標(biāo)題: Titlebook: Handbook of Computational and Numerical Methods in Finance; Svetlozar T. Rachev Book 2004 Birkh?ser Boston 2004 Probability theory.algorit [打印本頁] 作者: 瘦削 時間: 2025-3-21 19:58
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書目名稱Handbook of Computational and Numerical Methods in Finance讀者反饋
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作者: 地牢 時間: 2025-3-21 23:50
https://doi.org/10.1057/9781137482877lly, when asset prices are log-stable distributed, we propose a numerical valuation of option prices and we describe and compare delta hedging strategies when asset prices are either log-stable distributed or log-normal distributed.作者: 良心 時間: 2025-3-22 04:15
https://doi.org/10.1007/978-3-319-54789-3ical approximation algorithms for such problems. Over the last years many interesting ideas for heuristic approaches were developed and tested for financial decision-making. We present an overview of the relevant methodology, and, some applications that show interesting results for selected problems in finance.作者: BUMP 時間: 2025-3-22 05:23 作者: ENNUI 時間: 2025-3-22 12:17
Optimal Portfolio Selection and Risk Management: A Comparison between the Stable Paretian Approach lly, when asset prices are log-stable distributed, we propose a numerical valuation of option prices and we describe and compare delta hedging strategies when asset prices are either log-stable distributed or log-normal distributed.作者: duplicate 時間: 2025-3-22 16:57 作者: Cardioversion 時間: 2025-3-22 18:51 作者: Myelin 時間: 2025-3-23 00:54
https://doi.org/10.1007/978-3-322-81696-2 quantization approach with four numerical applications arising in finance: European option pricing, optimal stopping problems and American option pricing, stochastic control problems and mean-variance hedging of options and filtering in stochastic volatility models.作者: 地殼 時間: 2025-3-23 05:19 作者: 緩解 時間: 2025-3-23 08:55 作者: Intervention 時間: 2025-3-23 10:11
Numerical Methods for Stable Modeling in Financial Risk Management, domains of attraction. Unfortunately working with stable laws is very much obstructed by the lack of closed-form expressions for probability density functions and cumulative distribution functions. In the current paper we review statistical and numerical techniques which make feasible the application of stable laws in practice.作者: 逗它小傻瓜 時間: 2025-3-23 17:31
Estimation, Adjustment and Application of Transition Matrices in Credit Risk Models,w numerical methods can be used to find so-called true generator matrices in the continuous-time approach, adjust transition matrices or estimate confidence bounds for default and transition probabilities.作者: BRINK 時間: 2025-3-23 18:44 作者: 引起痛苦 時間: 2025-3-24 01:15
Bretislav Heinrich,J. Anthony C. Bland implied state price density is estimated by means of the Barle and Cakici Implied Binomial Tree algorithm using a cross section of DAX option prices, the historical density is inferred by a combination of a non-parametric estimation from a historical time series of the DAX index and a forward Monte Carlo simulation.作者: 立即 時間: 2025-3-24 03:40
Ursachen der Umbauerscheinungen, domains of attraction. Unfortunately working with stable laws is very much obstructed by the lack of closed-form expressions for probability density functions and cumulative distribution functions. In the current paper we review statistical and numerical techniques which make feasible the application of stable laws in practice.作者: NIL 時間: 2025-3-24 06:39
Nomenclature and Synonyms of the Umbilicusw numerical methods can be used to find so-called true generator matrices in the continuous-time approach, adjust transition matrices or estimate confidence bounds for default and transition probabilities.作者: 拍翅 時間: 2025-3-24 12:14
Spectrophotometric Titration of Proteins,This article is an introduction to Malliavin Calculus for practitioners. We treat one specific application to the calculation of greeks in Finance. We consider also the kernel density method to compute greeks and an extension of the Vega index called the local vega index.作者: 盡管 時間: 2025-3-24 17:44
Colin Ng,Umberto Benedetto MD, PhDIn this note, we provide a survey of recent results on numerical analysis of stochastic differential systems and its applications in Finance.作者: Alveoli 時間: 2025-3-24 19:42
