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SPIRES-BOOKS: FIND KEYWORD BANKS AND BANKING *END*INIT* use /tmp/qspiwww.webspi1/11230.22 QRY 131.225.70.96 . find keyword banks and banking ( in books using www Cover
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Call number:SPRINGER-2013-9783642309045:ONLINE Show nearby items on shelf
Title:Advances in Network Analysis and its Applications [electronic resource]
Author(s): Evangelos Kranakis
Date:2013
Publisher:Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer
Size:1 online resource
Note:Springer e-book platform
Note:Springer 2013 e-book collections
Note:As well as highlighting potentially useful applications for network analysis, this volume identifies new targets for mathematical research that promise to provide insights into network systems theory as well as facilitating thecross-fertilization of ideas between sectors. Focusing on financial, security and social aspects of networking, the volume adds to the growing body of evidence showing that network analysis has applications to transportation,communication, health, finance, and social policy mor e broadly. It provides powerful models for understanding the behavior of complex systems that, in turn, will impact numerous cutting-edge sectors in science and engineering, such aswireless communication, network security, distributed computing and social networking, financial analysis, and cyber warfare. The volume offers an insider' s view of cutting-edge research in network systems, including methodologieswith immense potential for interdisciplinary application. The contributors have all presented mate rial at a series of workshops organized on behalf of Canadas MITACS initiative, which funds projects and study grants inmathematics for information technology and complex systems. These proceedings include papers from workshops on financial networks, netw ork security and cryptography, and social networks. MITACS has shown that the partlyghettoized nature of network systems research has led to duplicated work in discrete fields, and thus this initiative has the potential to save time and accelerate the pac e of research in a number of areas of network systemsresearch
Note:Springer eBooks
Contents:FINANCIAL NETWORKS: 1. Mathematical modeling of systemic risk: H. Amini, A. Minca
2. Systemic risk in banking networks without Monte Carlo simulation: J. P. Gleeson, T. R. Hurd, S. Melnik, A. Hackett
3. Systemic Valuation of Banks Interbank Equilibrium and Contagion: G. Haaj
4. An Open Problem: J. B. Walsh
II SECURITY NETWORKS: 5. Dynamic Trust Management: Network Profiling for High Assurance Resilience: M. Burmester , W. O. Redwood
6. Security Issues in Link State Routing Protocols for MANETs: G.Cervera, M.Barbeau, J. Garcia
Alfaro, E.Kranakis
7. TCHo: a Code
bas
ISBN:9783642309045
Series:e-books
Series:SpringerLink (Online service)
Series:Mathematics in Industry, 1612-3956 : v18
Series:Mathematics and Statistics (Springer-11649)
Keywords: Mathematics , Computer Communication Networks , Bioinformatics , Computer engineering , Industrial organization (Economic theory)
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Call number:SPRINGER-2011-9783642165214:ONLINE Show nearby items on shelf
Title:Statistics of Financial Markets [electronic resource] : An Introduction
Author(s): Jrgen Franke
Wolfgang Karl Hrdle
Christian Matthias Hafner
Date:2011
Publisher:Berlin, Heidelberg : Springer Berlin Heidelberg
Size:1 online resource
Note:Springer e-book platform
Note:Springer 2013 e-book collections
Note:Statistics of Financial Markets offers a vivid yet concise introduction to the growing field of statistical application in finance. The reader will learn the basic methods of evaluating option contracts, analysing financial timeseries, selecting port folios and managing risks making realistic assumptions of the market behaviour. The focus is both on the fundamentals of mathematical finance and financial time series analysis and on applications to givenproblems of financial markets, thus making the boo k the ideal basis for lecturers, seminars and crash courses on the topic. For the third edition the book has been updated and extensively revised. Several new aspects have beenincluded: new chapters on long memory models, copulae and CDO valuation. Practi cal exercises have been added, the solutions of which are provided in the book by S. Borak, W. Hrdle and B. Lopez Cabrera (2010) ISBN 978-3-642-11133-4.Both R and Matlab Code, together with the data, can be downloaded by clicking on the Additional Informa tion tab labeled R and Matlab Code, which you will find on the right-hand side of the webpage.
Note:Springer eBooks
Contents:Option Pricing
Statistical Models of Financial Time Series
Selected Financial Applications
Technical Appendix
Appendix
Frequently Used Notations
Index
ISBN:9783642165214
Series:e-books
Series:SpringerLink (Online service)
Series:Universitext
Series:Mathematics and Statistics (Springer-11649)
Keywords: Statistics , Finance , Economics Statistics , Banks and banking
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Call number:SPRINGER-2011-9783642160295:ONLINE Show nearby items on shelf
Title:Introduction to Insurance Mathematics [electronic resource] : Technical and Financial Features of Risk Transfers
Author(s): Annamaria Olivieri
Ermanno Pitacco
Date:2011
Publisher:Berlin, Heidelberg : Springer Berlin Heidelberg
Size:1 online resource
Note:Springer e-book platform
Note:Springer 2013 e-book collections
Note:The book aims at presenting technical and financial features of life insurance, non-life insurance, pension plans. The book has been planned assuming non-actuarial readers as its natural target, namely - advancedundergraduate and graduate students in Economics, Business and Finance - professionals and technicians operating in Insurance and pension areas, whose job may regard investments, risk analysis, financial reporting, etc, and henceimplies a communication with actuarial professionals and manager s. Given the assumed target, the book focuses on technical and financial aspects of insurance, however avoiding the use of complex mathematical tools. In this sense, thebook can be placed at some midpoint of the existing literature, part of which adopts m ore formal approaches to insurance problems implying the use of non-elementary mathematics, whereas another part addresses practical questionstotally avoiding even simple mathematical tools (which, in our opinion, can conversely provide effective tools fo r presenting technical and financial features of the insurance business)
Note:Springer eBooks
Contents:Risks and insurance
Managing a portfolio of risks
Life insurance: modelling the lifetime
Life insurance: pricing
Life insurance: reserving
Reserves and profits in a life insurance portfolio
Finance in life insurance: linking benefits to the investment performance
Pension plans: technical and financial perspectives
Non
life insurance: pricing and reserving
ISBN:9783642160295
Series:e-books
Series:SpringerLink (Online service)
Series:Mathematics and Statistics (Springer-11649)
Keywords: Mathematics , Economics Statistics , Banks and banking
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Call number:SPRINGER-2011-9783642159237:ONLINE Show nearby items on shelf
