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Call number: | 9783319517537:ONLINE Show nearby items on shelf |
Title: | Extended Abstracts Summer 2015 Strategic Behavior in Combinatorial Structures Quantitative Finance |
Author(s): | |
Date: | 2017 |
Size: | 1 online resource (VI, 139 p. 5 illus., 3 illus. in color p.) |
Contents: | Part-I -- Foreword -- On the Push & Pull Protocol for Rumour Spreading -- Random Walks that Find Perfect Objects and the Lovasz Local Lemma -- Logit Dynamics with Concurrent Updates for Local Interaction Games -- Logit Dynamics with |
Concurrent Updates for Local Interaction Games -- Carpooling in Social Networks -- Who to Trust for Truthful Facility Location? -- Metric and Spectral Properties of Dense Inhomogeneous Random Graphs -- On-Line List Colouring of Random | |
Graphs -- Approximation Algorithms for Computing Maximin Share Allocations -- An Alternate Proof of the Algorithmic Lovász Local Lemma -- Learning Game-Theoretic Equilibria via Query Protocols -- The Lower Tail: Poisson Approximation | |
Revisited -- Population Protocols for Majority in Arbitrary Networks -- The Asymptotic Value in Finite Stochastic Games -- Almost All 5-Regular Graphs Have a 3-Flow -- Part-II -- Foreword -- On the Short-Time Behaviour of the Implied | |
Volatility Skew for Spread Options and Applications -- An Alternative to CARMA Models via Iterations of Ornstein-Uhlenbeck Processes -- Euler-Poisson Schemes for Levy Processes -- On Time-Consistent Portfolios with Time-Inconsistent | |
Preferences -- A Generic Decomposition Formula for Pricing Vanilla Options under Stochastic Volatility Models -- A Highly Efficient Pricing Method for European-Style Options Based on Shannon Wavelets -- A New Pricing Measure in the | |
Barndor-Nielsen-Shephard Model for Commodity Markets | |
ISBN: | 9783319517537 |
Series: | eBooks |
Series: | Springer eBooks |
Series: | Springer 2017 package |
Keywords: | Mathematics , Dynamics , Ergodic theory , Differential equations , Actuarial science , Convex geometry , Discrete geometry , Probabilities , Combinatorics , Mathematics , Combinatorics , Ordinary Differential Equations , Dynamical Systems and Ergodic Theory , Convex and Discrete Geometry , Probability Theory and Stochastic Processes , Actuarial Sciences |
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Call number: | 9781493967926:ONLINE Show nearby items on shelf |
Title: | Pricing Derivatives Under Lévy Models Modern Finite-Difference and Pseudo-Differential Operators Approach |
Author(s): |
Andrey Itkin |
Date: | 2017 |
Size: | 1 online resource (XX, 308 p. 64 illus., 62 illus. in color p.) |
Contents: | Basics of a finite-difference method -- Modern finite-difference approach -- An M-matrix theory and FD -- Brief Introduction into Lévy processes -- Pseudo-parabolic and fractional equations of option pricing -- Pseudo-parabolic |
equations for various Lévy models -- High-order splitting methods for forward PDEs and PIDEs -- Multi-dimensional structural default models and correlated jumps -- LSV models with stochastic interest rates and correlated jumps -- | |
Stochastic skew model -- Glossary -- References -- Index | |
ISBN: | 9781493967926 |
Series: | eBooks |
Series: | Springer eBooks |
Series: | Springer 2017 package |
Keywords: | Mathematics , Partial differential equations , Economics, Mathematical , Computer mathematics , Mathematical models , Mathematics , Quantitative Finance , Mathematical Modeling and Industrial Mathematics , Computational Science and Engineering , Partial Differential Equations |
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Location: | ONLINE |
Call number: | 0470431997:ONLINE Show nearby items on shelf |
Title: | Quantitative Finance: Its Development, Mathematical Foundations, and Current Scope |
Author(s): |
Epps |
Date: | 2009 |
Publisher: | Wiley |
Size: | 1 online resource (402 p.) |
ISBN: | 9780470431993 |
Series: | eBooks |
Series: | Wiley Online Library |
Series: | Wiley 2016 package purchase |
Keywords: | Statistics |
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Call number: | SPRINGER-2016-9783662496961:ONLINE Show nearby items on shelf |
Title: | Generated Dynamics of Markov and Quantum Processes |
Author(s): |
Martin Janßen |
Date: | 2016 |
Size: | 1 online resource (1 p.) |
Note: | 10.1007/978-3-662-49696-1 |
Contents: | Introduction - Dynamics of Relevant Variables- Generated Dynamics -- Formal Solutions -- Special Solutions -- Observables, States, Entropy and Generating Functionals -- Symmetries and Breaking of Symmetries -- Topology -- Selected |
Applications | |
ISBN: | 9783662496961 |
Series: | eBooks |
Series: | SpringerLink (Online service) |
Series: | Springer eBooks |
Keywords: | Physics , Economics, Mathematical , Engineering , Physics , Theoretical, Mathematical and Computational Physics , Engineering, general , Quantitative Finance |
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Call number: | SPRINGER-2016-9783319389905:ONLINE Show nearby items on shelf |
Title: | Fundamentals and Advanced Techniques in Derivatives Hedging |
Author(s): |
Bruno Bouchard |
Date: | 2016 |
Size: | 1 online resource (280 p.) |
Note: | 10.1007/978-3-319-38990-5 |
Contents: | Part A. Fundamental theorems -- Discrete time models -- Continuous time models -- Optimal management and price selection -- Part B. Markovian models and PDE approach -- Delta hedging in complete market -- Super-replication and its practical limits -- Hedging under loss contraints -- Part C. Practical implementation in local and stochastic volatility models -- Local volatility models -- Stochastic volatility models -- References |
ISBN: | 9783319389905 |
Series: | eBooks |
Series: | SpringerLink (Online service) |
Series: | Springer eBooks |
Keywords: | Mathematics , Partial differential equations , Economics, Mathematical , Calculus of variations , Probabilities , Mathematics , Quantitative Finance , Probability Theory and Stochastic Processes , Partial Differential Equations , Calculus of Variations and Optimal Control Optimization |
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Call number: | SPRINGER-2016-9783319324081:ONLINE Show nearby items on shelf |
Title: | Change of Time Methods in Quantitative Finance |
Author(s): |
Anatoliy Swishchuk |
Date: | 2016 |
Size: | 1 online resource (10 p.) |
Note: | 10.1007/978-3-319-32408-1 |
Contents: | 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 a nd 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 |
ISBN: | 9783319324081 |
Series: | eBooks |
Series: | SpringerLink (Online service) |
Series: | Springer eBooks |
Keywords: | Mathematics , Economics, Mathematical , Mathematics , Quantitative Finance |
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Call number: | SPRINGER-2016-9783319310893:ONLINE Show nearby items on shelf |
Title: | Brownian Motion, Martingales, and Stochastic Calculus |
Author(s): |
Jean-François Le Gall |
Date: | 2016 |
Size: | 1 online resource (1 p.) |
Note: | 10.1007/978-3-319-31089-3 |
Contents: | Gaussian variables and Gaussian processes -- Brownian motion -- Filtrations and martingales -- Continuous semimartingales -- Stochastic integration -- General theory of Markov processes -- Brownian motion and partial differential equations -- Stoch astic differential equations -- Local times -- The monotone class lemma -- Discrete martingales -- References |
ISBN: | 9783319310893 |
Series: | eBooks |
Series: | SpringerLink (Online service) |
Series: | Springer eBooks |
Series: | Graduate Texts in Mathematics: 274 |
Keywords: | Mathematics , Measure theory , Economics, Mathematical , System theory , Mathematical models , Probabilities , Mathematics , Probability Theory and Stochastic Processes , Quantitative Finance , Measure and Integration , Mathematical Modeling and Industrial Mathematics , Systems Theory, Control |
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Call number: | SPRINGER-2016-9783319304175:ONLINE Show nearby items on shelf |
Title: | Statistical Methods and Applications in Insurance and Finance CIMPA School, Marrakech and El Kelaa M'gouna, Morocco, April 2013 |
Author(s): | |
Date: | 2016 |
Size: | 1 online resource (3 p.) |
Note: | 10.1007/978-3-319-30417-5 |
Contents: | 1 Frederi Viens: A didactic introduction to risk management via hedging in discrete and continuous time -- 2 M’hamed Eddahbi and Sidi Mohamed Lalaoui Ben Cherif: Sensitivity analysis for time–inhomogeneous L´evy process: A Malliavin calculus ap proach and numeric -- 3 Nicolas Privault and Dichuan Yang: Variance-GGC asset price models and their sensitivity analysis -- 4 Josep Vives: Decomposition of the pricing formula for stochastic volatility models based on Malliavin-Skorohod type calculus -- 5 Boualem Djehiche: Statistical estimation techniques in life and disability insurance -A short overview -- 6 AbdulRahman Al-Hussein: Necessary and sufficient conditions of optimal control for infinite dimensional SDEs -- 7 AbdulRahman Al-Hussein and Boul akhras Gherbal: Sufficient conditions of optimality for forward-backward doubly SDEs with jumps -- 8 Mohsine Benabdallah, Siham Bouhadou, Youssef Ouknine: On the pathwise uniqueness of solutions of one-dimensional stochastic differential |
equations with jumps -- 9 E. H. Essaky and M. Hassani: BSDE Approach for Dynkin Game and American Game Option | |
ISBN: | 9783319304175 |
Series: | eBooks |
Series: | SpringerLink (Online service) |
Series: | Springer eBooks |
Series: | Springer Proceedings in Mathematics & Statistics: 158 |
Keywords: | Mathematics , Insurance , Risk management , Economics, Mathematical , Statistics , Mathematics , Quantitative Finance , Statistics for Business/Economics/Mathematical Finance/Insurance , Risk Management , Insurance |
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Call number: | SPRINGER-2016-9783319297767:ONLINE Show nearby items on shelf |
Title: | Modelling in Life Insurance – A Management Perspective |
Author(s): | |
Date: | 2016 |
Size: | 1 online resource (38 p.) |
Note: | 10.1007/978-3-319-29776-7 |
Contents: | Paradigms in life insurance -- About market consistent valuation in insurance -- Cash flow projection models -- Economic scenario generators -- From internal to ORSA models -- Building a model: practical implementation -- Ex-ante model validation a nd back-testing -- The threat of model risk for insurance companies -- Meta-models and consistency issues -- Model feeding & Data Quality -- The role of models in management decision making -- Models and behaviour of stakeholders |
ISBN: | 9783319297767 |
Series: | eBooks |
Series: | SpringerLink (Online service) |
Series: | Springer eBooks |
Keywords: | Mathematics , Insurance , Economics, Mathematical , Actuarial science , Statistics , Mathematics , Quantitative Finance , Actuarial Sciences , Statistics for Business/Economics/Mathematical Finance/Insurance , Insurance |
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Call number: | SPRINGER-2016-9783319296791:ONLINE Show nearby items on shelf |
Title: | Stochastic Models with Power-Law Tails The Equation X = AX + B |
Author(s): |
Dariusz Buraczewski |
Date: | 2016 |
Size: | 1 online resource (5 p.) |
Note: | 10.1007/978-3-319-29679-1 |
Contents: | Introduction -- The Univariate Case -- Univariate Limit Theoru -- Multivariate Case -- Miscellanea -- Appendices |
ISBN: | 9783319296791 |
Series: | eBooks |
Series: | SpringerLink (Online service) |
Series: | Springer eBooks |
Keywords: | Mathematics , Probabilities , Statistics , Economic theory , Mathematics , Probability Theory and Stochastic Processes , Statistics for Business/Economics/Mathematical Finance/Insurance , Economic Theory/Quantitative Economics/Mathematical Methods |
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Call number: | SPRINGER-2016-9783319290942:ONLINE Show nearby items on shelf |