Malliavin Calculus in Finance,This article is an introduction to Malliavin Calculus for practitioners. We treat one specific application to the calculation of greeks in Finance. We consider also the kernel density method to compute greeks and an extension of the Vega index called the local vega index.作者: 鍵琴 時間: 2025-3-25 00:48
Numerical Analysis of Stochastic Differential Systems and its Applications in Finance,In this note, we provide a survey of recent results on numerical analysis of stochastic differential systems and its applications in Finance.作者: hyperuricemia 時間: 2025-3-25 03:34
,Introduction: ,’ Small Universes,ing simulated data. Applications to financial time series are also presented. Two different bootstrap methods and the subsampling approach are compared. Conclusions on the optimal bootstrap parameters, the range of applicability, and the performance of the tests are presented.作者: AWL 時間: 2025-3-25 10:32 作者: flamboyant 時間: 2025-3-25 13:51
https://doi.org/10.1007/978-0-8176-8180-7Probability theory; algorithms; calculus; ksa; numerical analysis; optimization; quantitative finance作者: 哪有黃油 時間: 2025-3-25 19:14 作者: interrupt 時間: 2025-3-25 23:38
http://image.papertrans.cn/h/image/421079.jpg作者: ETHER 時間: 2025-3-26 02:20 作者: Overthrow 時間: 2025-3-26 08:07
GARCH-Type Processes in Modeling Energy Prices, article compares the performance of normal GARCH models with the statistical properties of unconditional distribution models of energy returns. We then present the results of estimation of energy GARCH based on the stable distributed error term and compare the performance of normal GARCH and stable作者: insolence 時間: 2025-3-26 08:32
On Relation Betweeen Expected Regret and Conditional Value-at-Risk,erse statement is also valid, i.e., if a portfolio minimizes the expected regret, this portfolio can be found by doing a line search with respect to the CVaR confidence level. A portfolio, optimal in expected regret sense, is also optimal in CVaR sense for some confidence level. The relation of the 作者: Substance 時間: 2025-3-26 13:59 作者: 嚴(yán)厲批評 時間: 2025-3-26 19:11 作者: Comedienne 時間: 2025-3-26 22:23 作者: GLIDE 時間: 2025-3-27 04:25
Das offene Kunstwerk (Opera aperta)erse statement is also valid, i.e., if a portfolio minimizes the expected regret, this portfolio can be found by doing a line search with respect to the CVaR confidence level. A portfolio, optimal in expected regret sense, is also optimal in CVaR sense for some confidence level. The relation of the 作者: Terrace 時間: 2025-3-27 05:33
Handbook of Computational and Numerical Methods in Finance作者: GIBE 時間: 2025-3-27 12:51 作者: 造反,叛亂 時間: 2025-3-27 17:08 作者: morale 時間: 2025-3-27 21:41
https://doi.org/10.1007/978-3-642-01999-9in response to regulatory requirements to have adequate capital to meet credit event contingencies, but risk managers are also concerned about the sensitivity of the value of their portfolios to potential deteriorating credit quality of issuers. These changes in portfolio value can be quite signific作者: 過于光澤 時間: 2025-3-28 02:01
https://doi.org/10.1007/978-1-4615-9591-5e is no widely accepted answer to what the best models and measures of price volatility are because of the complexity of distribution of energy prices. Complex distribution patterns and volatility clustering of energy prices have motivated considerable research in energy finance. Such studies propos作者: Aprope 時間: 2025-3-28 03:03 作者: OMIT 時間: 2025-3-28 10:07 作者: 吃掉 時間: 2025-3-28 12:20 作者: Conclave 時間: 2025-3-28 18:31
Ursachen der Umbauerscheinungen,eturns. Stable distributions possess several properties which make plausible their application in the field of finance — heavy tails, excess kurtosis, domains of attraction. Unfortunately working with stable laws is very much obstructed by the lack of closed-form expressions for probability density 作者: 連接 時間: 2025-3-28 20:57 作者: 苦澀 時間: 2025-3-29 00:44 作者: Substitution 時間: 2025-3-29 06:26 作者: jet-lag 時間: 2025-3-29 08:57 作者: chondromalacia 時間: 2025-3-29 15:27 作者: 干涉 時間: 2025-3-29 18:44 作者: Neolithic 時間: 2025-3-29 20:05
Bootstrap Unit Root Tests for Heavy-Tailed Time Series,ing simulated data. Applications to financial time series are also presented. Two different bootstrap methods and the subsampling approach are compared. Conclusions on the optimal bootstrap parameters, the range of applicability, and the performance of the tests are presented.作者: enlist 時間: 2025-3-30 03:09 作者: Flatter 時間: 2025-3-30 05:40