Title:Modelling Operational Risk Using Bayesian Inference [electronic resource]
Author(s): Pavel V Shevchenko
Date:2011
Publisher:Berlin, Heidelberg : Springer Berlin Heidelberg
Size:1 online resource
Note:Springer e-book platform
Note:Springer 2013 e-book collections
Note:The management of operational risk in the banking industry has undergone explosive changes over the last decade due to substantial changes in the operational environment. Globalization, deregulation, the use of complex financialproducts, and changes in information technology have resulted in exposure to new risks which are very different from market and credit risks. In response, the Basel Committee on Banking Supervision has developed a new regulatoryframework for capital measurement and standards f or the banking sector. This has formally defined operational risk and introduced corresponding capital requirements. Many banks are undertaking quantitative modelling of operational riskusing the Loss Distribution Approach (LDA) based on statistical quant ification of the frequency and severity of operational risk losses. There are a number of unresolved methodological challenges in the LDA implementation. Overall, thearea of quantitative operational risk is very new and different methods are under hot deb ate. This book is devoted to quantitative issues in LDA. In particular, the use of Bayesian inference is the main focus. Though it is very new inthis area, the Bayesian approach is well suited for modelling operational risk, as it allows for a consistent and convenient statistical framework for quantifying the uncertainties involved. It also allows for the combination of expertopinion with historical internal and external data in estimation procedures. These are critical, especially for low-frequency/high -impact operational risks. This book is aimed at practitioners in risk management, academic researchersin financial mathematics, banking industry regulators and advanced graduate students in the area. It is a must-read for anyone who works, teaches or doe s research in the area of financial risk
Note:Springer eBooks
Contents:Operational Risk and Basel II
Loss Distribution Approach
Calculation of Compound Distribution
Bayesian approach for LDA
Addressing the Data Truncation Problem
Modelling Large Losses
Modelling Dependence
List of Distributions
Selected Simulation Algorithms
Solutions for Selected Problems
References
Index
ISBN:9783642159237
Series:e-books
Series:SpringerLink (Online service)
Series:Mathematics and Statistics (Springer-11649)
Keywords: Statistics , Distribution (Probability theory) , Mathematical statistics , Economics Statistics , Banks and banking
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Call number:SPRINGER-2010-9783642148521:ONLINE Show nearby items on shelf
Title:Market-Consistent Actuarial Valuation [electronic resource]
Author(s): Mario V Wthrich
Hans Bhlmann
Hansjrg Furrer
Date:2010
Publisher:Berlin, Heidelberg : Springer Berlin Heidelberg
Size:1 online resource
Note:Springer e-book platform
Note:Springer 2013 e-book collections
Note:It is a challenging task to read the balance sheet of an insurance company. This derives from the fact that different positions are often measured by different yardsticks. Assets, for example, are mostly valued at market priceswhereas liabilities are often measured by established actuarial methods. However, there is a general agreement that the balance sheet of an insurance company should be measured in a consistent way. Market-Consistent Actuarial Valuationpresents powerful methods to measure liabil ities and assets in a consistent way. The mathematical framework that leads to market-consistent values for insurance liabilities is explained in detail by the authors. Topics covered arestochastic discounting with deflators, valuation portfolio in life a nd non-life insurance, probability distortions, asset and liability management, financial risks, insurance technical risks, and solvency
Note:Springer eBooks
Contents:Stochastic discounting
Valuation portfolio in life insurance
Financial risks
Valuation portfolio in non
life insurance
Selected Topics
ISBN:9783642148521
Series:e-books
Series:SpringerLink (Online service)
Series:EAA Series, 1869-6929
Series:Mathematics and Statistics (Springer-11649)
Keywords: Mathematics , Finance , Banks and banking
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Call number:SPRINGER-2010-9783642124655:ONLINE Show nearby items on shelf
Title:Copula Theory and Its Applications [electronic resource] : Proceedings of the Workshop Held in Warsaw, 25-26 September 2009
Author(s): Piotr Jaworski
Fabrizio Durante
Wolfgang Karl Hrdle
Tomasz Rychlik
Date:2010
Publisher:Berlin, Heidelberg : Springer Berlin Heidelberg
Size:1 online resource
Note:Springer e-book platform
Note:Springer 2013 e-book collections
Note:Copulas are mathematical objects that fully capture the dependence structure among random variables and hence offer great flexibility in building multivariate stochastic models. Since their introduction in the early 50's, copulashave gained considera ble popularity in several fields of applied mathematics, such as finance, insurance and reliability theory. Today, they represent a well-recognized tool for market and credit models, aggregation of risks, portfolioselection, etc. This book is divided into two main parts: Part I - Surveys contains 11 chapters that provide an up-to-date account of essential aspects of copula models. Part II - Contributions collects the extended versions of6 talks selected from papers presented at the workshop in Warsaw
Note:Springer eBooks
Contents:Surveys
Copula Theory: An Introduction
Dynamic Modeling of Dependence in Finance via Copulae Between Stochastic Processes
Copula Estimation
Pair
Copula Constructions of Multivariate Copulas
Risk Aggregation
Extreme
Value Copulas
Construction and Sampling of Nested Archimedean Copulas
Tail Behaviour of Copulas
Copulae in Reliability Theory (Order Statistics, Coherent Systems)
Copula
Based Measures of Multivariate Association
Semi
copulas and Interpretations of Coincidences Between Stochastic Dependence and Ageing
Contributed Papers
A Copula
Based Model for
ISBN:9783642124655
Series:e-books
Series:SpringerLink (Online service)
Series:Lecture Notes in Statistics, 0930-0325 : v198
Series:Mathematics and Statistics (Springer-11649)
Keywords: Statistics , Distribution (Probability theory) , Mathematical statistics , Economics Statistics , Economics , Banks and banking
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Call number:SPRINGER-2010-9783642111341:ONLINE Show nearby items on shelf
Title:Statistics of Financial Markets [electronic resource] : Exercises and Solutions
Author(s): Szymon Borak
Wolfgang Karl Hrdle
Brenda Lpez Cabrera
Date:2010
Publisher:Berlin, Heidelberg : Springer Berlin Heidelberg
Size:1 online resource
Note:Springer e-book platform
Note:Springer 2013 e-book collections