Title: | Leveraged Exchange-Traded Funds Price Dynamics and Options Valuation |
Author(s): |
Tim Leung |
Date: | 2016 |
Edition: | 1st ed. 2016 |
Size: | 1 online resource (97 p.) |
Note: | 10.1007/978-3-319-29094-2 |
Contents: | Introduction -- Price Dynamics of Leveraged ETFs -- Risk Analysis of Leveraged ETFs -- Options on Leveraged ETFs -- Conclusions |
ISBN: | 9783319290942 |
Series: | eBooks |
Series: | SpringerLink (Online service) |
Series: | Springer eBooks |
Keywords: | Mathematics , Economics, Mathematical , Macroeconomics , Mathematics , Quantitative Finance , Macroeconomics/Monetary Economics//Financial Economics |
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Call number: | SPRINGER-2016-9783319280615:ONLINE Show nearby items on shelf |
Title: | Applied Impulsive Mathematical Models |
Author(s): |
Ivanka Stamova |
Date: | 2016 |
Size: | 1 online resource (318 p.) |
Note: | 10.1007/978-3-319-28061-5 |
Contents: | Introduction.-Basic Theory -- Impulsive Biological Models -- Impulsive Models in Population Dynamics -- Impulsive Neural Networks -- Impulsive Models in Economics -- References -- Index |
ISBN: | 9783319280615 |
Series: | eBooks |
Series: | SpringerLink (Online service) |
Series: | Springer eBooks |
Keywords: | Mathematics , Economics, Mathematical , System theory , Statistical physics , Mathematics , Systems Theory, Control , Nonlinear Dynamics , Mathematical Biology in General , Quantitative Finance |
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Call number: | SPRINGER-2016-9783319258263:ONLINE Show nearby items on shelf |
Title: | The Fascination of Probability, Statistics and their Applications In Honour of Ole E. Barndorff-Nielsen |
Author(s): | |
Date: | 2016 |
Edition: | 1st ed. 2016 |
Size: | 1 online resource (34 p.) |
Note: | 10.1007/978-3-319-25826-3 |
ISBN: | 9783319258263 |
Series: | eBooks |
Series: | SpringerLink (Online service) |
Series: | Springer eBooks |
Keywords: | Mathematics , Economics, Mathematical , Probabilities , Statistics , Mathematics , Probability Theory and Stochastic Processes , Quantitative Finance , Statistical Theory and Methods |
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Call number: | SPRINGER-2016-9783319255897:ONLINE Show nearby items on shelf |
Title: | Stochastic Analysis for Finance with Simulations |
Author(s): |
Geon Ho Choe |
Date: | 2016 |
Size: | 1 online resource (107 p.) |
Note: | 10.1007/978-3-319-25589-7 |
Contents: | Preface -- Acknowledgements -- List of Figures -- List of Tables -- List of Simulations -- Fundamental Concepts -- Financial Derivatives -- The Lebesgue Integral -- Basic Probability Theory -- Conditional Expectation -- Stochastic Processes -- Brown ian Motion -- Girsanov's Theorem -- The Reflection Principle of Brownian Motion -- The Ito Integral -- The Ito Formula -- Stochastic Differential Equations -- The Feynmann-Kac Theorem -- The Binomial Tree Method for Option Pricing -- The Black-Scholes-Mer ton Differential Equation -- The Martingale Method -- Pricing of Vanilla Options -- Pricing of Exotic Options -- American Options -- The Capital Asset Pricing Model -- Dynamic Programming -- Bond Pricing -- Interest Rate Models -- Numeraires -- Numerical Estimation of Volatility -- Time Series -- Random Numbers -- The Monte Carlo Method for Option Pricing -- Numerical Solution of the Black-Scholes-Merton Equation -- Numerical Solution of Stochastic Differential Equations. Appendices -- |
Solutions for Selected Problems -- Glossary -- References -- Index. | |
ISBN: | 9783319255897 |
Series: | eBooks |
Series: | SpringerLink (Online service) |
Series: | Springer eBooks |
Keywords: | Mathematics , Economics, Mathematical , Mathematics , Mathematics, general , Quantitative Finance |
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Call number: | SPRINGER-2016-9783319249278:ONLINE Show nearby items on shelf |
Title: | Tempered Stable Distributions Stochastic Models for Multiscale Processes |
Author(s): |
Michael Grabchak |
Date: | 2016 |
Edition: | 1st ed. 2015 |
Size: | 1 online resource (118 p.) |
Note: | 10.1007/978-3-319-24927-8 |
Contents: | Introduction -- Preliminaries -- Tempered Stable Distributions.- Limit Theorems for Tempered Stable Distributions.- Multiscale Properties of Tempered Stable Levy Processes -- Parametric Classes -- Applications -- Epilogue -- References |
ISBN: | 9783319249278 |
Series: | eBooks |
Series: | SpringerLink (Online service) |
Series: | Springer eBooks |
Keywords: | Mathematics , Economics, Mathematical , Probabilities , Mathematics , Probability Theory and Stochastic Processes , Quantitative Finance |
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Call number: | SPRINGER-2016-9783319040363:ONLINE Show nearby items on shelf |
Title: | Dynamic Systems Models New Methods of Parameter and State Estimation |
Author(s): |
Josif A Boguslavskiy |
Date: | 2016 |
Edition: | 1st ed. 2016 |
Size: | 1 online resource (201 p.) |
Note: | 10.1007/978-3-319-04036-3 |
Contents: | From the Contents: Linear Estimators of a Random-Parameter Vector.-Basis of the Method of Polynomial Approximation -- Polynomial Approximation and Optimization of Control -- Polynomial Approximation Technique Applied to Inverse Vector |
Functions -- Identification of Parameters of Nonlinear Dynamical Systems: Smoothing, Filtering and Forecasting the State Vector -- Estimating Status Vectors from Sight Angles -- Estimation of Parameters of Stochastic Models -- | |
Designing the Control of Motion to a Target Point of Phase Space -- Inverse Problems of Dynamics Algorithm for Identifying Parameters of an Aircraft | |
ISBN: | 9783319040363 |
Series: | eBooks |
Series: | SpringerLink (Online service) |
Series: | Springer eBooks |
Keywords: | Physics , Economics, Mathematical , Mathematical models , Statistical physics , Aerospace engineering , Astronautics , Physics , Nonlinear Dynamics , Mathematical Modeling and Industrial Mathematics , Aerospace Technology and Astronautics , Signal, Image and Speech Processing , Quantitative Finance |
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Call number: | SPRINGER-2016-9781493937837:ONLINE Show nearby items on shelf |
Title: | An Introduction to Mathematical Finance with Applications Understanding and Building Financial Intuition |
Author(s): |
Arlie O Petters |
Date: | 2016 |
Size: | 1 online resource (12 p.) |
Note: | 10.1007/978-1-4939-3783-7 |
Contents: | Preface -- 1. Preliminaries and Financial Markets -- 2. The Time Value of Money -- 3. Markowitz Portfolio Theory -- 4. Capital Market Theory and Portfolio Risk Measures -- 5. Binomial Trees and Security Pricing Modeling -- 6. Stochastic Calculus an d Geometric Brownian Motion Model -- 7. Derivatives: Forwards, Futures, Swaps and Options -- 8. The BSM Model and European Option Pricing -- Index. |
ISBN: | 9781493937837 |
Series: | eBooks |
Series: | SpringerLink (Online service) |
Series: | Springer eBooks |
Keywords: | Mathematics , Economics, Mathematical , Actuarial science , Mathematical models , Probabilities , Mathematics , Quantitative Finance , Mathematical Modeling and Industrial Mathematics , Probability Theory and Stochastic Processes , Actuarial Sciences |
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Call number: | SPRINGER-2014-9783319081298:ONLINE Show nearby items on shelf |
Title: | Tychastic Measure of Viability Risk [electronic resource] |
Author(s): |
Jean-Pierre Aubin Luxi Chen Olivier Dordan |
Date: | 2014 |
Publisher: | Cham : Springer International Publishing : Imprint: Springer |
Size: | 1 online resource |
Note: | This book presents a forecasting mechanism of the price intervals for deriving the SCR (solvency capital requirement) eradicating the risk during the exercise period on one hand, and measuring the risk by computing the hedgingexit time function assoc iating with smaller investments the date until which the value of the portfolio hedges the liabilities on the other. This information, summarized under the term tychastic viability measure of risk is anevolutionary alternative to statistical measures, whe n dealing with evolutions under uncertainty. The book is written by experts in the field and the target audience primarily comprises research experts and practitioners |
Contents: | Part I Description, Illustration and Comments of the Results |
The Viabilist Portfolio Performance and Insurance Approach | |
Technical and Quantitative Analysis of Tubes | |
Uncertainty on Uncertainties | |
Part II Mathematical Proofs | |
Why Viability Theory? A Survival Kit | |
General Viabilist Portfolio Performance and Insurance Problem | |
ISBN: | 9783319081298 |
Series: | eBooks |
Series: | SpringerLink |
Series: | Mathematics and Statistics (Springer-11649) |
Keywords: | Mathematics , Finance , Distribution (Probability theory) |
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Call number: | SPRINGER-2014-9783319044866:ONLINE Show nearby items on shelf |
Title: | Risk - A Multidisciplinary Introduction [electronic resource] |
Author(s): |
Claudia Klppelberg Daniel Straub Isabell M Welpe |
Date: | 2014 |
Publisher: | Cham : Springer International Publishing : Imprint: Springer |
Size: | 1 online resource |
Note: | This is a unique book addressing the integration of risk methodology from various fields. It stimulates intellectual debate and communication across disciplines, promotes better risk management practices and contributes to thedevelopment of risk mana gement methodologies. Book chapters explain fundamental risk models and measurement, and address risk and security issues from diverse areas such as finance and insurance, health sciences, life sciences,engineering and information science. Integrated Risk Sciences is an emerging field, that considers risks in different fields aiming at a common language, and at sharing and improving methods developed in different fields. Readersshould have a Bachelor degree and at least one basic university course in stat istics and probability. The main goal of the book is to provide basic knowledge on risk and security in a common language the authors have taken particularcare to ensure that each chapter can be understood by doctoral students and researchers across disci plines. Each chapter provides simple case studies and examples, open research questions and discussion points, and a selectedbibliography inviting the reader to further studies |
Contents: | Introduction |
Part One. Risk in History and Science: Zachmann, K.: Risk in historical perspective: concepts, contexts, and conjunctions | |
Ltge, C., Schnebel, E., Westphal, N.: Risk management and business ethics: integrating the human factor | |
Straub, D., Welpe, I.: Decision | |
making under risk: a normative and behavioral perspective | |
Mainzer, K.: The new role of mathematical modelling and its importance for society | |
Part Two. Quantitative Risk Methodology: Biagini, F. , Meyer | |
Brandis, T. and Svindland, G. :The mathematical concept of risk | |
Fasen, V., Klppelberg, C., Menzel, A.: Qu | |
ISBN: | 9783319044866 |
Series: | eBooks |
Series: | SpringerLink |
Series: | Mathematics and Statistics (Springer-11649) |
Keywords: | Mathematics , Geology , Computer science , Distribution (Probability theory) , Statistics , System safety , Climatic changes |
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Call number: | SPRINGER-2014-9783319024998:ONLINE Show nearby items on shelf |
Title: | Mathematical and Statistical Methods for Actuarial Sciences and Finance [electronic resource] |
Author(s): |
Marco Corazza Claudio Pizzi |
Date: | 2014 |
Publisher: | Cham : Springer International Publishing : Imprint: Springer |
Size: | 1 online resource |
