標題: Titlebook: Current Topics in Quantitative Finance; Elio Canestrelli Conference proceedings 1999 Springer-Verlag Berlin Heidelberg 1999 Analysis.Asset [打印本頁] 作者: 多話 時間: 2025-3-21 16:12
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書目名稱Current Topics in Quantitative Finance讀者反饋
書目名稱Current Topics in Quantitative Finance讀者反饋學科排名
作者: Osmosis 時間: 2025-3-21 23:32
U. Pirzer,K.-H. Meyer zum Büschenfeldemovements. Moreover, the absence of serial correlation in the time series of the rate of returns, does not necessary means statistical independence. However this phenomenon has been studied in the past only for stocks and foreign exchange rates only and to our knowledge not for the corporate bonds.作者: 小卒 時間: 2025-3-22 02:08
Gastrointestinale Probleme bei Mukoviszidoselso developed). All the “classic” techniques perform well. The stochastic D.e.a. models can outperform the “classics” in some specific situations, but on average they cannot compete with older techniques; however, the two new stochastic D.e.a. models perform better than the standard one.作者: 植物茂盛 時間: 2025-3-22 06:58 作者: canonical 時間: 2025-3-22 10:04
How Should We Measure Bank Efficiency? A Comparison of Classic and Recent Techniques Based on Simullso developed). All the “classic” techniques perform well. The stochastic D.e.a. models can outperform the “classics” in some specific situations, but on average they cannot compete with older techniques; however, the two new stochastic D.e.a. models perform better than the standard one.作者: ADAGE 時間: 2025-3-22 14:47
M. Reim,M. Wenzel,P. J. M. Bucheres, including the ECU as the predecessor of the European single currency (the Euro), during the period 1989-1997. Our purpose is to provide the Spanish investors with an international performance and, in second term, to advance the role of the European single currency in the international financial markets.作者: ADAGE 時間: 2025-3-22 17:59
https://doi.org/10.1007/978-3-642-77046-3ar relation between expected return and the efficient level of dispersion in the single agent portfolio selection problem. Hence, the efficient set is convex, permitting us to derive an equilibrium model, called stable-CAPM. Moreover, we find that the efficient level of risk in a stable Paretian market is higher the lower the stability index, a.作者: 600 時間: 2025-3-22 21:25
A. Stallmach,H. Matthes,E.-O. Rieckenf the log-logistic distribution, skewness and kurtosis effects can be incorporated. We show how option prices change relative to Black.Scholes prices when skewness and kurtosis effects are introduced.作者: peptic-ulcer 時間: 2025-3-23 01:24
Efficient Diversification of International Investments: The Spanish Point of View,es, including the ECU as the predecessor of the European single currency (the Euro), during the period 1989-1997. Our purpose is to provide the Spanish investors with an international performance and, in second term, to advance the role of the European single currency in the international financial markets.作者: infringe 時間: 2025-3-23 06:00
Portfolio Analysis with Symmetric Stable Paretian Returns,ar relation between expected return and the efficient level of dispersion in the single agent portfolio selection problem. Hence, the efficient set is convex, permitting us to derive an equilibrium model, called stable-CAPM. Moreover, we find that the efficient level of risk in a stable Paretian market is higher the lower the stability index, a.作者: grieve 時間: 2025-3-23 10:20 作者: hermitage 時間: 2025-3-23 14:25 作者: 相同 時間: 2025-3-23 19:03
W. F?rster,H. Kasprzak,G. von Bally,H. Bussehe three algorithms are given. The necessary inputs for Black-Derman-Toy model are yield curve and log-yield volatilities: we provide an evidence on the relatively large sensitivity of the parameters of the fitted lattice on the chosen volatility curve. The reported numerical experience is based on data from the Italian bond market.作者: PAEAN 時間: 2025-3-23 22:40
A. Voss,M. Steffen,C. Reinecker,A. Raedlerformula were done. The analytical results are compared both with computer simulations and data from the Prague stock exchange. The analysis of a stock index shows, that the gain is a sum of dichotomous process and some noise. This fact is important especially for forecasting and measuring the risk.作者: 漂亮 時間: 2025-3-24 03:49
Performance Evaluation of Algorithms for Black-Derman-Toy Lattice,he three algorithms are given. The necessary inputs for Black-Derman-Toy model are yield curve and log-yield volatilities: we provide an evidence on the relatively large sensitivity of the parameters of the fitted lattice on the chosen volatility curve. The reported numerical experience is based on data from the Italian bond market.作者: 表兩個 時間: 2025-3-24 06:52
Dichotomous Rate in Stock-Price Process,formula were done. The analytical results are compared both with computer simulations and data from the Prague stock exchange. The analysis of a stock index shows, that the gain is a sum of dichotomous process and some noise. This fact is important especially for forecasting and measuring the risk.作者: 相同 時間: 2025-3-24 14:42 作者: LIKEN 時間: 2025-3-24 18:52