Note:Practice makes perfect. Therefore the best method of mastering models is working with them. In this book we present a collection of exercises and solutions which can be helpful in the comprehension of Statistics of FinancialMarkets. The exercises ill ustrate the theory by discussing practical examples in detail. We provide computational solutions for the problems, which are all calculated using R and Matlab. The corresponding Quantlets - a name we give tothese program codes - are provided in this book . They follow the name scheme SFSxyz123 and can be downloaded from the Springer homepage. We have sought to strike a balance between theoretical presentation and practical challenges. Thebook is divided into three main parts, in which we discuss option pr icing, time series analysis and advanced quantitative statistical techniques in finance
Note:Springer eBooks
Contents:Part I: Option Pricing
Part II: Statistical Model of Financial Time Series
Part III Selected Financial Applications
ISBN:9783642111341
Series:e-books
Series:SpringerLink (Online service)
Series:Universitext
Series:Mathematics and Statistics (Springer-11649)
Keywords: Statistics , Finance , Economics Statistics , Banks and banking
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Call number:SPRINGER-2010-9783642018084:ONLINE Show nearby items on shelf
Title:Applications of Fourier Transform to Smile Modeling [electronic resource] : Theory and Implementation
Author(s): Jianwei Zhu
Date:2010
Publisher:Berlin, Heidelberg : Springer Berlin Heidelberg
Size:1 online resource
Note:Springer e-book platform
Note:Springer 2013 e-book collections
Note:The sound modeling of the smile effect is an important issue in quantitative finance as, for more than a decade, the Fourier transform has established itself as the most efficient tool for deriving closed-form option pricingformulas in various model classes. This book describes the applications of the Fourier transform to the modeling of volatility smile, followed by a comprehensive treatment of option valuation in a unified framework, covering stochasticvolatilities and interest rates, Poisson and L evy jumps, including various asset classes such as equity, FX and interest rates, as well as various numberical examples and prototype programming codes. Readers will benefit from this booknot only by gaining an overview of the advanced theory and the vas t range of literature on these topics, but also by receiving first-hand feedback on the practical applications and implementations of the theory. The book is aimed atfinancial engineers, risk managers, graduate students and researchers
Note:Springer eBooks
Contents:Option Valuation and the Volatility Smile
Characteristic Functions in Option Pricing
Stochastic Volatility Models
Numerical Issues of Stochastic Volatility Models
Simulating Stochastic Volatility Models
Stochastic Interest Models
Poisson Jumps
Lvy Jumps
Integrating Various Stochastic Factors
Exotic Options with Stochastic Volatilities
Libor Market Model with Stochastic Volatilities
ISBN:9783642018084
Series:e-books
Series:SpringerLink (Online service)
Series:Springer Finance
Series:Mathematics and Statistics (Springer-11649)
Keywords: Economics , Finance , Banks and banking
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Call number:SPRINGER-2009-9788847008205:ONLINE Show nearby items on shelf
Title:Introduzione alla finanza matematica [electronic resource] : Derivati, prezzi e coperture
Author(s): Riccardo Cesari
Date:2009
Publisher:Milano : Springer Milan
Size:1 online resource
Note:Springer e-book platform
Note:Springer 2013 e-book collections
Note:Il libro illustra l'approccio della moderna finanza matematica al caso dei titoli derivati, certamente gli strumenti pi innovativi e pi diffusi del mercato finanziario. La metodologia detta di non arbitraggio (o di Black eScholes) viene illustrata si a in termini euristici sia in termini formali e applicata per fornire la guida al pricing e all'hedging dei titoli c.d. derivati in quanto dipendenti da altri titoli: forward e futures, floaters, swap,opzioni sia semplici sia esotiche, titoli strutturati e opzioni nascoste, di mercato azionario, di tasso d'interesse, di cambio, di credito etc. I derivati sono analizzati sia per le finalit speculative sia per quelle di coperturadei rischi. Grafici, esempi numerici, riferimenti normativi (Consob) ed eserciz i aiutano il lettore alla comprensione dei diversi strumenti considerati. I modelli teorici tra i pi noti in letteratura sono presi in esame, analizzatipasso per passo e messi a confronto. La trattazione si presta a un doppio livello di lettura: un livell o semplice e introduttivo, che richiede solo nozioni matematiche di base e punta alla comprensione pratica dei concetti e deglistrumenti e un livello pi avanzato che utilizza il calcolo stocastico e alcuni risultati fondamentali della probabilit, della ma tematica e della statistica. Il primo livello pensato per gli insegnamenti universitari della laureatriennale mentre il secondo livello si rivolge ai corsi di laurea magistrale e specialistica, di master e dottorato. Un'appendice sui risultati pi avanzat i, sui processi stocastici, le procedure numeriche e la simulazione Monte Carlorendono il testo relativamente autosufficiente
Note:Springer eBooks
Contents:Derivati e mercati
La struttura per scadenza dei tassi dinteresse e i fondamenti del pricing di non arbitraggio
Forward
Futures
Floaters
Swaps
Opzioni plain vanilla
Opzioni e modelli non standard
Opzioni su tassi dinteresse
Opzioni esotiche
Opzioni nascoste e titoli strutturati: garanzie, clausole, opportunit
Procedure numeriche
ISBN:9788847008205
Series:e-books
Series:SpringerLink (Online service)
Series:Mathematics and Statistics (Springer-11649)
Keywords: Mathematics , Finance , Banks and banking
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Call number:SPRINGER-2009-9783540929000:ONLINE Show nearby items on shelf
Title:Recursions for Convolutions and Compound Distributions with Insurance Applications [electronic resource]
Author(s): Raluca Vernic
Bjoern Sundt
Date:2009
Publisher:Berlin, Heidelberg : Springer Berlin Heidelberg
Size:1 online resource
Note:Springer e-book platform
Note:Springer 2013 e-book collections
Note:Since 1980, methods for recursive evaluation of aggregate claims distributions have received extensive attention in the actuarial literature. This book gives a unified survey of the theory and is intended to be self-contained to alarge extent. As the methodology is applicable also outside the actuarial field, it is presented in a general setting, but actuarial applications are used for motivation. The book is divided into two parts. Part I is devoted tounivariate distributions, whereas in Part II, th e methodology is extended to multivariate settings. Primarily intended as a monograph, this book can also be used as text for courses on the graduate level. Suggested outlines for suchcourses are given. The book is of interest for actuaries and statistici ans working within the insurance and finance industry, as well as for people in other fields like operations research and reliability theory
Note:Springer eBooks
Contents:I Univariate distributions
Counting Distributions with Recursion ofOrderOne
Compound Mixed Poisson Distributions
Infinite Divisibility
Counting Distributions with Recursion ofHigher Order
De Pril Transforms of Distributions in
Individual Models
Cumulative Functions and Tails
Moments
Approximations Based on De Pril Transforms
Extension to Distributions in ?