Note: | The interaction between mathematicians and statisticians has been shown to be an eective approach for dealing with actuarial, insurance and nancial problems, both from an academic perspective and from an operative one. Thecollection of original paper s presented in this volume pursues precisely this purpose. It covers a wide variety of subjects in actuarial, insurance and nance elds, all treated in the light of the successful cooperation betweenthe above two quantitative approaches. The papers publish ed in this volume present theoretical and methodological contributions and their applications to real contexts. With respect to the theoretical and methodological contributions,some of the considered areas of investigation are: actuarial models alternativ e testing approaches behavioral nance clustering techniques coherent and non-coherent risk measures credit scoring approaches data envelopmentanalysis dynamic stochastic programming nancial contagion models nancial ratios intelligent nancial trading syste ms mixture normality approaches Monte Carlo-based methods multicriteria methods nonlinear parameterestimation techniques nonlinear threshold models particle swarm optimization performance measures portfolio optimization pricing methods for structured and non-structured derivatives risk management skewed distribution analysis |
Contents: | Weak form efficiency of selected European stock markets: alternative testing approaches (G. Albano, M. La Rocca, C. Perna) |
An empirical comparison of variable selection methods in competing risks model (A. Amendola, M. Restaino, L. Sensini) | |
A comparison between different numerical schemes for the valuation of unit | |
linked contracts embedding a surrender option (A.R. Bacinello, P. Millossovich, A. Montealegre) | |
Dynamic tracking error with shortfall control using stochastic programming (D. Barro, E. Canestrelli) | |
Firms volatility risk under microstructure noise (F. Barsotti, S. Sanfe | |
ISBN: | 9783319024998 |
Series: | eBooks |
Series: | SpringerLink |
Series: | Mathematics and Statistics (Springer-11649) |
Keywords: | Mathematics , Finance , Economics Statistics |
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Call number: | SPRINGER-2013-9783642355127:ONLINE Show nearby items on shelf |
Title: | Long-Memory Processes [electronic resource] : Probabilistic Properties and Statistical Methods |
Author(s): |
Jan Beran Yuanhua Feng Sucharita Ghosh Rafal Kulik |
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: | Long-memory processes are known to play an important part in many areas of science and technology, including physics, geophysics, hydrology, telecommunications, economics, finance, climatology, and network engineering. In the last20 years enormous pr ogress has been made in understanding the probabilistic foundations and statistical principles of such processes. This book provides a timely and comprehensive review, including a thorough discussion of mathematicaland probabilistic foundations and statis tical methods, emphasizing their practical motivation and mathematical justification. Proofs of the main theorems are provided and data examples illustrate practical aspects. This book will be avaluable resource for researchers and graduate students in st atistics, mathematics, econometrics and other quantitative areas, as well as for practitioners and applied researchers who need to analyze data in which long memory, powerlaws, self-similar scaling or fractal properties are relevant |
Note: | Springer eBooks |
Contents: | Definition of Long Memory |
Origins and Generation of Long Memory | |
Mathematical Concepts | |
Limit Theorems | |
Statistical Inference for Stationary Processes | |
Statistical Inference for Nonlinear Processes | |
Statistical Inference for Nonstationary Processes | |
Forecasting | |
Spatial and Space | |
Time Processes | |
Resampling | |
Function Spaces | |
Regularly Varying Functions | |
Vague Convergence | |
Some Useful Integrals | |
Notation and Abbreviations | |
ISBN: | 9783642355127 |
Series: | e-books |
Series: | SpringerLink (Online service) |
Series: | Mathematics and Statistics (Springer-11649) |
Keywords: | Statistics , Distribution (Probability theory) , Mathematical statistics , Economics Statistics |
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Call number: | SPRINGER-2013-9783034805193:ONLINE Show nearby items on shelf |
Title: | Introduction to Quantitative Methods for Financial Markets [electronic resource] |
Author(s): |
Hansjoerg Albrecher Andreas Binder Volkmar Lautscham Philipp Mayer |
Date: | 2013 |
Publisher: | Basel : Springer Basel : Imprint: Birkhuser |
Size: | 1 online resource |
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Note: | Springer 2013 e-book collections |
Note: | Swaps, futures, options, structured instruments - a wide range of derivative products is traded in today's financial markets. Analyzing, pricing and managing such products often requires fairly sophisticated quantitative toolsand methods. This book s erves as an introduction to financial mathematics with special emphasis on aspects relevant in practice. In addition to numerous illustrative examples, algorithmic implementations are demonstrated usingMathematica and the software package UnRisk (availabl e for both students and teachers). The content is organized in 15 chapters that can be treated as independent modules. In particular, the exposition is tailored for classroomuse in a Bachelor or Master program course, as well as for practitioners who wish to further strengthen their quantitative background |
Note: | Springer eBooks |
Contents: | I Interest Rates |
II Financial Products | |
III The No | |
Arbitrage Principle | |
IV European and American Options | |
The Binomial Option Pricing Model | |
VI The Black | |
Scholes Model | |
VII The Black | |
Scholes Formula | |
VIII Stock | |
Price Models | |
IX Interest Rate Models and the Valuation of Interest Rate Derivatives | |
X Numerical Tools | |
XI Simulation Methods | |
XII Calibrating Models Inverse Problems | |
XIII Case Studies: Exotic Derivatives | |
XIV Portfolio | |
Optimization | |
XV Introduction to Credit Risk Models | |
ISBN: | 9783034805193 |
Series: | e-books |
Series: | SpringerLink (Online service) |
Series: | Compact Textbooks in Mathematics, 2296-4568 |
Series: | Mathematics and Statistics (Springer-11649) |
Keywords: | Mathematics , Finance , Economics, Mathematical |
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Call number: | SPRINGER-2012-9788847025387:ONLINE Show nearby items on shelf |
Title: | Financial Mathematics [electronic resource] : Theory and Problems for Multi-period Models |
Author(s): |
Andrea Pascucci Wolfgang J Runggaldier |
Date: | 2012 |
Publisher: | Milano : Springer Milan : Imprint: Springer |
Size: | 1 online resource |
Note: | Springer e-book platform |
Note: | Springer 2013 e-book collections |
Note: | With the Bologna Accords a bachelor-master-doctor curriculum has been introduced in various countries with the intention that students may enter the job market already at the bachelor level. Since financial Institutions providenon negligible job oppo rtunities also for mathematicians, and scientists in general, it appeared to be appropriate to have a financial mathematics course already at the bachelor level in mathematics. Most mathematical techniques in usein financial mathematics are related to con tinuous time models and require thus notions from stochastic analysis that bachelor students do in general not possess. Basic notions and methodologies in use in financial mathematics canhowever be transmitted to students also without the technicalities f rom stochastic analysis by using discrete time (multi-period) models for which general notions from Probability suffice and these are generally familiar to studentsnot only from science courses, but also from economics with quantitative curricula. There d o not exists many textbooks for multi-period models and the present volume is intended to fill in this gap. It deals with the basic topics infinancial mathematics and, for each topic, there is a theoretical section and a problem section. The latter includ es a great variety of possible problems with complete solution |
Note: | Springer eBooks |
Contents: | Pricing and hedging |
Portfolio optimization | |
American options | |
Interest rates | |
ISBN: | 9788847025387 |
Series: | e-books |
Series: | SpringerLink (Online service) |
Series: | Unitext, 2038-5714 |
Series: | Mathematics and Statistics (Springer-11649) |
Keywords: | Mathematics , Finance , Economics |
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Call number: | SPRINGER-2012-9783642257469:ONLINE Show nearby items on shelf |
Title: | Numerical Methods in Finance [electronic resource] : Bordeaux, June 2010 |
Author(s): |
Ren A Carmona Pierre Del Moral Peng Hu Nadia Oudjane |
Date: | 2012 |
Publisher: | Berlin, Heidelberg : Springer Berlin Heidelberg |
Size: | 1 online resource |
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Note: | Springer 2013 e-book collections |
Note: | Numerical methods in finance have emerged as a vital field at the crossroads of probability theory, finance and numerical analysis. Based on presentations given at the workshop Numerical Methods in Finance held at the INRIABordeaux (France) on June 1 -2, 2010, this book provides an overview of the major new advances in the numerical treatment of instruments with American exercises. Naturally it covers the most recent research on the mathematical theoryand the practical applications of optimal stopping problems as they relate to financial applications. By extension, it also provides an original treatment of Monte Carlo methods for the recursive computation of conditional expectationsand solutions of BSDEs and generalized multiple optimal stopping probl ems and their applications to the valuation of energy derivatives and assets. The articles were carefully written in a pedagogical style and a reasonablyself-contained manner. The book is geared toward quantitative analysts, probabilists, and applied math ematicians interested in financial applications |
Note: | Springer eBooks |
Contents: | Part I: Particle Methods in Finance |
1 R. Carmona, P. Del Moral, P. Hu, N, Oudjane: An Introduction to Particle Methods with Financial Applications | |
2.Bhojnarine R. Rambharat: American option valuation with particle filters | |
3.Michael Ludkovski: Monte Carlo Methods for Adaptive Disorder Problems | |
Part II: Numerical methods for backward conditional expectations | |
4.Pierre Del Moral, Bruno Rmillard, Sylvain Rubenthale: Monte Carlo approximations of American options that preserve monotonicity and convexity | |
5.Bruno Rmillard, Alexandre Hocquard, Hugues Langlois, and Nicolas Papageor | |
ISBN: | 9783642257469 |
Series: | e-books |
Series: | SpringerLink (Online service) |
Series: | Springer Proceedings in Mathematics, 2190-5614 : v12 |
Series: | Mathematics and Statistics (Springer-11649) |
Keywords: | Mathematics , Finance , Distribution (Probability theory) |
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Call number: | SPRINGER-2012-9783642172298:ONLINE Show nearby items on shelf |
Title: | Applied Multivariate Statistical Analysis [electronic resource] |
Author(s): |
Wolfgang Karl Hrdle Lopold Simar |
Date: | 2012 |
Edition: | 3rd ed. 2012 |
Publisher: | Berlin, Heidelberg : Springer Berlin Heidelberg |
Size: | 1 online resource |
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Note: | Springer 2013 e-book collections |
