Ditapis dengan
Statistical Tools for Finance and Insurance
Finance -- Stable Distributions -- Extreme Value Analysis and Copulas -- Tail Dependence -- Pricing of Catastrophe Bonds -- Common Functional Implied Volatility Analysis -- Implied Trinomial Trees -- Heston's Model and the Smile -- FFT-based Option Pricing -- Valuation of Mortgage Backed Securities: from Optimality to Reality -- Predicting Bankruptcy with Support Vector Machines -- Econometric …
- Edisi
- 1st ed. 2005.
- ISBN/ISSN
- 9783540273950
- Deskripsi Fisik
- IV, 518 p.online resource.
- Judul Seri
- -
- No. Panggil
- -
Semiparametric Modeling of Implied Volatility
The Implied Volatility Surface -- Smile Consistent Volatility Models -- Smoothing Techniques -- Dimension-Reduced Modeling -- Conclusion and Outlook.The implied volatility surface is a key financial variable for the pricing and the risk management of plain vanilla and exotic options portfolios alike. Consequently, statistical models of the implied volatility surface are of immediate importance …
- Edisi
- 1st ed. 2005.
- ISBN/ISSN
- 9783540305910
- Deskripsi Fisik
- XVI, 224 p. 61 illus.online resource.
- Judul Seri
- -
- No. Panggil
- -
Risk and Asset Allocation
The statistics of asset allocation -- Univariate statistics -- Multivariate statistics -- Modeling the market -- Classical asset allocation -- Estimating the distribution of the market invariants -- Evaluating allocations -- Optimizing allocations -- Accounting for estimation risk -- Estimating the distribution of the market invariants -- Evaluating allocations -- Optimizing allocations.This en…
- Edisi
- 1st ed. 2005.
- ISBN/ISSN
- 9783540279044
- Deskripsi Fisik
- XXVI, 532 p.online resource.
- Judul Seri
- -
- No. Panggil
- -
Modern Portfolio Optimization with NuOPT™, S-PLUS®, and S+Bayes™
Linear and Quadratic Programming -- General Optimization With Simple -- Advanced Issues in Mean-Variance Optimization -- Resampling and Portfolio Choice -- Scenario Optimization: Addressing Non-normality -- Robust Statistical Methods for Portfolio Construction -- Bayes Methods.In recent years portfolio optimization and construction methodologies have become an increasingly critical ingredient o…
- Edisi
- 1st ed. 2005.
- ISBN/ISSN
- 9780387275864
- Deskripsi Fisik
- XXII, 406 p.online resource.
- Judul Seri
- -
- No. Panggil
- -
Mathematics of Financial Markets
Pricing by Arbitrage -- Martingale Measures -- The First Fundamental Theorem -- Complete Markets -- Discrete-time American Options -- Continuous-Time Stochastic Calculus -- Continuous-Time European Options -- The American Put Option -- Bonds and Term Structure -- Consumption-Investment Strategies -- Measures of Risk.This book presents the mathematics that underpins pricing models for derivative…
- Edisi
- 2nd ed. 2005.
- ISBN/ISSN
- 9780387226408
- Deskripsi Fisik
- XII, 354 p.online resource.
- Judul Seri
- -
- No. Panggil
- -
Martingale Methods in Financial Modelling
Spot and Futures Markets -- An Introduction to Financial Derivatives -- Discrete-time Security Markets -- Benchmark Models in Continuous Time -- Foreign Market Derivatives -- American Options -- Exotic Options -- Volatility Risk -- Continuous-time Security Markets -- Fixed-income Markets -- Interest Rates and Related Contracts -- Short-Term Rate Models -- Models of Instantaneous Forward Rates -…
- Edisi
- 2nd ed. 2005.
- ISBN/ISSN
- 9783540266532
- Deskripsi Fisik
- XVI, 638 p.online resource.
- Judul Seri
- -
- No. Panggil
- -
An Introduction to Continuous-Time Stochastic Processes
The Theory of Stochastic Processes -- Fundamentals of Probability -- Stochastic Processes -- The Itô Integral -- Stochastic Differential Equations -- The Applications of Stochastic Processes -- Applications to Finance and Insurance -- Applications to Biology and Medicine.This concisely written book is a rigorous and self-contained introduction to the theory of continuous-time stochastic proces…
- Edisi
- 1st ed. 2005.
- ISBN/ISSN
- 9780817644284
- Deskripsi Fisik
- XIV, 344 p. 13 illus.online resource.
- Judul Seri
- -
- No. Panggil
- -
Estimation in Conditionally Heteroscedastic Time Series Models
Some Mathematical Tools -- Financial Time Series: Facts and Models -- Parameter Estimation: An Overview -- Quasi Maximum Likelihood Estimation in Conditionally Heteroscedastic Time Series Models: A Stochastic Recurrence Equations Approach -- Maximum Likelihood Estimation in Conditionally Heteroscedastic Time Series Models -- Quasi Maximum Likelihood Estimation in a Generalized Conditionally Het…
- Edisi
- 1st ed. 2005.
- ISBN/ISSN
- 9783540269786
- Deskripsi Fisik
- XVI, 228 p.online resource.
- Judul Seri
- -
- No. Panggil
- -
A Course in Derivative Securities
to Option Pricing -- Asset Pricing Basics -- Continuous-Time Models -- Black-Scholes -- Estimating and Modelling Volatility -- to Monte Carlo and Binomial Models -- Advanced Option Pricing -- Foreign Exchange -- Forward, Futures, and Exchange Options -- Exotic Options -- More on Monte Carlo and Binomial Valuation -- Finite Difference Methods -- Fixed Income -- Fixed Income Concepts -- to Fixed …
- Edisi
- 1st ed. 2005.
- ISBN/ISSN
- 9783540279006
- Deskripsi Fisik
- XVI, 356 p.online resource.
- Judul Seri
- -
- No. Panggil
- -
A Course in Credibility Theory and its Applications
The Bayes Premium -- Credibility Estimators -- The Bühlmann-Straub Model -- Treatment of Large Claims in Credibility -- Hierarchical Credibility -- Multidimensional Credibility -- Credibility in the Regression Case -- Evolutionary Credibility Models and Recursive Calculation -- Multidimensional Evolutionary Models and Recursive Calculation.The book is aimed at teachers and students as well as …
- Edisi
- 1st ed. 2005.
- ISBN/ISSN
- 9783540292739
- Deskripsi Fisik
- XVIII, 338 p. 31 illus., 22 illus. in color.online resource.
- Judul Seri
- -
- No. Panggil
- -
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