Allowing for Negative Severities
Underflow and Overflow
II Multivariate distributions
Multivariate Compound Distributions of Type 1
De Pril Transforms
Moments
Approximations Based on D
ISBN:9783540929000
Series:e-books
Series:SpringerLink (Online service)
Series:EAA Lecture Notes, 1865-2174
Series:Mathematics and Statistics (Springer-11649)
Keywords: Mathematics , Finance , Banks and banking
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Call number:SPRINGER-2009-9781846287374:ONLINE Show nearby items on shelf
Title:Mathematical Methods for Financial Markets [electronic resource]
Author(s): Monique Jeanblanc
Marc Yor
Marc Chesney
Date:2009
Publisher:London : Springer London
Size:1 online resource
Note:Springer e-book platform
Note:Springer 2013 e-book collections
Note:Mathematical finance has grown into a huge area of research which requires a lot of care and a large number of sophisticated mathematical tools. The subject draws upon quite difficult results from the theory of stochasticprocesses, stochastic calculu s and differential equations, among others, which can be daunting for the beginning researcher. This book simultaneously introduces the financial methodology and the relevant mathematical tools in a stylethat is mathematically rigorous and yet accessible to practitioners and mathematicians alike. It interlaces financial concepts such as arbitrage opportunities, admissible strategies, contingent claims, option pricing and default riskwith the mathematical theory of Brownian motion, diffusion processes, and Lvy processes. The authors proceed by successive generalisations with increasing complexity assuming some basic knowledge of probability theory. The first halfof the book is devoted to continuous path processes whereas the second half deals with disconti nuous processes. The extensive bibliography comprises a wealth of important references and the author index enables readers quickly tolocate where the reference is cited within the book, making this volume an invaluable tool both for students and for thos e at the forefront of research and practice
Note:Springer eBooks
Contents:Part I Continuous Path Processes
1. Continuous Path Random Processes: Mathematical Prerequisites
2. Basic Concepts and Examples in Finance
3. Hitting Times: A Mix of Mathematics and Finance
4. Complements on Brownian Motion
5. Complements on Continuous Path Processes
6. A Special Family of Diffusions: Bessel Processes
Part II: Jump Processes
7. Default Risk: An Enlargement of Filtration Approach
8. Poisson Processes and Ruin Theory
9. General Processes: Mathematical Facts
10. Mixed Processes
11. Lvy Processes
Appendices
References
Index
ISBN:9781846287374
Series:e-books
Series:SpringerLink (Online service)
Series:Springer Finance
Series:Mathematics and Statistics (Springer-11649)
Keywords: Mathematics , Finance , Distribution (Probability theory) , Banks and banking
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Call number:SPRINGER-2008-9788847007253:ONLINE Show nearby items on shelf
Title:Emergent Macroeconomics [electronic resource] : An Agent-Based Approach to Business Fluctuations
Author(s): Domenico Delli Gatti
Edoardo Gaffeo
Mauro Gallegati
Gianfranco Giulioni
Antonio Palestrini
Date:2008
Publisher:Milano : Springer Milan
Size:1 online resource
Note:Springer e-book platform
Note:Springer 2013 e-book collections
Note:This book contributes substantively to the current state-of-the-art of macroeconomics by providing a method for building models in which business cycles and economic growth emerge from the interactions of a large number ofheterogeneous agents. Drawin g from recent advances in agent-based computational modeling, the authors show how insights from dispersed fields like the microeconomics of capital market imperfections, industrial dynamics and the theoryof stochastic processes can be fruitfully combined to improve our understanding of macroeconomic dynamics. This book should be a valuable resource for all researchers interested in analyzing macroeconomic issues without recurring to afictitious representative agent
Note:Springer eBooks
ISBN:9788847007253
Series:e-books
Series:SpringerLink (Online service)
Series:New Economic Windows
Series:Physics and Astronomy (Springer-11651)
Keywords: Engineering , Economics , Industrial organization (Economic theory) , Macroeconomics , Banks and banking
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Call number:SPRINGER-2008-9783540762720:ONLINE Show nearby items on shelf
Title:Statistics of Financial Markets [electronic resource] : An Introduction
Author(s): Jrgen Franke
Wolfgang K Hrdle
Christian M Hafner
Date:2008
Edition:Second Edition
Publisher:Berlin, Heidelberg : Springer Berlin Heidelberg
Size:1 online resource
Note:Springer e-book platform
Note:Springer 2013 e-book collections
Note:Statistics of Financial Markets offers a vivid yet concise introduction to the growing field of statistical applications in finance. The reader will learn the basic methods to evaluate option contracts, to analyse financial timeseries, to select port folios and manage risks making realistic assumptions of the market behaviour. The focus is both on fundamentals of mathematical finance and financial time series analysis and on applications to given problems offinancial markets, making the book the ideal basis for lectures, seminars and crash courses on the topic. For the second edition the book has been updated and extensively revised. Several new aspects have been included, among others achapter on credit risk management
Note:Springer eBooks
Contents:Option Pricing
Derivatives
to Option Management
Basic Concepts of Probability Theory
Stochastic Processes in Discrete Time
Stochastic Integrals and Differential Equations
Black
Scholes Option Pricing Model
Binomial Model for European Options
American Options
Exotic Options
Models for the Interest Rate and Interest Rate Derivatives
Statistical Models of Financial Time Series
Introduction: Definitions and Concepts
ARIMA Time Series Models
Time Series with Stochastic Volatility
Non
parametric Concepts for Financial Time Series
Selected Financial App
ISBN:9783540762720
Series:e-books
Series:SpringerLink (Online service)
Series:Universitext
Series:Mathematics and Statistics (Springer-11649)
Keywords: Statistics , Finance , Economics Statistics , Banks and banking