Note: | Most of the observable phenomena in the empirical sciences are of a multivariate nature. In financial studies, assets are observed simultaneously and their joint development is analysed to better understand general risk and totrack indices. In medici ne recorded observations of subjects in different locations are the basis of reliable diagnoses and medication. In quantitative marketing consumer preferences are collected in order to construct models ofconsumer behavior. The underlying data structure of these and many other quantitative studies of applied sciences is multivariate. Focusing on applications this book presents the tools and concepts of multivariate data analysis ina way that is understandable for non-mathematicians and practitioners who ne ed to analyze statistical data. The book surveys the basic principles of multivariate statistical data analysis and emphasizes both exploratory andinferential statistics. All chapters have exercises that highlight applications in different fields. The thi rd edition of this book on Applied Multivariate Statistical Analysis offers the following new features A new Chapter onRegression Models has been added All numerical examples have been redone, updated and made reproducible in MATLAB or R, see www.quantlet .org for a repository of quantlets |
Note: | Springer eBooks |
Contents: | I. Descriptive Techniques: Comparison of Batches |
II. Multivariate Random Variables: A Short Excursion into Matrix Algebra | |
Moving to Higher Dimensions | |
Multivariate Distributions | |
Theory of the Multinormal | |
Theory of Estimation | |
Hypothesis Testing | |
III. Multivariate Techniques: Regression Models | |
Decomposition of Data Matrices by Factors | |
Principal Components Analysis | |
Factor Analysis | |
Cluster Analysis | |
Discriminant Analysis | |
Correspondence Analysis | |
Canonical Correlation Analysis | |
Multidimensional Scaling | |
Conjoint Measurement Analysis | |
Applications | |
ISBN: | 9783642172298 |
Series: | e-books |
Series: | SpringerLink (Online service) |
Series: | Mathematics and Statistics (Springer-11649) |
Keywords: | Statistics , Finance , Mathematical statistics , Economics Statistics , Economics |
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Call number: | SPRINGER-2012-9780817683467:ONLINE Show nearby items on shelf |
Title: | An Introduction to Continuous-Time Stochastic Processes [electronic resource] Theory, Models, and Applications to Finance, Biology, and Medicine |
Author(s): |
Vincenzo Capasso David Bakstein |
Date: | 2012 |
Edition: | 2nd ed. 2012 |
Publisher: | Boston, MA : Birkhuser Boston : Imprint: Birkhuser |
Size: | 1 online resource |
Note: | Springer e-book platform |
Note: | Springer 2013 e-book collections |
Note: | From reviewsof First Edition: The book is... an account of fundamental concepts as they appear in relevant modern applications and literature.... The book addresses three main groups: first, mathematicians working in adifferent field second, other sc ientists and professionals from a business or academic background third, graduate or advanced undergraduate students of a quantitative subject related to stochastic theory and/or applications.Zentralblatt MATH This is an introductory text on continuous ti me stochastic processes and their applications to finance and biology. ... The book will be useful for applied mathematicians who are not probabilists to get a quickflavour of the techniques of stochastic calculus, and for professional probabilists to get a quick flavour of the applications. Mathematical Reviews Revised and enhanced, this conciselywritten second edition of An Introduction toContinuous-Time Stochastic Processes is a rigorousand self-contained introduction to the theoryof continuous-time st ochastic processes, stochastic integrals,and stochastic differentialequations. Expertly balancing theory andapplications, the work features concrete examples of modeling real-world problems from biology, medicine, industrial applications, finance, and ins urance using stochastic methods. No previous knowledge of stochastic processes isrequired. Key topicsinclude: * Markov processes * Stochastic differential equations * Arbitrage-free markets and financial derivatives * Insurance risk * Population dynamics * Agent-based models New to the Second Edition: * Improvedpresentation of original concepts * Expanded background on probability theory * Substantial material applicable tofinance and biology, including stable laws, Lvy processes, and It-Lvy calculus *Sup plemental appendix toprovidebasic facts on semigroups of linear operators An Introduction to Continuous-Time Stochastic Processes, Second Editionwill be of inte |
Note: | Springer eBooks |
Contents: | Part I. The Theory of Stochastic Processes |
Fundamentals of Probability | |
Stochastic Processes | |
The It Integral | |
Stochastic Differential Equations | |
Part II. The Applications of Stochastic Processes | |
Applications to Finance and Insurance | |
Applications to Biology and Medicine | |
Part III. Appendices | |
Measure and Integration | |
Convergence of Probability Measures on Metric Spaces | |
Elliptic and Parabolic Operators | |
D Semigroups and Linear Operators | |
E Stability of Ordinary Differential Equations | |
References | |
ISBN: | 9780817683467 |
Series: | e-books |
Series: | SpringerLink (Online service) |
Series: | Modeling and Simulation in Science, Engineering and Technology, 2164-3679 |
Series: | Mathematics and Statistics (Springer-11649) |
Keywords: | Mathematics , Finance , Distribution (Probability theory) , Engineering mathematics |
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Call number: | SPRINGER-2012-9780387714189:ONLINE Show nearby items on shelf |
Title: | Neutral and Indifference Portfolio Pricing, Hedging and Investing [electronic resource] : With applications in Equity and FX |
Author(s): |
Srdjan Stojanovic |
Date: | 2012 |
Publisher: | New York, NY : Springer New York : Imprint: Springer |
Size: | 1 online resource |
Note: | Springer e-book platform |
Note: | Springer 2013 e-book collections |
Note: | This book is written for quantitative finance professionals, students, educators, and mathematically inclined individual investors. It is about some of the latest developments in pricing, hedging, and investing in incompletemarkets. With regard to pr icing, two frameworks are fully elaborated: neutral and indifference pricing. With regard to hedging, the most conservative and relaxed hedging formulas are derived. With regard to investing, the neutralpricing methodology is also considered as a tool for connecting market asset prices with optimal positions in such assets. While there are many books on the financial mathematics of incomplete markets based on probability, andequivalent martingale measure approach to pricing, this book is based solely on t he analytical aspects of stochastic control, or more precisely, portfolio optimization. Namely, relying solely on portfolio optimization, neutral andindifference pricing as well as hedging methodologies were fully developed in the context of arbitrary dif fusiveMarkovian market models and portfolios of contracts. That was made possible by some recent discoveries, the most specificone being a recently found matrix inverse the fundamental matrix of derivatives pricing and hedging. This approach, while very general, is very feasible for practical implementations. So, many examples are fully derived. The readerwill get the full understanding of the relationship between neutral and indifference pricing, how to implement either one of these pricing methodologie s, how to implement hedging methodologies, and how to apply all these in equityportfolio valuations and foreign exchange. SrdjanD.Stojanovic isProfessor in the Department of Mathematical Sciences at University of Cincinnati (USA) and Professor in the Cent er for Financial Engineering at Suzhou University(China) |
Note: | Springer eBooks |
Contents: | Preface |
Background Material | |
Simple economiescomplete and incomplete markets | |
Investment Portfolio Optimization | |
Pricing: Neutral and Indifference | |
Hedging | |
Equity Valuation and Investing | |
FX Rates and FX Derivatives | |
Appendix | |
References | |
ISBN: | 9780387714189 |
Series: | e-books |
Series: | SpringerLink (Online service) |
Series: | Mathematics and Statistics (Springer-11649) |
Keywords: | Mathematics , Differential equations, partial , Finance , Computer science Mathematics |
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Call number: | SPRINGER-2011-9783642184123:ONLINE Show nearby items on shelf |
Title: | Advanced Mathematical Methods for Finance [electronic resource] |
Author(s): |
Giulia Di Nunno Bernt ksendal |
Date: | 2011 |
Publisher: | Berlin, Heidelberg : Springer Berlin Heidelberg |
Size: | 1 online resource |
Note: | Springer e-book platform |
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Note: | This book presents innovations in the mathematical foundations of financial analysis and numerical methods for finance and applications to the modeling of risk. The topics selected include measures of risk, credit contagion,insider trading, informati on in finance, stochastic control and its applications to portfolio choices and liquidation, models of liquidity, pricing, and hedging. The models presented are based on the use of Brownian motion, Lvyprocesses and jump diffusions. Moreover, fractional Br ownian motion and ambit processes are also introduced at various levels. The chosen blend of topics gives an overview of the frontiers of mathematics for finance. New results, newmethods and new models are all introduced in different forms according to th e subject. Additionally, the existing literature on the topic is reviewed. The diversity of the topics makes the book suitable for graduate students,researchers and practitioners in the areas of financial modeling and quantitative finance. The chapters wi ll also be of interest to experts in the financial market interested in new methods and products. This volume presents theresults of the European ESF research networking program Advanced Mathematical Methods for Finance |
Note: | Springer eBooks |
Contents: | Dynamic risk measures |
Ambit processes and stochastic partial differential equations | |
Fractional processes as models in stochastic finance | |
Credit contagion in a long range dependent macroeconomic factor model | |
Modeling information flows in financial markets | |
An overview of comonotonicity and its applicationsin finance and insurance | |
A general maximum principle for anticipative stochastic control and applications to insider trading | |
Analyticity of the Wiener | |
Hopf factors and valuation of exotic options in Levy models | |
Optimal liquidation of a pairs trade | |
A PDE | |
based approa | |
ISBN: | 9783642184123 |
Series: | e-books |
Series: | SpringerLink (Online service) |
Series: | Mathematics and Statistics (Springer-11649) |
Keywords: | Mathematics , Finance , Distribution (Probability theory) , Economics Statistics , Macroeconomics |
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Call number: | SPRINGER-2011-9783642180620:ONLINE Show nearby items on shelf |
Title: | Statistical Tools for Finance and Insurance [electronic resource] |
Author(s): |
Pavel Cizek Wolfgang Karl Hrdle Rafa Weron |
Date: | 2011 |
Publisher: | Berlin, Heidelberg : Springer Berlin Heidelberg |
Size: | 1 online resource |
Note: | Springer e-book platform |
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Note: | Statistical Tools for Finance and Insurance presents ready-to-use solutions, theoretical developments and method construction for many practical problems in quantitative finance and insurance. Written by practitioners and leadingacademics in the fiel d, this book offers a unique combination of topics from which every market analyst and risk manager will benefit. Features of the significantly enlarged and revised second edition: Offers insight into new methodsand the applicability of the stochastic tec hnology Provides the tools, instruments and (online) algorithms for recent techniques in quantitative finance and modern treatments in insurance calculations Covers topics such as - expectedshortfall for heavy tailed and mixture distributions* - pricing o f variance swaps* - volatility smile calibration in FX markets - pricing of catastrophe bonds and temperature derivatives* - building loss models and ruin probabilityapproximation - insurance pricing with GLM* - equity linked retirement plans*(new topics in the second edition marked with*) Presents extensive examples |
