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SPIRES-BOOKS: FIND KEYWORD QUANTITATIVE FINANCE *END*INIT* use /tmp/qspiwww.webspi1/21021.31 QRY 131.225.70.96 . find keyword quantitative finance ( in books using www Cover
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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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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
Note:Springer e-book platform
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
Note:Springer e-book platform
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
Note:Springer 2013 e-book collections
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
Note:Springer 2013 e-book collections
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
Note:Springer 2013 e-book collections
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
Note:Springer e-book platform
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
Note:Springer e-book platform
Note:Springer 2013 e-book collections
Note:Recent years have witnessed a growing importance of quantitative methods in both financial research and industry. This development requires the use of advanced techniques on a theoretical and applied level, especially when itcomes to the quantificati on of risk and the valuation of modern financial products. Applied Quantitative Finance (2nd edition) provides a comprehensive and state-of-the-art treatment of cutting-edge topics and methods. It providessolutions to and presents theoretical developments in many practical problems such as risk management, pricing of credit derivatives, quantification of volatility and copula modelling. The synthesis of theory and practice supported bycomputational tools is reflected in the selection of topics as well as in a finely tuned balance of scientific contributions on practical implementation and theoretical concepts. This linkage between theory and practice offerstheoreticians insights into considerations of applicability and, vice versa, provides practitioners comfortable access to new techniques in quantitative finance. Themes that are dominant in current research and which are presented inthis book include among others the valuation of Collaterized Debt Obligations (CDOs), the high-frequency analysis of marke t liquidity, the pricing of Bermuda options and realized volatility. All Quantlets for the calculation of thegiven examples are downloadable from the Springer web pages
Note:Springer eBooks
Contents:Value at Risk
Credit Risk
Implied Volatility
Econometrics
ISBN:9783540691792
Series:e-books
Series:SpringerLink (Online service)
Series:Mathematics and Statistics (Springer-11649)
Keywords: Mathematics , Finance , Economics Statistics , Banks and banking
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Call number:SPRINGER-2008-9783540499596: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
Note:Springer e-book platform
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
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 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
Note:Springer e-book platform
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
Availability:Click here to see Library holdings or inquire at Circ Desk (x3401)
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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
Availability:Click here to see Library holdings or inquire at Circ Desk (x3401)
Click to reserve this book Be sure to include your ID please.
More info:Amazon.com
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Full Text:Click here
Location: ONLINE

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