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Call number:SPRINGER-2008-9783540736431:ONLINE Show nearby items on shelf
Title:Market-Consistent Actuarial Valuation [electronic resource]
Author(s): Mario Valentin Wthrich
Hans Bhlmann
Hansjrg Furrer
Date:2008
Publisher:Berlin, Heidelberg : Springer Berlin Heidelberg
Size:1 online resource
Note:Springer e-book platform
Note:Springer 2013 e-book collections
Note:It is a challenging task to read the balance sheet of an insurance company. This derives from the fact that different positions are often measured by different yardsticks. Assets, for example, are mostly valued at market priceswhereas liabilities are often measured by established actuarial methods. Market-Consistent Actuarial Valuation presents powerful methods to measure liabilities and assets in the same way. The mathematical framework that leads tomarket-consistent values for insurance liabilities is explained in detail by the authors. Topics covered are Stochastic discounting, Valuation portfolio in life and non-life insurance, Asset and liability management, Financial risks,Insurance technical risks, and Solvency
Note:Springer eBooks
Contents:Stochastic discounting
Valuation portfolio in life insurance
Financial risks
Valuation portfolio in non
life insurance
Selected Topics
ISBN:9783540736431
Series:e-books
Series:SpringerLink (Online service)
Series:EAA Lecture Notes, 1865-2174
Series:Mathematics and Statistics (Springer-11649)
Keywords: Mathematics , Finance , Banks and banking
Availability:Click here to see Library holdings or inquire at Circ Desk (x3401)
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Call number:SPRINGER-2008-9783540695325:ONLINE Show nearby items on shelf
Title:Mathematical Control Theory and Finance [electronic resource]
Author(s): Andrey Sarychev
Albert Shiryaev
Manuel Guerra
Maria do Rosrio Grossinho
Date:2008
Publisher:Berlin, Heidelberg : Springer Berlin Heidelberg
Size:1 online resource
Note:Springer e-book platform
Note:Springer 2013 e-book collections
Note:This book highlights recent developments in mathematical control theory and its applications to finance. It presents a collection of original contributions by distinguished scholars, addressing a large spectrum of problems andtechniques. Control theo ry provides a large set of theoretical and computational tools with applications in a wide range of fields, ranging from pure areas of mathematics up to applied sciences like finance. Stochastic optimalcontrol is a well established and important tool of m athematical finance. Other branches of control theory have found comparatively less applications to financial problems, but the exchange of ideas and methods has intensified inrecent years. This volume should contribute to establish bridges between these separate fields. The diversity of topics covered as well as the large array of techniques and ideas brought in to obtain the results make this volume avaluable resource for advanced students and researchers
Note:Springer eBooks
ISBN:9783540695325
Series:e-books
Series:SpringerLink (Online service)
Series:Mathematics and Statistics (Springer-11649)
Keywords: Mathematics , Finance , Systems theory , Banks and banking
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Call number:SPRINGER-2008-9783540691792:ONLINE Show nearby items on shelf
Title:Applied Quantitative Finance [electronic resource]
Author(s): Wolfgang K Hrdle
Nikolaus Hautsch
Ludger Overbeck
Date:2008
Edition:2
Publisher:Berlin, Heidelberg : Springer Berlin Heidelberg
Size:1 online resource
Note:Springer e-book platform
Note:Springer 2013 e-book collections
Note:Recent years have witnessed a growing importance of quantitative methods in both financial research and industry. This development requires the use of advanced techniques on a theoretical and applied level, especially when itcomes to the quantificati on of risk and the valuation of modern financial products. Applied Quantitative Finance (2nd edition) provides a comprehensive and state-of-the-art treatment of cutting-edge topics and methods. It providessolutions to and presents theoretical developments in many practical problems such as risk management, pricing of credit derivatives, quantification of volatility and copula modelling. The synthesis of theory and practice supported bycomputational tools is reflected in the selection of topics as well as in a finely tuned balance of scientific contributions on practical implementation and theoretical concepts. This linkage between theory and practice offerstheoreticians insights into considerations of applicability and, vice versa, provides practitioners comfortable access to new techniques in quantitative finance. Themes that are dominant in current research and which are presented inthis book include among others the valuation of Collaterized Debt Obligations (CDOs), the high-frequency analysis of marke t liquidity, the pricing of Bermuda options and realized volatility. All Quantlets for the calculation of thegiven examples are downloadable from the Springer web pages
Note:Springer eBooks
Contents:Value at Risk
Credit Risk
Implied Volatility
Econometrics
ISBN:9783540691792
Series:e-books
Series:SpringerLink (Online service)
Series:Mathematics and Statistics (Springer-11649)
Keywords: Mathematics , Finance , Economics Statistics , Banks and banking
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Call number:SPRINGER-2008-9783540686880:ONLINE Show nearby items on shelf
Title:Mathematical Models of Financial Derivatives [electronic resource]
Author(s): Yue-Kuen Kwok
Date:2008
Edition:2
Publisher:Berlin, Heidelberg : Springer Berlin Heidelberg
Size:1 online resource
Note:Springer e-book platform
Note:Springer 2013 e-book collections