Note: | Springer eBooks |
Contents: | I Finance: Models for heavy |
tailed asset returns (Szymon Borak, Adam Misiorek, and Rafa l Weron) | |
Expected shortfall (Simon A. Broda and Marc S. Paolella) | |
Modelling conditional heteroscedasticity in nonstationary series (Pavel Cek) | |
FX smile in the Heston model (Agnieszka Janek, Tino Kluge, Rafa Weron, and Uwe Wystup) | |
Pricing of Asian temperature risk (Fred Espen Benth, Wolfgang Karl Hrdle, and Brenda Lopez Cabrera) | |
Variance swaps (Wolfgang Karl Hrdle and Elena Silyakova) | |
Learning machines to help predict bankruptcy (Wolfgang Karl Hrdle, Linda Hoffmann, and Rousl | |
ISBN: | 9783642180620 |
Series: | e-books |
Series: | SpringerLink (Online service) |
Series: | Mathematics and Statistics (Springer-11649) |
Keywords: | Statistics , Finance , Economics Statistics |
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Call number: | SPRINGER-2011-9781441977878:ONLINE Show nearby items on shelf |
Title: | Statistics and Data Analysis for Financial Engineering [electronic resource] |
Author(s): |
David Ruppert |
Date: | 2011 |
Publisher: | New York, NY : Springer New York |
Size: | 1 online resource |
Note: | Springer e-book platform |
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Note: | Financial engineers have access to enormous quantities of data but need powerful methods for extracting quantitative information, particularly about volatility and risks. Key features of this textbook are: illustration ofconcepts with financial marke ts and economic data, R Labs with real-data exercises, and integration of graphical and analytic methods for modeling and diagnosing modeling errors. Despite some overlap with the author's undergraduatetextbook Statistics and Finance: An Introduction, thi s book differs from that earlier volume in several important aspects: it is graduate-level computations and graphics are done in R and many advanced topics are covered, forexample, multivariate distributions, copulas, Bayesian computations, VaR and expect ed shortfall, and cointegration. The prerequisites are basic statistics and probability, matrices and linear algebra, and calculus. Some exposure tofinance is helpful. David Ruppert is Andrew Schultz, Jr., Professor of Engineering and Professor of Statist ical Science, School of Operations Research and Information Engineering, Cornell University, where he teaches statistics andfinancial engineering and is a member of the Program in Financial Engineering. His research areas include asymptotic theory, semipa rametric regression, functional data analysis, biostatistics, model calibration, measurement error, andastrostatistics. Professor Ruppert received his PhD in Statistics at Michigan State University. He is a Fellow of the American Statistical Association a nd the Institute of Mathematical Statistics and won the Wilcoxon prize. He isEditor of the Electronic Journal of Statistics, former Editor of the Institute of Mathematical Statistics's Lecture Notes--Monographs Series, and former Associate Editor of sever al major statistics journals. Professor Ruppert haspublished over 100 scientific papers and four books: Transformation and Weighting in Regression, Measurement Error in Nonlinear Models, Semiparametri |
Note: | Springer eBooks |
Contents: | Introduction |
Returns | |
Fixed income securities | |
Exploratory data analysis | |
Modeling univariate distributions | |
Resampling | |
Multivariate statistical models | |
Copulas | |
Time series models: basics | |
Time series models: further topics | |
Portfolio theory | |
Regression: basics | |
Regression: troubleshooting | |
Regression: advanced topics | |
Cointegration | |
The capital asset pricing model | |
Factor models and principal components | |
GARCH models | |
Risk management | |
Bayesian data analysis and MCMC | |
Nonparametric regression and splines | |
ISBN: | 9781441977878 |
Series: | e-books |
Series: | SpringerLink (Online service) |
Series: | Springer Texts in Statistics, 1431-875X |
Series: | Mathematics and Statistics (Springer-11649) |
Keywords: | Statistics , Economics Statistics |
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Call number: | SPRINGER-2010-9788847014817:ONLINE Show nearby items on shelf |
Title: | Mathematical and Statistical Methods for Actuarial Sciences and Finance [electronic resource] |
Author(s): |
Marco Corazza Claudio Pizzi |
Date: | 2010 |
Publisher: | Milano : Springer Milan |
Size: | 1 online resource |
Note: | Springer e-book platform |
Note: | Springer 2013 e-book collections |
Note: | The interaction between mathematicians and statisticians reveals to be an effective approach for dealing with actuarial, insurance and financial problems, both in an academic and in an operative perspective. The internationalconference MAF 2008, held at the University Ca Foscari of Venezia (Italy) in 2008, had precisely this purpose, and the collection here published gathers a selection of about the one hundred papers presented at the conference andsuccessively referred and reviewed to this aim. They cover a wide variety of subjects in actuarial, insurance and financial fields, all treated in light of the successful cooperation between the two quantitative approaches |
Note: | Springer eBooks |
ISBN: | 9788847014817 |
Series: | e-books |
Series: | SpringerLink (Online service) |
Series: | Mathematics and Statistics (Springer-11649) |
Keywords: | Mathematics , Finance , Mathematical statistics , Economics Statistics , Economics, Mathematical |
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Call number: | SPRINGER-2010-9783642136948:ONLINE Show nearby items on shelf |
Title: | Numerical Solution of Stochastic Differential Equations with Jumps in Finance [electronic resource] |
Author(s): |
Eckhard Platen Nicola Bruti-Liberati |
Date: | 2010 |
Publisher: | Berlin, Heidelberg : Springer Berlin Heidelberg |
Size: | 1 online resource |
Note: | Springer e-book platform |
Note: | Springer 2013 e-book collections |
Note: | In financial and actuarial modeling and other areas of application, stochastic differential equations with jumps have been employed to describe the dynamics of various state variables. The numerical solution of such equations ismore complex than that of those only driven by Wiener processes, described in Kloeden & Platen: Numerical Solution of Stochastic Differential Equations (1992). The present monograph builds on the above-mentioned work and provides anintroduction to stochastic differential equat ions with jumps, in both theory and application, emphasizing the numerical methods needed to solve such equations. It presents many new results on higher-order methods for scenario and MonteCarlo simulation, including implicit, predictor corrector, extrap olation, Markov chain and variance reduction methods, stressing the importance of their numerical stability. Furthermore, it includes chapters on exact simulation,estimation and filtering. Besides serving as a basic text on quantitative methods, it offers ready access to a large number of potential research problems in an area that is widely applicable and rapidly expanding. Finance is chosen asthe area of application because much of the recent research on stochastic numerical methods has been driven by c hallenges in quantitative finance. Moreover, the volume introduces readers to the modern benchmark approach that provides ageneral framework for modeling in finance and insurance beyond the standard risk-neutral approach. It requires undergraduate backgro und in mathematical or quantitative methods, is accessible to a broad readership, including those whoare only seeking numerical recipes, and includes exercises that help the reader develop a deeper understanding of the underlying mathematics |
Note: | Springer eBooks |
Contents: | Stochastic Differential Equations with Jumps |
Exact Simulation of Solutions of SDEs | |
Benchmark Approach to Finance and Insurance | |
Stochastic Expansions | |
to Scenario Simulation | |
Regular Strong Taylor Approximations with Jumps | |
Regular Strong It Approximations | |
Jump | |
Adapted Strong Approximations | |
Estimating Discretely Observed Diffusions | |
Filtering | |
Monte Carlo Simulation of SDEs | |
Regular Weak Taylor Approximations | |
Jump | |
Adapted Weak Approximations | |
Numerical Stability | |
Martingale Representations and Hedge Ratios | |
Variance Reduction Techniques | |
Trees and Markov | |
ISBN: | 9783642136948 |
Series: | e-books |
Series: | SpringerLink (Online service) |
Series: | Stochastic Modelling and Applied Probability, 0172-4568 : v64 |
Series: | Mathematics and Statistics (Springer-11649) |
Keywords: | Mathematics , Finance , Distribution (Probability theory) , Economics Statistics |
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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-2010-9783642034794:ONLINE Show nearby items on shelf |
Title: | Contemporary Quantitative Finance [electronic resource] : Essays in Honour of Eckhard Platen |
Author(s): |
Carl Chiarella Alexander Novikov |
Date: | 2010 |
Publisher: | Berlin, Heidelberg : Springer Berlin Heidelberg |
Size: | 1 online resource |
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Note: | Springer 2013 e-book collections |
Note: | The contributors to this volume write a series of articles outlining contemporary advances in a number of key areas of mathematical finance such as, optimal control theory applied to finance, interest rate models, credit risk andcredit derivatives, u se of alternative stochastic processes, numerical solution of equations of mathematical finance, estimation of stochastic processes in finance. The list of authors includes many of the researchers who have made themajor contributions to these various area s of mathematical finance. This volume addresses both researchers and professionals in financial institutions, as well as regulators working in the above mentioned fields |
Note: | Springer eBooks |
Contents: | C. Chiarella and A. Novikov: Introduction |
D. Fernholz and I. Karatzas: Probabilistic aspects of arbitrage | |
C. Kardaras: Finitely additive probabilities and the fundamental theorem of asset pricing | |
H. Hulley and M. Schweizer: M6 | |
On minimal market models and minimal martingale measures | |
H. Hulley: The economic plausibility of strict local martingales in financial modelling | |
J. Najnudel and A. Nikeghbali: A remarkable $\sigma$ | |
finite measure associated with last passage times and penalisation problems | |
G. Galesso and W. Runggaldier: Pricing without equivalent martingale measures u | |
ISBN: | 9783642034794 |
Series: | e-books |
Series: | SpringerLink (Online service) |
Series: | Mathematics and Statistics (Springer-11649) |
Keywords: | Mathematics , Finance , Numerical analysis , Mathematical optimization , Distribution (Probability theory) , Economics Statistics |
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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-2010-9781441917645:ONLINE Show nearby items on shelf |
Title: | Advances in Social Science Research Using R [electronic resource] |
Author(s): |
Hrishikesh D Vinod |
Date: | 2010 |
Publisher: | New York, NY : Springer New York |
Size: | 1 online resource |
Note: | Springer e-book platform |
Note: | Springer 2013 e-book collections |
