319-32408-X
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Introduction to the Change of Time Methods: History, Finance and Stochastic Volatility -- Change of Time Methods: Definitions and Theory -- Applications of the Change of Time Methods -- Change of Time Method (CTM) and Black-Scholes Formula -- CTM and Variance, Volatility, Covariance and Correlation Swaps for the Classical Heston Model -- CTM and the Delayed Heston Model: Pricing and Hedging of Variance and Volatility Swaps -- CTM and the Explicit Option Pricing Formula for a Mean-reverting Asset in Energy Markets -- CTM and Multi-Factor Levy Models for Pricing Financial and Energy Derivatives -- Epilogue.
Record Nr. UNINA-9910254073403321
Swishchuk Anatoliy  
Cham : , : Springer International Publishing : , : Imprint : Springer, , 2016
Materiale a stampa
Lo trovi qui: Univ. Federico II
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