Note:Mathematical Models of Financial Derivatives is a textbook on the theory behind modeling derivatives using the financial engineering approach, focussing on the martingale pricing principles that are common to most derivativesecurities. A wide range o f financial derivatives commonly traded in the equity and fixed income markets are analyzed, emphasizing on the aspects of pricing, hedging and their risk management. Starting from the renownedBlack-Scholes-Merton formulation of option pricing model, read ers are guided through the text on the new advances on the state-of-the-art derivative pricing models and interest rate models. Both analytic techniques and numericalmethods for solving various types of derivative pricing models are emphasized. The second edition presents a substantial revision of the first edition. The continuous-time martingale pricing theory is motivated through analysis of theunderlying financial economics principles within a discrete-time framework. A large collection of closed-form formulas of various forms of exotic equity and fixed income derivatives are documented. The most recent research results andmethodologies are made accessible to readers through the extensive set of exercises at the end of each chapter. Yue-Kuen Kwok is Pr ofessor of Mathematics at Hong Kong University of Science and Technology. He is the author of over 80research papers and several books, including Applied Complex Variables. He is an associate editor of Journal of Economic Dynamics and Control and Asia-Pac ific Financial Markets
Note:Springer eBooks
Contents:Introduction to Derivative Instruments
Fundamental Concepts of Financial Economics and Asset Price Dynamics
Pricing Models for One
Asset European Options
Path Dependent Options
American Options and Free Boundary Value Problems
Numerical Schemes for Pricing Options
Interest Rate Models and Bond Pricing
Interest Rate Instruments
ISBN:9783540686880
Series:e-books
Series:SpringerLink (Online service)
Series:Springer Finance, 1616-0533
Series:Mathematics and Statistics (Springer-11649)
Keywords: Mathematics , Finance , Distribution (Probability theory) , Banks and banking
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Call number:SPRINGER-2008-9781848000032:ONLINE Show nearby items on shelf
Title:Stochastic Control in Insurance [electronic resource]
Author(s): Hanspeter Schmidli
Date:2008
Publisher:London : Springer London
Size:1 online resource
Note:Springer e-book platform
Note:Springer 2013 e-book collections
Note:Stochastic control is one of the methods being used to find optimal decision-making strategies in fields such as operations research and mathematical finance. In recent years, stochastic control techniques have been applied tonon-life insurance probl ems, and in life insurance the theory has been further developed. This book provides a systematic treatment of optimal control methods applied to problems from insurance and investment, complete with detailedproofs. The theory is discussed and illustrated by way of examples, using concrete simple optimisation problems that occur in the actuarial sciences. The problems come from non-life insurance as well as life and pension insurance andalso cover the famous Merton problem from mathematical finance. Where ver possible, the proofs are probabilistic but in some cases well-established analytical methods are used. The book is directed towards graduate students andresearchers in actuarial science and mathematical finance who want to learn stochastic control wit hin an insurance setting, but it will also appeal to applied probabilists interested in the insurance applications and to practitionerswho want to learn more about how the method works. Readers should be familiar with basic probability theory and have a w orking knowledge of Brownian motion, Markov processes, martingales and stochastic calculus. Some knowledge ofmeasure theory will also be useful for following the proofs
Note:Springer eBooks
Contents:Stochastic Control in Discrete Time
Stochastic Control in Continuous Time
Problems in Life Insurance
Asymptotics of Controlled Risk Processes
Appendices
Stochastic Processes and Martingales
Markov Processes and Generators
Change of Measure Techniques
Risk Theory
The Black
Scholes Model
Life Insurance
References
Index
List of Principal Notation
ISBN:9781848000032
Series:e-books
Series:SpringerLink (Online service)
Series:Probability and Its Applications, 1431-7028
Series:Mathematics and Statistics (Springer-11649)
Keywords: Mathematics , Mathematical optimization , Distribution (Probability theory) , Banks and banking
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Call number:SPRINGER-2008-9780387766829:ONLINE Show nearby items on shelf
Title:Handbook of Financial Engineering [electronic resource]
Author(s): Constantin Zopounidis
Michael Doumpos
Panos M Pardalos
Date:2008
Publisher:Boston, MA : Springer US
Size:1 online resource
Note:Springer e-book platform
Note:Springer 2013 e-book collections
Note:Over the past decade the financial and business environments have undergone significant changes. During the same period several advances have been made within the field of financial engineering, involving both the methodologicaltools as well as the a pplication areas. This comprehensive edited volume discusses the most recent advances within the field of financial engineering, focusing not only on the description of the existing areas in financial engineeringresearch, but also on the new methodologies that have been developed for modeling and addressing financial engineering problems. This book is divided into four major parts, each covering different aspects of financial engineering andmodeling such as portfolio management and trading, risk managemen t, applications of operation research methods, and credit rating models. Handbook of Financial Engineering is intended for financial engineers, researchers, appliedmathematicians, and graduate students interested in real-world applications to financial en gineering
Note:Springer eBooks
Contents:Portfolio Management and Trading
Portfolio Selection in the Presence of Multiple Criteria
Applications of Integer Programming to Financial Optimization
Computing Mean/Downside Risk Frontiers: The Role of Ellipticity
Exchange Traded Funds: History, Trading, and Research
Genetic Programming and Financial Trading: How Much About What We Know
Risk Management
Interest Rate Models: A Review
Engineering a Generalized Neural Network Mapping of Volatility Spillovers in European Government Bond Markets
Estimating Parameters in a Pricing Model with State
Dependent Shocks
C
ISBN:9780387766829
Series:e-books
Series:SpringerLink (Online service)
Series:Springer Optimization and Its Applications, 1931-6828 : v18
Series:Mathematics and Statistics (Springer-11649)
Keywords: Mathematics , Finance , Mathematical optimization , Banks and banking
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Call number:SPRINGER-2007-9788847006652:ONLINE Show nearby items on shelf
Title:Econophysics of Markets and Business Networks [electronic resource] : Proceedings of the Econophys-Kolkata III