Note: | This book covers recent advances for quantitative researchers with practical examples from social sciences. The twelve chapters written by distinguished authors cover a wide range of issues--all providing practical tools usingthe free R software. McC ullough: R can be used for reliable statistical computing, whereas most statistical and econometric software cannot. This is illustrated by the effect of abortion on crime. Koenker: Additive models provide aclever compromise between parametric and non-par ametric components illustrated by risk factors for Indian malnutrition. Gelman: R graphics in the context of voter participation in US elections. Vinod: New solutions to the old problemof efficient estimation despite autocorrelation and heteroscedasticity among regression errors are proposed and illustrated by the Phillips curve tradeoff between inflation and unemployment. Markus and Gu: New R tools for exploratorydata analysis including bubble plots. Vinod, Hsu and Tian: New R tools for portfolio selecti on borrowed from computer scientists and data-mining experts relevant to anyone with an investment portfolio. Foster and Kecojevic: Extendsthe usual analysis of covariance (ANCOVA) illustrated by growth charts for Saudi children. Imai, Keele, Tingley, and Yamamoto: New R tools for solving the age-old scientific problem of assessing the direction and strength of causation.Their job search illustration is of interest during current times of high unemployment. Haupt, Schnurbus, and Tschernig: Consider the ch oice of functional form for an unknown, potentially nonlinear relationship, explaining a set of newR tools for model visualization and validation. Rindskopf: R methods to fit a multinomial based multivariate analysis of variance (ANOVA) with examples from psychology, sociology, political science, and medicine. Neath: R tools forBayesian posterior distributions to study increased disease risk in proximity to a hazardous waste site. Numatsi and Rengifo: |
Note: | Springer eBooks |
Contents: | Econometric Computing with R |
Additive Models for Quantile Regression: An Analysis of Risk Factors for Malnutrition in India | |
Toward better R defaults for graphics: Example of voter turnouts in US elections | |
Superior Estimation and Inference Avoiding Heteroscedasticity and Flawed Pivots: R | |
example of Inflation Unemployment Trade | |
Off | |
Bubble Plots as a Model | |
Free Graphical Tool for Continuous Variables | |
Combinatorial Fusion for Improving Portfolio Performance | |
Reference growth charts for Saudi Arabian children and Adolescents | |
Causal Mediation Analysis Using R | |
Statistical val | |
ISBN: | 9781441917645 |
Series: | e-books |
Series: | SpringerLink (Online service) |
Series: | Lecture Notes in Statistics, 0930-0325 : v196 |
Series: | Mathematics and Statistics (Springer-11649) |
Keywords: | Statistics , Finance , Economics Statistics , Econometrics , Social sciences Methodology |
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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 |
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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-2008-9783540499596:ONLINE Show nearby items on shelf |
Title: | Implementing Models in Quantitative Finance: Methods and Cases [electronic resource] |
Author(s): |
Gianluca Fusai Andrea Roncoroni |
Date: | 2008 |
Publisher: | Berlin, Heidelberg : Springer Berlin Heidelberg |
Size: | 1 online resource |
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Note: | Springer 2013 e-book collections |
Note: | This book puts numerical methods into action for the purpose of solving concrete problems arising in quantitative finance. Part one develops a comprehensive toolkit including Monte Carlo simulation, numerical schemes for partialdifferential equations , stochastic optimization in discrete time, copula functions, transform-based methods and quadrature techniques. The content originates from class notes written for courses on numerical methods for finance andexotic derivative pricing held by the authors at Bocconi University since the year 2000. Part two proposes eighteen self-contained cases covering model simulation, derivative valuation, dynamic hedging, portfolio selection, riskmanagement, statistical estimation and model calibration. It encompasses a wide variety of problems arising in markets for equity, interest rates, credit risk, energy and exotic derivatives. Each case introduces a problem, develops adetailed solution and illustrates empirical results. Proposed algorithms are implemented using either Matlab or Visual Basic for Applications in collaboration with contributors |
Note: | Springer eBooks |
ISBN: | 9783540499596 |
Series: | e-books |
Series: | SpringerLink (Online service) |
Series: | Springer Finance |
Series: | Mathematics and Statistics (Springer-11649) |
Keywords: | Mathematics , Differential equations, partial , Finance , Computer science Mathematics , Numerical analysis |
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Call number: | SPRINGER-2008-9780387778273:ONLINE Show nearby items on shelf |
Title: | Statistical Models and Methods for Financial Markets [electronic resource] |
Author(s): |
Tze Leung Lai Haipeng Xing |
Date: | 2008 |
Publisher: | New York, NY : Springer New York |
Size: | 1 online resource |
Note: | Springer e-book platform |
Note: | Springer 2013 e-book collections |
Note: | This book presents statistical methods and models of importance to quantitative finance and links finance theory to market practice via statistical modeling and decision making. Part I provides basic background in statistics,which includes linear reg ression and extensions to generalized linear models and nonlinear regression, multivariate analysis, likelihood inference and Bayesian methods, and time series analysis. It also describes applications of thesemethods to portfolio theory and dynamic models of asset returns and their volatilities. Part II presents advanced topics in quantitative finance and introduces a substantive-empirical modeling approach to address the discrepancybetween finance theory and market data. It describes applications to opti on pricing, interest rate markets, statistical trading strategies, and risk management. Nonparametric regression, advanced multivariate and time series methods infinancial econometrics, and statistical models for high-frequency transactions data are also introduced in this connection. The book has been developed as a textbook for courses on statistical modeling in quantitative finance inmaster's level financial mathematics (or engineering) and computational (or mathematical) finance programs. It is also d esigned for self-study by quantitative analysts in the financial industry who want to learn more about thebackground and details of the statistical methods used by the industry. It can also be used as a reference for graduate statistics and econometrics c ourses on regression, multivariate analysis, likelihood and Bayesian inference,nonparametrics, and time series, providing concrete examples and data from financial markets to illustrate the statistical methods. Tze Leung Lai is Professor of Statistics and Director of Financial Mathematics at Stanford University.He received the Ph.D. degree in 1971 from Columbia University, where he remained on the faculty until moving to Stanford University in 1987. He |
Note: | Springer eBooks |
Contents: | Linear regression models |
Multivariate analysis and likelihood inference | |
Basic investment models and their statistical analysis | |
Parametric models and bayesian methods | |
Time series modeling forecasting | |
Dynamic models of asset return and their volatilities | |
Nonparametric regression and substantive | |
empirical modeling | |
Option pricing and market data | |
Advanced multivariate and time series methods in financial econometrics | |
Interest rate markets | |
Statistical trading strategies | |
Statistical methods in risk management | |
Appendix A | |
Appendix B | |
Appendix C | |
References | |
ISBN: | 9780387778273 |
Series: | e-books |
Series: | SpringerLink (Online service) |
Series: | Springer Texts in Statistics, 1431-875X |
Series: | Mathematics and Statistics (Springer-11649) |
Keywords: | Statistics , Finance , Economics Statistics |
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Call number: | SPRINGER-2007-9783540722441:ONLINE Show nearby items on shelf |
Title: | Applied Multivariate Statistical Analysis [electronic resource] |
Author(s): |
Wolfgang Hrdle Lopold Simar |
Date: | 2007 |
Edition: | Second Edition |
Publisher: | Berlin, Heidelberg : Springer Berlin Heidelberg |
Size: | 1 online resource |
Note: | Springer e-book platform |
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Note: | Most of the observable phenomena in the empirical sciences are of a multivariate nature.In financial studies, assets in stock markets are observed simultaneously and their joint development is analyzed to better understand generaltendencies and to tr ack indices. In medicine recorded observations of subjects in different locations are the basis of reliable diagnoses and medication. In quantitative marketing consumer preferences are collected in order toconstruct models of consumer behavior. The underl ying theoretical structure of these and many other quantitative studies of applied sciences is multivariate. Focussing on applications this book presents the tools and concepts ofmultivariate data analysis in a way that is understandable for non-mathemati cians and practitioners who face statistical data analysis. In this second edition a wider scope of methods and applications of multivariate statisticalanalysis is introduced. All quantlets have been translated into the R and Matlab language and are made available online |
Note: | Springer eBooks |
Contents: | Descriptive Techniques |
Comparison of Batches | |
Multivariate Random Variables | |
A Short Excursion into Matrix Algebra | |
Moving to Higher Dimensions | |
Multivariate Distributions | |
Theory of the Multinormal | |
Theory of Estimation | |
Hypothesis Testing | |
Multivariate Techniques | |
Decomposition of Data Matrices by Factors | |
Principal Components Analysis | |
Factor Analysis | |
Cluster Analysis | |
Discriminant Analysis | |
Correspondence Analysis | |
Canonical Correlation Analysis | |
Multidimensional Scaling | |
Conjoint Measurement Analysis | |
Applications in Finance | |
Computationally Inten | |
ISBN: | 9783540722441 |
Series: | e-books |
Series: | SpringerLink (Online service) |
Series: | Mathematics and Statistics (Springer-11649) |
Keywords: | Statistics , Finance , Mathematical statistics , Economics Statistics , Economics |
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Call number: | SPRINGER-2007-9780387735085:ONLINE Show nearby items on shelf |
Title: | Multivariate Statistics [electronic resource] : Exercises and Solutions |
Author(s): |
Wolfgang Härdle Zdeněk Hlávka |
Date: | 2007 |
Publisher: | New York, NY : Springer New York |
Size: | 1 online resource |
Note: | Springer e-book platform |
Note: | Springer 2013 e-book collections |
Note: | The authors present tools and concepts of multivariate data analysis by means of exercises and their solutions. The first part is devoted to graphical techniques. The second part deals with multivariate random variables andpresents the derivation of estimators and tests for various practical situations. The last part introduces a wide variety of exercises in applied multivariate data analysis. The book demonstrates the application of simple calculus andbasic multivariate methods in real life situatio ns. It contains altogether 234 solved exercises which can assist a university teacher in setting up a modern multivariate analysis course. All computer-based exercises are available inthe R or XploRe languages. The corresponding libraries are downloadable from the Springer link web pages and from the authors home pages. Wolfgang Hrdle is Professor of Statistics at Humboldt-Universitt zu Berlin. He studiedmathematics, computer science and physics at the University of Karlsruhe and received his Dr.rer.nat. at the University of Heidelberg. Later he had positions at Frankfurt and Bonn before he became professeur ordinaire at UniversitCatholique de Louvain. His current research topic is modelling of implied volatilities and the quantitative analysis of financi al markets. Zdenek Hlvka studied mathematics at the Charles University in Prague and biostatistics atLimburgs Universitair Centrum in Diepenbeek. Later he held a position at Humboldt-Universitt zu Berlin before he became a member of the Department of Prob ability and Mathematical Statistics at Charles University in Prague |
