Les aspects théoriques de l'évaluation d'options avec volatilité stochastique PDF Download

Author: Rodolphe Taieb
Publisher:
ISBN:
Category :
Languages : fr
Pages : 148

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Author: Yury A. Kutoyants
Publisher: Springer Science & Business Media
ISBN: 144713866X
Category : Mathematics
Languages : en
Pages : 493

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The first book in inference for stochastic processes from a statistical, rather than a probabilistic, perspective. It provides a systematic exposition of theoretical results from over ten years of mathematical literature and presents, for the first time in book form, many new techniques and approaches.

Author: Anastasios Tsiatis
Publisher: Springer Science & Business Media
ISBN: 0387373454
Category : Mathematics
Languages : en
Pages : 392

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This book summarizes current knowledge regarding the theory of estimation for semiparametric models with missing data, in an organized and comprehensive manner. It starts with the study of semiparametric methods when there are no missing data. The description of the theory of estimation for semiparametric models is both rigorous and intuitive, relying on geometric ideas to reinforce the intuition and understanding of the theory. These methods are then applied to problems with missing, censored, and coarsened data with the goal of deriving estimators that are as robust and efficient as possible.

Author: Benoit B. Mandelbrot
Publisher: Profile Books
ISBN: 1847651550
Category : Business & Economics
Languages : en
Pages : 352

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This international bestseller, which foreshadowed a market crash, explains why it could happen again if we don't act now. Fractal geometry is the mathematics of roughness: how to reduce the outline of a jagged leaf or static in a computer connection to a few simple mathematical properties. With his fractal tools, Mandelbrot has got to the bottom of how financial markets really work. He finds they have a shifting sense of time and wild behaviour that makes them volatile, dangerous - and beautiful. In his models, the complex gyrations of the FTSE 100 and exchange rates can be reduced to straightforward formulae that yield a much more accurate description of the risks involved.

Author: Michaela Wolf
Publisher: John Benjamins Publishing
ISBN: 9789027216823
Category : Language Arts & Disciplines
Languages : en
Pages : 246

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The view of translation as a socially regulated activity has opened up a broad field of research in the last few years. This volume deals with central questions of the new domain and aims to contribute to the conceptualisation of a general sociology of translation. Interdisciplinary in approach, it discusses the role of major representatives of sociology like Pierre Bourdieu, Bruno Latour, Bernard Lahire, Anthony Giddens or Niklas Luhmann in establishing a theoretical framework for a sociology of translation. Drawing on methodologies from sociology and integrating them into translation studies, the book questions some of the established categories in this discipline and calls for a redefinition of long-assumed principles. The contributions show the social involvement of translation in various fields and focus especially on the translator s position in an emerging sociology of translation, Bourdieu s influence in conceptualising this new sub-discipline, methodological questions and a sociologically oriented meta-discussion of translation studies.

Author: Asian Development Bank
Publisher:
ISBN:
Category : Business & Economics
Languages : en
Pages : 124

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Aiming to support the development of a framework for the analysis of risk in project design and economic analysis, this handbook outlines technical approaches to modeling risk. Also summarized is the nature and practice of sensitivity analysis in dealing with uncertain outcomes as well as the principles to consider in typical risk analysis situations sector by sector. Case studies are included to demonstrate the application of quantitative risk analysis using actual Asian Development Bank projects to help improve project design and quality. Handbook users will learn to identify factors that are the key determinants of project outcomes, determine the likelihood of an individual project's returns being unacceptable, and design measures to mitigate the risks arising from the identified key factors.

Author: Georg Ch. Pflug
Publisher: Springer
ISBN: 3319088432
Category : Business & Economics
Languages : en
Pages : 309

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Multistage stochastic optimization problems appear in many ways in finance, insurance, energy production and trading, logistics and transportation, among other areas. They describe decision situations under uncertainty and with a longer planning horizon. This book contains a comprehensive treatment of today’s state of the art in multistage stochastic optimization. It covers the mathematical backgrounds of approximation theory as well as numerous practical algorithms and examples for the generation and handling of scenario trees. A special emphasis is put on estimation and bounding of the modeling error using novel distance concepts, on time consistency and the role of model ambiguity in the decision process. An extensive treatment of examples from electricity production, asset liability management and inventory control concludes the book.

Author: Gustavo Adler
Publisher: International Monetary Fund
ISBN: 1475589824
Category : Business & Economics
Languages : en
Pages : 98

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Book Description
to come

Author: Hans U. Gerber
Publisher: Springer Science & Business Media
ISBN: 3662026554
Category : Mathematics
Languages : en
Pages : 137

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Book Description
HaIley's Comet has been prominently displayed in many newspapers during the last few months. For the first time in 76 years it appeared this winter, clearly visible against the nocturnal sky. This is an appropriate occasion to point out the fact that Sir Edmund Halley also constructed the world's first life table in 1693, thus creating the scientific foundation of life insurance. Halley's life table and its successors were viewed as deterministic laws, i. e. the number of deaths in any given group and year was considered to be a weIl defined number that could be calculated by means of a life table. However, in reality this number is random. Thus any mathematical treatment of life insurance will have to rely more and more on prob ability theory. By sponsoring this monograph the Swiss Association of Actuaries wishes to support the "modern" probabilistic view oflife contingencies. We are fortu nate that Professor Gerber, an internationally renowned expert, has assumed the task of writing the monograph. We thank the Springer-Verlag and hope that this monograph will be the first in a successful series of actuarial texts. Hans Bühlmann Zürich, March 1986 President Swiss Association of Actuaries Preface Two major developments have influenced the environment of actuarial math ematics. One is the arrival of powerful and affordable computers; the once important problem of numerical calculation has become almost trivial in many instances.

Author: Sylvain Bouteille
Publisher: John Wiley & Sons
ISBN: 1118300203
Category : Business & Economics
Languages : en
Pages : 44

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Book Description
A comprehensive guide to credit risk management The Handbook of Credit Risk Management presents a comprehensive overview of the practice of credit risk management for a large institution. It is a guide for professionals and students wanting a deeper understanding of how to manage credit exposures. The Handbook provides a detailed roadmap for managing beyond the financial analysis of individual transactions and counterparties. Written in a straightforward and accessible style, the authors outline how to manage a portfolio of credit exposures--from origination and assessment of credit fundamentals to hedging and pricing. The Handbook is relevant for corporations, pension funds, endowments, asset managers, banks and insurance companies alike. Covers the four essential aspects of credit risk management: Origination, Credit Risk Assessment, Portfolio Management and Risk Transfer. Provides ample references to and examples of credit market services as a resource for those readers having credit risk responsibilities. Designed for busy professionals as well as finance, risk management and MBA students. As financial transactions grow more complex, proactive management of credit portfolios is no longer optional for an institution, but a matter of survival.