Author(s): Arnab Chatterjee
Bikas K Chakrabarti
Date:2007
Publisher:Milano : Springer Milan
Size:1 online resource
Note:Springer e-book platform
Note:Springer 2013 e-book collections
Note:Econophysicists have recently been quite successful in modelling and analysing various financial systems like trading, banking, stock and other markets. The statistical behaviour of the underlying networks in these systems havealso been identified an d characterised recently. This book reviews the current econophysics researches in the structure and functioning of these complex financial network systems. Leading researchers in the respective fields willreport on their recent researches and review on t he contemporary developments. The book will also include the comments and debates on the latest issues arising out of these
Note:Springer eBooks
Contents:Financial Markets
Uncovering the Internal Structure of the Indian Financial Market: Large Cross
correlation Behavior in the NSE
Power Exponential Price Returns in Day
ahead Power Exchanges
Variations in Financial Time Series: Modelling Through Wavelets and Genetic Programming
Financial Time
series Analysis: a Brief Overview
Correlations, Delays and Financial Time Series
Option Pricing with Log
stable Lvy Processes
Inferring the Composition of a Trader Population in a Financial Market
Business and Trade Networks
Dynamical Structure of Behavioral Similarities of the
ISBN:9788847006652
Series:e-books
Series:SpringerLink (Online service)
Series:New Economic Windows
Series:Physics and Astronomy (Springer-11651)
Keywords: Statistical physics , Engineering , Economics, Mathematical , Banks and banking
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Call number:SPRINGER-2007-9780387707303:ONLINE Show nearby items on shelf
Title:Semi-Markov Risk Models for Finance, Insurance and Reliability [electronic resource]
Author(s): Janssen Jacques
Manca Raimondo
Date:2007
Publisher:Boston, MA : Springer US
Size:1 online resource
Note:Springer e-book platform
Note:Springer 2013 e-book collections
Note:This book presents applications of semi-Markov processes in finance, insurance and reliability, using real-life problems as examples. After a presentation of the main probabilistic tools necessary for understanding of the book,the authors show how to apply semi-Markov processes in finance, starting from the axiomatic definition and continuing eventually to the most advanced financial tools, particularly in insurance and in risk-and-ruin theories. Alsoconsidered are reliability problems that interact with credit risk theory in finance. The unique approach of this book is to solve finance and insurance problems with semi-Markov models in a complete way and furthermore presentreal-life applications of semi-Markov processes. Audience This book is intende d for applied mathematicians, statisticians, financial intermediaries, actuaries, engineers, operations researchers
Note:Springer eBooks
Contents:Preface
Probability Tools for Stochastic Modeling
Renewal Theory and Markov Chains
Markov Renewal Processes, Semi
Markov Processes and Markov Random Walks
Discrete Time and Reward SMP and Their Numerical Treatment
Semi
Markov Extensions of the Black
Scholes Model
Other Semi
Markov Models in Finance and Insurance
Insurance Risk Models
Reliability and Credit Risk Models
Generalised Non
Homogeneous Models for Pension Funds and Manpower Management
References
Author Index
Subject Index
ISBN:9780387707303
Series:e-books
Series:SpringerLink (Online service)
Series:Mathematics and Statistics (Springer-11649)
Keywords: Mathematics , Finance , Numerical analysis , Distribution (Probability theory) , Banks and banking
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Call number:SPRINGER-2006-9783540312994:ONLINE Show nearby items on shelf
Title:The Mathematics of Arbitrage [electronic resource]
Author(s): Freddy Delbaen
Walter Schachermayer
Date:2006
Publisher:Berlin, Heidelberg : Springer Berlin Heidelberg
Size:1 online resource
Note:Springer e-book platform
Note:Springer 2013 e-book collections
Note:This long-awaited book aims at a rigorous mathematical treatment of the theory of pricing and hedging of derivative securities by the principle of 'no arbitrage'. The first part presents a relatively elementary introduction,restricting itself to the case of finite probability spaces. The second part consists of an updated edition of seven original research papers by the authors, which analyse the topic in the general framework of semi-martingale theory
Note:Springer eBooks
Contents:Models on Finite Probability Spaces
The Kreps
Yan Theorem
The Dalang
Morton
Willinger
Theorem
The Continuous Time Model
Bachelier and the Black
Scholes
The No
Arbitrage Theory for General Processes
A General Version of Fundamental Theorem of Asset Pricing
The Fundamental Theorem of Asset Pricing for Unbounded Stochastic Processes
A Compactness Principle for Bounded Sequences of Martingales with Applications
The Banach Space Workable Contingent Claims in Arbitrage Theory
The Existence of Absolutely Continuous Local Martingale Measures
The No
Arbitrage Property U
ISBN:9783540312994
Series:e-books
Series:SpringerLink (Online service)
Series:Springer Finance
Series:Mathematics and Statistics (Springer-11649)
Keywords: Mathematics , Functional analysis , Operator theory , Finance , Distribution (Probability theory) , Banks and banking
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Call number:SPRINGER-2006-9780387295480:ONLINE Show nearby items on shelf
Title:Applied Semi-Markov Processes [electronic resource]
Author(s): Jacques Janssen
Raimondo Manca
Date:2006
Publisher:Boston, MA : Springer US
Size:1 online resource
Note:Springer e-book platform
Note:Springer 2013 e-book collections
Note:Applied Semi-Markov Processes aims to give to the reader the tools necessary to apply semi-Markov processes in real-life problems. The book is self-contained and, starting from a low level of probability concepts, graduallybrings the reader to a deep knowledge of semi-Markov processes. The book presents homogeneous and non-homogeneous semi-Markov processes, as well as Markov and semi-Markov rewards processes. These concepts are fundamental for manyapplications, but they are not as thoroughly presente d in other books on the subject as they are here. Audience This book is intended for graduate students and researchers in mathematics, operations research and engineering it mightalso appeal to actuaries and financial managers, and anyone interested in it s applications for banks, mechanical industries for reliability aspects, and insurance companies