Efficient Diversification of International Investments: The Spanish Point of View,tion and a increasingly financial market integration, have made the investors to exceed the national barriers in order to get the international diversification of their portfolios..In this paper we will analyse which should be the composition of the optimal portfolio from a Spanish investor’s point 作者: 突變 時間: 2025-3-24 20:01
Scenarios Identification for Financial Modelling,ach scenario, conditioned to the last sampled data. This non parametric approach seems to be quite appealing for a real financial market portfolio management in conjunction with stochastic optimization. The proposed algorithm was then applied to the scenario forecasting of the COMIT index in the Ita作者: nostrum 時間: 2025-3-24 23:52
Merton-like Theoretical Frame for Fractional Brownian Motion in Finance,is detectable significative empirical evidence that there are dependence inside such returns. From a distributional point of view, this dependence can be modelled by the so-called.Brownian (fB) motion which is a Gaussian stochastic process whose increments are (long-term) dependent with each other. 作者: 引起痛苦 時間: 2025-3-25 04:57 作者: Albinism 時間: 2025-3-25 07:55 作者: MERIT 時間: 2025-3-25 14:17 作者: Obscure 時間: 2025-3-25 15:58
Dichotomous Rate in Stock-Price Process,s process, and studies a model with dichotomous expected rate of return. Both the dichotomous and integrated dichotomous process are described, including derivation of exact form of their distribution. The pricing of an European stock option is examined and the first steps to derive a Black-Scholes 作者: Wallow 時間: 2025-3-25 21:02
How Should We Measure Bank Efficiency? A Comparison of Classic and Recent Techniques Based on Simultudies, the data-generation process used here is designed to reflect some structural characteristics of the banking sector (e.g., big producers are less frequent than small ones, the production levels of loans, deposits and services are highly correlated). A known amount of inefficiency and random n作者: 佛刊 時間: 2025-3-26 03:05 作者: RACE 時間: 2025-3-26 06:32
Conference proceedings 1999is a natural oasis, in the midst of a unique urban setting, offering great relaxation in a peaceful park and a panoramic view of Venice. The friendly atmosphere added great benefit to the formal and informal discussions among the participants, -which is typical of E.W.G.F.M. Meetings. It is interest作者: ADORN 時間: 2025-3-26 10:37
1431-1941 friendly atmosphere added great benefit to the formal and informal discussions among the participants, -which is typical of E.W.G.F.M. Meetings. It is interest978-3-7908-1231-2978-3-642-58677-4Series ISSN 1431-1941 Series E-ISSN 2197-716X 作者: 平項山 時間: 2025-3-26 15:40
Merton-like Theoretical Frame for Fractional Brownian Motion in Finance, the fB motion and the discrete-time trading. Moreover, we also prove the “convergence” of the fB motion to the standard Brownian (sB) one when the discrete-time trading tends to the continuous-time one.作者: abreast 時間: 2025-3-26 18:55
Current Topics in Quantitative Finance978-3-642-58677-4Series ISSN 1431-1941 Series E-ISSN 2197-716X 作者: Binge-Drinking 時間: 2025-3-26 21:17
G. Michelson,U. Sch?nherr,G. O. H. Naumannach scenario, conditioned to the last sampled data. This non parametric approach seems to be quite appealing for a real financial market portfolio management in conjunction with stochastic optimization. The proposed algorithm was then applied to the scenario forecasting of the COMIT index in the Italian Stock Market.作者: 演繹 時間: 2025-3-27 03:29 作者: 減去 時間: 2025-3-27 05:27 作者: BOOST 時間: 2025-3-27 09:47
W. F?rster,H. Kasprzak,G. von Bally,H. BusseBertocchi (1997) with respect to lattice calibration, we compare Bjerksund and Stensland approximation algorithm, Kang Pan-Zenios algorithm and a modified Kang Pan-Zenios algorithm to generate short-rate interest rates tree according to Black-Derman-Toy model. Numerical testing of the behaviour of t作者: Abnormal 時間: 2025-3-27 16:57 作者: micronized 時間: 2025-3-27 18:43
G. Michelson,U. Sch?nherr,G. O. H. Naumannach scenario, conditioned to the last sampled data. This non parametric approach seems to be quite appealing for a real financial market portfolio management in conjunction with stochastic optimization. The proposed algorithm was then applied to the scenario forecasting of the COMIT index in the Ita作者: 松軟 時間: 2025-3-28 01:12
U. Reinking,D. Micka,E.-S. El-Hifnawiis detectable significative empirical evidence that there are dependence inside such returns. From a distributional point of view, this dependence can be modelled by the so-called.Brownian (fB) motion which is a Gaussian stochastic process whose increments are (long-term) dependent with each other. 作者: Monotonous 時間: 2025-3-28 02:21 作者: adequate-intake 時間: 2025-3-28 09:52 作者: 蜈蚣 時間: 2025-3-28 13:59 作者: 投票 時間: 2025-3-28 15:02
A. Voss,M. Steffen,C. Reinecker,A. Raedlers process, and studies a model with dichotomous expected rate of return. Both the dichotomous and integrated dichotomous process are described, including derivation of exact form of their distribution. The pricing of an European stock option is examined and the first steps to derive a Black-Scholes 作者: 生氣地 時間: 2025-3-28 19:55 作者: 要塞 時間: 2025-3-29 00:23 作者: justify 時間: 2025-3-29 05:36 作者: 參考書目 時間: 2025-3-29 11:01
978-3-7908-1231-2Springer-Verlag Berlin Heidelberg 1999作者: Ejaculate 時間: 2025-3-29 13:05