Note: | Springer eBooks |
Contents: | Comparison of Batches |
A Short Excursion Into Matrix Algebra | |
Moving to Higher Dimensions | |
Multivariate Distributions | |
Theory of The Multinormal | |
Theory of Estimation | |
Hypothesis Testing | |
Decomposition of Data Matrices by Factors | |
Principal Components Analysis | |
Factor Analysis | |
Cluster Analysis | |
Discriminate Analysis | |
Correspondence Analysis | |
Canonical Correlation Analysis | |
Multidimensional Scaling | |
Conjoint Measurement Analysis | |
Applications in Finance | |
Highly Interactive, Computationally Intensive Techniques | |
ISBN: | 9780387735085 |
Series: | e-books |
Series: | SpringerLink (Online service) |
Series: | Mathematics and Statistics (Springer-11649) |
Keywords: | Statistics , Data mining , Computer science Mathematics , Visualization , Mathematical statistics |
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Call number: | SPRINGER-2006-9783540478560:ONLINE Show nearby items on shelf |
Title: | A Benchmark Approach to Quantitative Finance [electronic resource] |
Author(s): |
Eckhard Platen David Heath |
Date: | 2006 |
Publisher: | Berlin, Heidelberg : Springer Berlin Heidelberg |
Size: | 1 online resource |
Note: | Springer e-book platform |
Note: | Springer 2013 e-book collections |
Note: | The benchmark approach provides a general framework for financial market modeling, which extends beyond the standard risk neutral pricing theory. It permits a unified treatment of portfolio optimization, derivative pricing,integrated risk management and insurance risk modeling. The existence of an equivalent risk-neutral pricing measure is not required. Instead, it leads to pricing formulae with respect to the real world probability measure. This yieldsimportant modeling freedom which turns out to be necessary for the derivation of realistic, parsimonious market models. The first part of the book describes the necessary tools from probability theory, statistics, stochastic calculusand the theory of stochastic differential equations with jumps. The se cond part is devoted to financial modeling under the benchmark approach. Various quantitative methods for the fair pricing and hedging of derivatives are explained.The general framework is used to provide an understanding of the nature of stochastic volat ility. The book is intended for a wide audience that includes quantitative analysts, postgraduate students and practitioners in finance,economics and insurance. It aims to be a self-contained, accessible but mathematically rigorous introduction to quantit ative finance for readers that have a reasonable mathematical or quantitative background. Finally, the book shouldstimulate interest in the benchmark approach by describing some of its power and wide applicability |
Note: | Springer eBooks |
Contents: | Preliminaries |
Statistical Methods | |
Modeling via Stochastic Processes | |
Diffusion Processes | |
Martingales and Stochastic Integrals | |
The Ito Integral or Stochastic Chain Rule | |
Stochastic Differential Equations | |
Continuous Benchmark Models | |
Introduction to Option Pricing | |
Various Approaches to Asset Pricing | |
Numerical Methods for Derivatives Pricing | |
Pricing of Derivatives | |
Benchmark Models with Jumps | |
ISBN: | 9783540478560 |
Series: | e-books |
Series: | SpringerLink (Online service) |
Series: | Springer Finance |
Series: | Mathematics and Statistics (Springer-11649) |
Keywords: | Mathematics , Finance , Distribution (Probability theory) , Economics Statistics |
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Call number: | SPRINGER-2006-9780387316079:ONLINE Show nearby items on shelf |
Title: | Binomial Models in Finance [electronic resource] |
Author(s): |
John Hoek Robert J Elliott |
Date: | 2006 |
Publisher: | New York, NY : Springer New York |
Size: | 1 online resource |
Note: | Springer e-book platform |
Note: | Springer 2013 e-book collections |
Note: | This book deals with many topics in modern financial mathematics in a way that does not use advanced mathematical tools and shows how these models can be numerically implemented in a practical way. The book is aimed atundergraduate students, MBA stud ents, and executives who wish to understand and apply financial models in the spreadsheet computing environment. The basic building block is the one-step binomial model where a known price today can takeone of two possible values at the next time. In this simple situation, risk neutral pricing can be defined and the model can be applied to price forward contracts, exchange rate contracts, and interest rate derivatives. The simpleone-period framework can then be extended to multi-period models. The authors show how binomial tree models can be constructed for several applications to bring about valuations consistent with market prices. The book closes with anovel discussion of real options. John van der Hoek is Senior Lecturer in Applied Mathematics at the University of Adelaide. He has developed courses in finance for a number of years at various levels and is a regular plenary speakerat major conferences on Quantitative Finance. Robert J. Elliott is RBC Financial Group Professor of Finance at the Haskayne School of Business at the University of Calgary. He is the author of over 300 research papers and severalbooks, including Mathematics of Financial Markets, Second Edition (with P. Ekkehard Kopp), Stochastic Calculus and Applications, Hidden Markov Models (with Lahkdar Aggoun and John Moore) and Measure Theory and Filtering: Theory andApplications (with Lakhdar Aggoun). He is an Associate Editor of Mathematical Finance, Stochastics and Stochastics Reports, Stochastic Analysis and Applications, and the Can adian Applied Mathematics Quarterly |
Note: | Springer eBooks |
Contents: | Introduction |
The binomial model for stock options | |
The binomial model for other contracts | |
Multiperiod binomial models | |
Hedging | |
Forward and futures contracts | |
American and exotic option pricing | |
Path dependent options | |
The Greeks | |
Dividends | |
Implied volatility trees | |
Implied binomial trees | |
Interest rate models | |
Real options | |
The binomial distribution | |
An application of linear programming | |
Volatility estimation | |
Existence of a solution | |
Some generalizations | |
Yield curves and splines | |
ISBN: | 9780387316079 |
Series: | e-books |
Series: | SpringerLink (Online service) |
Series: | Springer Finance |
Series: | Mathematics and Statistics (Springer-11649) |
Keywords: | Statistics , Finance , Economics Statistics , Economics, Mathematical |
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Call number: | SPRINGER-2005-9783540273950:ONLINE Show nearby items on shelf |
Title: | Statistical Tools for Finance and Insurance [electronic resource] |
Author(s): |
Pavel ek Rafa Weron Wolfgang Hrdle |
Date: | 2005 |
Publisher: | Berlin, Heidelberg : Springer Berlin Heidelberg |
Size: | 1 online resource |
Note: | Springer e-book platform |
Note: | Springer 2013 e-book collections |
Note: | Statistical Tools in Finance and Insurance presents ready-to-use solutions, theoretical developments and method construction for many practical problems in quantitative finance and insurance. Written by practitioners and leadingacademics in the field of quantitative finance and insurance, this book offers a unique combination of topics from which every market analyst and risk manager will benefit. Features of the book: - Offers insight into new methods andthe applicability of the stochastic technolog y - Provides the tools, instruments and (online) algorithms for recent techniques in quantitative finance and modern treatments in insurance calculations. - Covers topics such as heavytailed distributions, implied trinomial trees, pricing of CAT bonds, si mulation of risk processes and ruin probability approximation -Presentsextensive examples - The downloadable electronic edition of the book offers interactivetools This book presents modern tools for quantitative analysis in finance and insurance. It prov ides a smooth introduction into advanced techniques applicable to a wide range of practical problems. The fact that all examples can bereproduced by the XploRe Quantlet Server technique makes it a sure buy for both practioners and theoretical analysts. Pr of. Dr. Helmut Grndl, Dr. Wolfgang Schieren Chair for Insurance and Risk Management, sponsored by AllianzAG and Stifterverband fr die Deutsche Wissenschaft |
Note: | Springer eBooks |
Contents: | Finance: Stable Distributions in Finance |
Tail Dependence | |
Fuzzy Identification Model | |
Implied Trinomial Tress | |
Nonparametric Productivity Analysis | |
The Exact LR Test of the Scale in the Gamma Family | |
Pricing of Catastrophe (CAT) Bonds | |
Extreme Value Theory | |
Modeling and Financial Applications | |
Long Memory for VOLA Surfaces | |
Correlated Asset Risks and Option Pricing. Insurance: Loss Distributions | |
Visualization of the Risk Process | |
Approximation of Ruin Probability | |
Deductibles | |
Net Premiums | |
Premium Calculation in the Collective Risk Model Framework under Differen | |
ISBN: | 9783540273950 |
Series: | e-books |
Series: | SpringerLink (Online service) |
Series: | Mathematics and Statistics (Springer-11649) |
Keywords: | Statistics , Finance , Economics Statistics |
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Call number: | SPRINGER-2005-9780387228273:ONLINE Show nearby items on shelf |
Title: | Tutorials on Emerging Methodologies and Applications in Operations Research [electronic resource] : Presented at Informs 2004, Denver, CO |
Author(s): |
H J G |
Date: | 2005 |
Publisher: | New York, NY : Springer New York |
Size: | 1 online resource |
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Note: | Springer 2013 e-book collections |
Note: | Operations Research emerged as a quantitative approach to problem-solving in World War II. Its founders, who were physicists, mathematicians, and engineers, quickly found peace-time uses for this new field. Moreover, we can saythat Operations Researc h (OR) was born in the same incubator as computer science, and through the years, it has spawned many new disciplines, including systems engineering, health care management, and transportation science.Fundamentally, Operations Research crosses discipline domains to seek solutions on a range of problems and benefits diverse disciplines from finance to bioengineering. Many disciplines routinely use OR methods. Many scientificresearchers, engineers, and others will find the methodological presentations in th is book useful and helpful in their problem-solving efforts. ORs strengths are modeling, analysis, and algorithm design. It provides a quantitativefoundation for a broad spectrum of problems, from economics to medicine, from environmental control to sport s, from e-commerce to computational geometry. The primary purpose of TUTORIALS ON EMERGING METHODOLOGIES AND APPLICATIONS INOPERATIONS RESEARCH is to provide a reference for practitioners and academics who seek a clear, concise presentation of developing methodologies, hence providing themselves with the capability to apply these methods to new problems.The field of Operations Research is always changing. Its changes are driven by the technology it uses and that it extends, and the applications that it af fects. Relevant changes in the field have a permanent effect on the conduct of ORand are vital to anyone who wants to be current in the field. Each chapter presents a new developing methodology in Operations Research. Each chapter examines each topic with clarity and depth, and organizes the examination around thefollowing questions: (1) What the developing methodology basically is about? (2) Why is it important? and (3) Where can I learn more? |