Note:Springer eBooks
Contents:Probability Tools for Stochastic Modelling
Renewal Theory
Markov Chains
Markov Renewal Processes, Markov Random Walks and Semi
Markov Processes
Functionals of (J
X) Processes
Non
Homogeneous Markov and Semi
Markov Processes
Markov and Semi
Markov Reward Processes
ISBN:9780387295480
Series:e-books
Series:SpringerLink (Online service)
Series:Mathematics and Statistics (Springer-11649)
Keywords: Mathematics , Distribution (Probability theory) , System safety , Banks and banking
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Call number:SPRINGER-2005-9783540266532:ONLINE Show nearby items on shelf
Title:Martingale Methods in Financial Modelling [electronic resource]
Author(s): Marek Musiela
Marek Rutkowski
Date:2005
Edition:2
Publisher:Berlin, Heidelberg : Springer Berlin Heidelberg
Size:1 online resource
Note:Springer e-book platform
Note:Springer 2013 e-book collections
Note:This book provides a comprehensive, self-contained and up-to-date treatment of the main topics in the theory of option pricing. The first part of the text starts with discrete-time models of financial markets, including theCox-Ross-Rubinstein binomia l model. The passage from discrete- to continuous-time models, done in the Black-Scholes model setting, assumes familiarity with basic ideas and results from stochastic calculus. However, an Appendixcontaining all the necessary results is included. This m odel setting is later generalized to cover standard and exotic options involving several assets and/or currencies. An outline of the general theory of arbitrage pricing ispresented. The second part of the text is devoted to the term structure modelling an d the pricing of interest-rate derivatives. The main emphasis is on models that can be made consistent with market pricing practice. In the 2ndedition, some sections of the former Part I are omitted for better readability, and a brand new chapter is devot ed to volatility risk. In the 3rd printing of the 2nd edition, the second Chapter on discrete-time markets has beenextensively revised. Proofs of several results are simplified and completely new sections on optimal stopping problems and Dynkin games are added. Applications to the valuation and hedging of American-style and game options arepresented in some detail. As a consequence, hedging of plain-vanilla options and valuation of exotic options are no longer limited to the Black-Scholes framework with c onstant volatility. Part II of the book has been revisedfundamentally. The theme of volatility risk appears systematically. Much more detailed analysis of the various interest-rate models is available. The authors' perspective throughout is that the choic e of a model should be based on thereality of how a particular sector of the financial market functions. In particular, it should concentrate on defining liquid primary and derivative assets and identif
Note:Springer eBooks
Contents: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
Market LIBOR Models
Alternative Market Models
Cross
currency Derivatives
ISBN:9783540266532
Series:e-books
Series:SpringerLink (Online service)
Series:Stochastic Modelling and Applied Probability, 0172-4568 : v36
Series:Mathematics and Statistics (Springer-11649)
Keywords: Mathematics , Finance , Distribution (Probability theory) , Economics Statistics , Banks and banking
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Call number:SPRINGER-2005-9780387241494:ONLINE Show nearby items on shelf
Title:Nonlinear Optimization with Financial Applications [electronic resource]
Author(s): Michael Bartholomew-Biggs
Date:2005
Publisher:Boston, MA : Springer US
Size:1 online resource
Note:Springer e-book platform
Note:Springer 2013 e-book collections
Note:The book introduces the key ideas behind practical nonlinear optimization. Computational financean increasingly popular area of mathematics degree programmesis combined here with the study of an important class ofnumerical techniques. The financia l content of the book is designed to be relevant and interesting to specialists. However, this materialwhich occupies about one-third of the textis also sufficiently accessible to allow thebook to be used on optimization courses of a more general nature. The essentials of most currently popular algorithms are described and their performance is demonstrated on a range of optimization problems arising in financialmathematics. Theoretical convergence properties of methods are stated and formal proofs are p rovided in enough cases to be instructive rather than overwhelming. Practical behaviour of methods is illustrated by computationalexamples and discussions of efficiency, accuracy and computational costs. Supporting software for the examples and exercise s is available (but the text does not require the reader to use or understand these particular codes). The author has been active in optimization for over thirty years in algorithm development and application and in teaching and research supervision. Audi ence The book is aimed at lecturers and students (undergraduate and postgraduate)in mathematics, computational finance and related subjects. It is also useful for researchers and practitioners who need a good introduction to nonlinear optimization
Note:Springer eBooks
Contents:Portfolio Optimization
One
variable optimization
Optimal portfolios with n assets
Unconstrained optimization in n variables
The steepest descent method
The Newton method
Quasi
Newton methods
The conjugate gradient method
Optimal portfolios with restrictions
Larger
scale portfolio problems
Data
fitting and the Gauss
Newton method
Equality constrained optimization
Methods for linear equality constraints
Penalty function methods
Sequential quadratic programming
Further portfolio problems
Inequality constrained optimization
Extending equality
cons
ISBN:9780387241494
Series:e-books
Series:SpringerLink (Online service)
Series:Mathematics and Statistics (Springer-11649)
Keywords: Mathematics , Electronic data processing , Computer science Mathematics , Numerical analysis , Mathematical optimization , Operations research , Banks and banking
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