عنوان
پدید آورنده
موضوع
رده
HF5691
HF5691
کتابخانه
محل استقرار
INTERNATIONAL STANDARD BOOK NUMBER
(Number (ISBN
3319458752
(Number (ISBN
9783319458755
Erroneous ISBN
9783319458731
NATIONAL BIBLIOGRAPHY NUMBER
Number
b433294
TITLE AND STATEMENT OF RESPONSIBILITY
Title Proper
Advanced modelling in mathematical finance :
General Material Designation
[Book]
Other Title Information
in honour of Ernst Eberlein /
First Statement of Responsibility
Jan Kallsen, Antonis Papapantoleon, editors
PHYSICAL DESCRIPTION
Specific Material Designation and Extent of Item
1 online resource
SERIES
Series Title
Springer proceedings in mathematics & statistics,
Volume Designation
volume 189
ISSN of Series
2194-1009 ;
CONTENTS NOTE
Text of Note
Preface; A Conference in Honour of Ernst Eberlein; Contents; Interview with Ernst Eberlein; Part I Flexible Levy-based Models; Tail Behaviour and Tail Dependence of Generalized Hyperbolic Distributions; 1 Introduction; 2 Univariate GIG and GH Distributions and Some of Their Limits; 3 Tail Behaviour of GH Distributions and Their Convolutions; 4 Multivariate Normal Mean-Variance Mixtures and GH Distributions; 5 On the Dependence Structure of Multivariate GH Distributions; 6 Some Further Remarks and Developments; References; Gamma Kernels and BSS/LSS Processes; 1 Introduction
Text of Note
2 BSS and LSS Processes3 Gamma Kernel as Green's Function; 4 Autocorrelation; 5 Pathwise Behaviour; 6 Recovery and Inference; References; Explicit Computations for Some Markov Modulated Counting Processes; 1 Introduction; 2 The MM Model for Multiple Obligors; 2.1 The MM One Point Process; 2.2 The MM Model for Multiple Obligors; 3 The Markov Modulated Poisson Process; 3.1 The Model; 3.2 Conditional Probabilities; 3.3 Conditional Characteristic Function; 4 Filtering; 4.1 Filtering for the MM Multiple Point Process; 4.2 Filtering for the MM Poisson Process; 5 Rapid Switching
Text of Note
2.2 Estimation when xi>03 Estimating the Scale Parameter; 4 Testing for Black Swans; 4.1 Return Periods of Worst Negative Log-Returns; 4.2 Testing for Differences in Shape or Scale; 5 Relating Statistical Conclusions with Economic Indicators; References; Collateralized Borrowing and Default Risk; 1 Introduction; 2 Model; 2.1 Firm Assets; 2.2 Debt Structure; 2.3 Default Timing; 3 Default Probability and Debt Value; 3.1 Analytic Representation of Default Probability; 3.2 Calculation of Debt and Firm Value; 4 Numerical Results; 4.1 Model Parameters; 4.2 Default Probability; 5 Conclusion
Text of Note
4 Local Correlation4.1 Local Correlation for FGC; 4.2 Local Correlation for VGC; 4.3 Local Correlation for LML; 5 The Data Employed; 6 Model Correlation Signatures; 6.1 FGC; 6.2 LML; 6.3 VGC; 6.4 Correlation Signature Results for Energy and the Cross Sector Group; 7 Conclusion; References; Estimation of Correlation Between Latent Processes; 1 Introduction; 2 Model; 3 Results; 4 Proof; References; Hunting for Black Swans in the European Banking Sector Using Extreme Value Analysis; 1 Introduction; 2 A Recollection from Univariate Extreme Value Methodology; 2.1 Max-Domain of Attraction
Text of Note
5.1 Rapid Switching for the MM Multiple Point Process5.2 Rapid Switching for the MM Poisson Process; References; Part II Statistics and Risk; Introducing Distances Between Commodity Markets: The Case of the US and UK Natural Gas; 1 Introduction; 2 Trading Strategies in Natural Gas Markets; 3 Natural Gas Forward Markets; 4 Conclusion; References; Three Non-Gaussian Models of Dependence in Returns; 1 The Models Studied; 1.1 The Model FGC; 1.2 The Model LML; 1.3 The Model VGC; 1.4 Comparative Remarks on the Three Models; 2 Estimation Procedures; 3 Investigating Goodness of Fit
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ACQUISITION INFORMATION NOTE
Source for Acquisition/Subscription Address
MIL
Stock Number
974748
TOPICAL NAME USED AS SUBJECT
Business mathematics
(SUBJECT CATEGORY (Provisional
BUS-- 041000
BUS-- 055000
BUS-- 059000
DEWEY DECIMAL CLASSIFICATION
Number
510
Number
650
.
01/51
Edition
23
LIBRARY OF CONGRESS CLASSIFICATION
Class number
HF5691
PERSONAL NAME - ALTERNATIVE RESPONSIBILITY
Eberlein, Ernst
Kallsen, Jan
Papapantoleon, Antonis
CORPORATE BODY NAME - ALTERNATIVE RESPONSIBILITY
Ohio Library and Information Network
ORIGINATING SOURCE
Date of Transaction
20170120013900.9
Cataloguing Rules (Descriptive Conventions))
rda
ELECTRONIC LOCATION AND ACCESS
Electronic name
مطالعه متن کتاب [Book]
Y
