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Stochastic Interest Rates, McInerney



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Цена: 2601р.
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Автор: McInerney
Название:  Stochastic Interest Rates   (Д.Маклерни: Стохастические процентные ставки)
Издательство: Cambridge Academ
Классификация:
Финансы
Прикладная математика

ISBN: 0521175690
ISBN-13(EAN): 9780521175692
ISBN: 0-521-17569-0
ISBN-13(EAN): 978-0-521-17569-2
Обложка/Формат: Paperback
Страницы: 169
Вес: 0.29 кг.
Дата издания: 10.08.2015
Серия: Mastering mathematical finance
Язык: ENG
Иллюстрации: Worked examples or exercises; 10 tables, black and white; 25 line drawings, unspecified
Размер: 154 x 228 x 14
Читательская аудитория: Tertiary education (us: college)
Ключевые слова: Finance,Insurance & actuarial studies, BUSINESS & ECONOMICS / Statistics
Основная тема: Statistics and probability
Ссылка на Издательство: Link
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Поставляется из: Англии
Описание: This volume in the Mastering Mathematical Finance series strikes just the right balance between mathematical rigour and practical application. Existing books on the challenging subject of stochastic interest rate models are often too advanced for Masters students or fail to include practical examples. Stochastic Interest Rates covers practical topics such as calibration, numerical implementation and model limitations in detail. The authors provide numerous exercises and carefully chosen examples to help students acquire the necessary skills to deal with interest rate modelling in a real-world setting. In addition, the books webpage at www.cambridge.org/9781107002579 provides solutions to all of the exercises as well as the computer code (and associated spreadsheets) for all numerical work, which allows students to verify the results.



Stochastic Calculus for Finance I

Автор: Shreve
Название: Stochastic Calculus for Finance I
ISBN: 0387401008 ISBN-13(EAN): 9780387401003
Издательство: Springer
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Цена: 5142 р.
Наличие на складе: Есть у поставщика Поставка под заказ.

Описание: Based on a two-semester course sequence in the Master`s program in Computational Finance at Carnegie Mellon. This book gives statements of results, plausibility arguments, and some proofs. But more importantly, it provides intuitive explanations, which are developed and refined through classroom experience with this material.

Stochastic Processes

Автор: Gallager
Название: Stochastic Processes
ISBN: 1107039754 ISBN-13(EAN): 9781107039759
Издательство: Cambridge Academ
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Цена: 4371 р. 6244.00 -30%
Наличие на складе: Есть (1 шт.)
Описание: This definitive textbook provides a solid introduction to discrete and continuous stochastic processes, tackling a complex field in a way that instils a deep understanding of the relevant mathematical principles, and develops an intuitive grasp of the way these principles can be applied to modelling real-world systems. It includes a careful review of elementary probability and detailed coverage of Poisson, Gaussian and Markov processes with richly varied queuing applications. The theory and applications of inference, hypothesis testing, estimation, random walks, large deviations, martingales and investments are developed. Written by one of the world's leading information theorists, evolving over twenty years of graduate classroom teaching and enriched by over 300 exercises, this is an exceptional resource for anyone looking to develop their understanding of stochastic processes.

Recent Advances In Biostatistics: False Discovery Rates, Survival Analysis, And Related Topics

Автор: Bhattacharjee Manish, Dhar Sunil K & Subramanian S
Название: Recent Advances In Biostatistics: False Discovery Rates, Survival Analysis, And Related Topics
ISBN: 9814329797 ISBN-13(EAN): 9789814329798
Издательство: World Scientific Publishing
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Цена: 13114 р.
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Описание: Provides self-contained accounts of some of the trends in Biostatistics methodology and their applications. This book includes articles that are based on a selection of peer-reviewed papers, authored by eminent experts in the field, representing a mix of researchers from the academia, R&D sectors of government and the pharmaceutical industry.