Note: | Springer eBooks |
Contents: | Heuristic Search for Network Design |
Polyhedral Combinatorics | |
Radiation Oncology and Optimization | |
Parallel Algorithm Design for Branch and Bound | |
Computer | |
Aided Design for Electrical and Computer Engineering | |
Nonlinear Programming and Engineering Applications | |
Connecting MRP, MRP II and ERP | |
Supply Chain Production Planning via Optimization Models | |
ISBN: | 9780387228273 |
Series: | e-books |
Series: | SpringerLink (Online service) |
Series: | International Series in Operations Research & Management Science, 0884-8289 : v76 |
Series: | Mathematics and Statistics (Springer-11649) |
Keywords: | Mathematics , Computer science , Computational complexity , Computer aided design , Computer science Mathematics , Operations research |
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Call number: | SPRINGER-2004-9784431684503:ONLINE Show nearby items on shelf |
Title: | Advances in Mathematical Economics |
Author(s): | |
Date: | 2004 |
Size: | 1 online resource (186 p.) |
Note: | 10.1007/978-4-431-68450-3 |
Contents: | On the fiber product of Young measures with application to a control problem with measures -- The compactness of Pr(K) -- Recursive methods in probability control -- Approximation of expectation of diffusion processes based on Lie |
algebra and Malliavin calculus -- Optimal solutions of the Monge problem -- Valuation of mortgage-backed securities based on unobservable prepayment costs -- Fixed point theorems in Hausdorff topological vector spaces and economic | |
equilibrium theory -- Monetary equilibrium with buying and selling price spread without transactions costs -- Instructions for Authoers | |
ISBN: | 9784431684503 |
Series: | eBooks |
Series: | SpringerLink (Online service) |
Series: | Springer eBooks |
Series: | Advances in Mathematical Economics: 6 |
Keywords: | Economics, Mathematical , Economic theory , Economics , Economic Theory/Quantitative Economics/Mathematical Methods , Quantitative Finance |
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Call number: | SPRINGER-2004-9783662225516:ONLINE Show nearby items on shelf |
Title: | Tools for Computational Finance |
Author(s): |
Rüdiger Seydel |
Date: | 2004 |
Edition: | Second Edition |
Size: | 1 online resource (244 p.) |
Note: | 10.1007/978-3-662-22551-6 |
Contents: | 1 Modeling Tools for Financial Options -- 2 Generating Random Numbers with Specified Distributions -- 3 Numerical Integration of Stochastic Differential Equations -- 4 Finite Differences and Standard Options -- 5 Finite-Element |
Methods -- 6 Pricing of Exotic Options -- Appendices -- A1 Financial Derivatives -- A2 Essentials of Stochastics -- A3 The Black-Scholes Equation -- A4 Numerical Methods -- A6 Function Spaces -- A7 Complementary Formula -- References | |
ISBN: | 9783662225516 |
Series: | eBooks |
Series: | SpringerLink (Online service) |
Series: | Springer eBooks |
Keywords: | Mathematics , Economics, Mathematical , Numerical analysis , Mathematics , Quantitative Finance , Numerical Analysis |
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Call number: | SPRINGER-2004-9783662100264:ONLINE Show nearby items on shelf |
Title: | Statistics of Financial Markets An Introduction |
Author(s): |
Jürgen Franke |
Date: | 2004 |
Size: | 1 online resource (425 p.) |
Note: | 10.1007/978-3-662-10026-4 |
Contents: | I Option Pricing -- 1 Derivatives -- 2 Introduction to Option Management -- 3 Basic Concepts of Probability Theory -- 4 Stochastic Processes in Discrete Time -- 5 Stochastic Integrals and Differential Equations -- 6 Black—Scholes |
Option Pricing Model -- 7 Binomial Model for European Options -- 8 American Options -- 9 Exotic Options and Interest Rate Derivatives -- II Statistical Model of Financial Time Series -- 10 Introduction: Definitions and Concepts -- 11 | |
ARIMA Time Series Models -- 12 Time Series with Stochastic Volatility -- 13 Non-parametric Concepts for Financial Time Series -- III Selected Financial Applications -- 14 Valuing Options with Flexible Volatility Estimators -- 15 Value | |
at Risk and Backtesting -- 16 Copulas and Value-at-Risk -- 17 Statistics of Extreme Risks -- 18 Neural Networks -- 19 Volatility Risk of Option Portfolios -- 20 Nonparametric Estimators for the Probability of Default -- A Technical | |
Appendix -- A.1 Integration Theory -- A.2 Portfolio Strategies | |
ISBN: | 9783662100264 |
Series: | eBooks |
Series: | SpringerLink (Online service) |
Series: | Springer eBooks |
Keywords: | Finance , Economics, Mathematical , Statistics , Econometrics , Economics , Econometrics , Statistics for Business/Economics/Mathematical Finance/Insurance , Quantitative Finance , Finance, general |
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Call number: | SPRINGER-2004-9783662095102:ONLINE Show nearby items on shelf |
Title: | Progress in Industrial Mathematics at ECMI 2002 |
Author(s): | |
Date: | 2004 |
Size: | 1 online resource (409 p.) |
Note: | 10.1007/978-3-662-09510-2 |
Contents: | Mathematical Modeling is a Source of Novel Mathematical Problems -- Parameter Identification in Industrial Problems via Iterative Regularization Methods -- Mathematics of Enhanced Oil Recovery -- Business Modelling. Languages and |
Tools -- Modelling Tumour Growth and Progression -- Interaction of Viscous Mean Flows and Surface Waves at Low Viscosity -- Modified FEM for Fibre-Fluid Interactions -- Numerical Investigation of the Geometrical Factor for Simulating | |
the Drying of Wood -- Phase Plane Analysis of Web Drying -- Parameters Identification for Wood Drying -- Numerical Methods in the Simulation of Vehicle-Guideway Interaction -- Parameter Optimization in Mechanical Multibody Systems and | |
Linearized Runge-Kutta Methods -- Using AD-generated Derivatives in Optimal Control of an Industrial Robot -- Applications to Traffic Breakdown on Highways -- Runge-Kutta-Nyström-Methods with Maximized Stability Domain for Stiff | |
Mechanical Systems -- Free Boundary Problems Describing Two-Dimensional Pulse Recycling and Motion in Semiconductors -- Mobility for Silicon Semiconductor Derived from the Hydrodynamical Model Based on the Maximum Entropy Principle -- | |
Random Domain-Relocation Times in Semiconductor Superlattices: A Stochastic Discrete Drift-Diffusion Approach -- A Priori Estimates for Multiphysics Models in Electric Circuit Design -- Preconditioned Splitting in Dynamic Iteration | |
Schemes for Coupled DAE Systems in RC Network Design -- Augmented Lagrangian Algorithm for Optimizing Analog Circuit Design -- Simulating Multi-tone Free-running Oscillators with Optimal Sweep Following -- Jacobi-Davidson Methods and | |
Preconditioning with Applications in Pole-zero Analysis -- Development and Comparison of Formulas for Scaling ANN Inputs and Outputs in RF-Modeling Applications -- Reduced Order Modelling — Methods and Constraints -- Ghost Field | |
Gauging Used in Electrodynamic Simulation -- Option Pricing Using Stochastic Volatility Models -- Mathematical Model for Gravitational Cascade Separation of Pourable Materials at Identical Stages of a Classifier -- Parallel Iterative | |
Solvers for Sparse Linear Systems in Circuit Simulation -- Conservative Averaging Method for Solutions of Inverse Problems for Heat Equation -- Creation of Temperature Field in a Finite Cylinder by Alternated Electromagnetic Force -- A | |
Finite Element Method for Parabolic Equations -- Reduction of a Mathematical Model for Polymer Crystallization -- Asymptotic and Numerical Aspects of a Nonlinear Singular Integro-Differential Equation for Dryout in a LMFBR Boiler Tube | |
-- Geostatistics: An Overview of Estimation and Simulation Methods for Oil Reservoirs and Basin Modelling -- Global Uncertainty and Sensitivity Analysis and Neighbourhoods -- A Mathematical Model for Tonometry -- Modelling Capillary | |
Pressure in a Streamline Reservoir Simulator Using Operator Splitting -- Electromagnetic Simulations in the Electronics Industry -- Reduction of a Non—Linear Parabolic Initial—Boundary Value Problem to Cauchy Problem for a System of | |
ODEs -- Recent Applications of Multipole Expansions in Computational Electromagnetics -- Examples of Asymptotical Analysis of Hyperbolic Equations -- Monte Carlo Valuation of American Options -- On the Frame — Invariant Description of | |
the Phase Space of the Folgar—Tucker Equation -- Simulating Bass Loudspeakers Requires Nonlinear Acoustics — a Second Order Correction to the Helmholtz Equation -- A Mathematical Model for Hammocking of a Bandage on a Limb -- | |
Probabilistic Analysis of DAX High Frequency Data -- Optimal and Robust Damping Control for Semi-Active Vehicle Suspension -- A Fast Finite Difference Method for Elliptic PDEs in Domains with Non-Grid Aligned Boundaries with | |
Application to 3D Linear Elasticity -- Analysis of a Model for Twin-Wire Forming -- Coherent Dynamics of Excitable and Coupled ?-Cells -- A Mathematical Model of the Cardiovascular System -- Mathematical Modelling of the Drawing of | |
Spun Capillary Tubes -- Mathematical Modelling of CO-oxidation on Modified Pt-Catalyst -- Mathematical Models for Impinging Jets -- Relations Between the Motion-Responses Caused by Fixed and Moving Loads Acting on Discretely Supported | |
Strings and Beams | |
ISBN: | 9783662095102 |
Series: | eBooks |
Series: | SpringerLink (Online service) |
Series: | Springer eBooks |
Series: | The European Consortium for Mathematics in Industry: 5 |
Keywords: | Mathematics , Chemometrics , Applied mathematics , Engineering mathematics , Economics, Mathematical , Computer mathematics , Mathematical optimization , Mathematics , Applications of Mathematics , Computational Mathematics and Numerical Analysis , Optimization , Math. Applications in Chemistry , Appl.Mathematics/Computational Methods of Engineering , Quantitative Finance |
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Call number: | SPRINGER-2004-9783662064276:ONLINE Show nearby items on shelf |
Title: | CreditRisk+ in the Banking Industry |
Author(s): | |
Date: | 2004 |
Size: | 1 online resource (369 p.) |
Note: | 10.1007/978-3-662-06427-6 |
Contents: | 1 Introduction -- 2 Basics of CreditRisk+ -- 3 Capital Allocation with CreditRisk+ -- 4 Risk Factor Transformations Relating CreditRisk+ and CreditMetrics -- 5 Numerically Stable Computation of CreditRisk+ -- 6 Enhanced CreditRisk+ -- |
7 Saddlepoint Approximation -- 8 Fourier Inversion Techniques for CreditRisk+ -- 9 Incorporating Default Correlations and Severity Variations -- 10 Dependent Risk Factors -- 11 Integrating Rating Migrations -- 12 An Analytic Approach | |
to Rating Transitions -- 13 Dependent Sectors and an Extension to Incorporate Market Risk -- 14 Econometric Methods for Sector Analysis -- 15 Estimation of Sector Weights from Real-World Data -- 16 Risk-Return Analysis of Credit | |
Portfolios -- 17 Numerical Techniques for Determining Portfolio Credit Risk -- 18 Some Remarks on the Analysis of Asset-Backed Securities -- 19 Pricing and Hedging of Structured Credit Derivatives | |
ISBN: | 9783662064276 |
Series: | eBooks |
Series: | SpringerLink (Online service) |
Series: | Springer eBooks |
Keywords: | Finance , Applied mathematics , Engineering mathematics , Economics, Mathematical , Finance , Finance, general , Applications of Mathematics , Quantitative Finance |
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