Advances in Conservation Laws and Energy Release Rates / Theoretical Treatments and Applications

Автор: Yi-Heng Chen
Название: Advances in Conservation Laws and Energy Release Rates / Theoretical Treatments and Applications
ISBN: 1402005008 ISBN-13(EAN): 9781402005008
Издательство: Springer
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Цена: 13980 р.
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Описание: This book summarizes two significant tendencies for application of conservation laws and energy release rates. The first is to establish a bridge between some famous invariant integrals and microcrack damage descriptions. The second is the direct extension from the understandings established in Fracture Mechanics for conventional materials to those for functional materials. In the first point it discusses the vanishing nature for both components of the Jk-integral vector when the closed contour encloses all discontinuities completely. Both mathematical manipulations and numerical examinations are given. Thus the M-integral and the L-integral are independent of coordinate shifts and, more significantly, the M-integral presents a new description for the damage level of a microcracking brittle solid. In the second point it discusses the direct extension from the basic understandings established in Linear Elastic Fracture Mechanics to those for functional materials, e.g., piezoelectric ceramics. Owing to the mechanical and electric coupling, some new insights of energy release rates are discussed in detail.

Elementary introduction to stochastic interest rate modeling

Автор: Privault, Nicolas
Название: Elementary introduction to stochastic interest rate modeling
ISBN: 9812832734 ISBN-13(EAN): 9789812832733
Издательство: World Scientific Publishing
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Цена: 7407 р.
Наличие на складе: Поставка под заказ.

Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives

Автор: Fouque
Название: Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives
ISBN: 0521843588 ISBN-13(EAN): 9780521843584
Издательство: Cambridge Academ
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Цена: 5515 р.
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Описание: Building upon the ideas introduced in their previous book, Derivatives in Financial Markets with Stochastic Volatility, the authors study the pricing and hedging of financial derivatives under stochastic volatility in equity, interest-rate, and credit markets. They present and analyze multiscale stochastic volatility models and asymptotic approximations. These can be used in equity markets, for instance, to link the prices of path-dependent exotic instruments to market implied volatilities. The methods are also used for interest rate and credit derivatives. Other applications considered include variance-reduction techniques, portfolio optimization, forward-looking estimation of CAPM 'beta', and the Heston model and generalizations of it. 'Off-the-shelf' formulas and calibration tools are provided to ease the transition for practitioners who adopt this new method. The attention to detail and explicit presentation make this also an excellent text for a graduate course in financial and applied mathematics.

Interest Rate Models: an Infinite Dimensional Stochastic Analysis Perspective

Автор: Carmona RenГ© A., Tehranchi Michael R.
Название: Interest Rate Models: an Infinite Dimensional Stochastic Analysis Perspective
ISBN: 3540270655 ISBN-13(EAN): 9783540270652
Издательство: Springer
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Цена: 9349 р.
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Описание: Interest Rate Models: an Infinite Dimensional Stochastic Analysis Perspective studies the mathematical issues that arise in modeling the interest rate term structure. These issues are approached by casting the interest rate models as stochastic evolution equations in infinite dimensional function spaces. The book is comprised of three parts. Part I is a crash course on interest rates, including a statistical analysis of the data and an introduction to some popular interest rate models. Part II is a self-contained introduction to infinite dimensional stochastic analysis, including SDE in Hilbert spaces and Malliavin calculus. Part III presents some recent results in interest rate theory, including finite dimensional realizations of HJM models, generalized bond portfolios, and the ergodicity of HJM models.

Stochastic Calculus for Finance II

Автор: Shreve, Steven E.
Название: Stochastic Calculus for Finance II
ISBN: 0387401016 ISBN-13(EAN): 9780387401010
Издательство: Springer
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Цена: 5138 р.
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Описание: Stochastic Calculus for Finance evolved from the first ten years of the Carnegie Mellon Professional Master's program in Computational Finance. The content of this book has been used successfully with students whose mathematics background consists of calculus and calculus-based probability. The text gives both precise statements of results, plausibility arguments, and even some proofs, but more importantly intuitive explanations developed and refine through classroom experience with this material are provided. The book includes a self-contained treatment of the probability theory needed for stochastic calculus, including Brownian motion and its properties. Advanced topics include foreign exchange models, forward measures, and jump-diffusion processes.This book is being published in two volumes. This second volume develops stochastic calculus, martingales, risk-neutral pricing, exotic options and term structure models, all in continuous time.Master's level students and researchers in mathematical finance and financial engineering will find this book useful.

Interest rates and coupon bonds in quantum finance

Автор: Baaquie, Belal E.
Название: Interest rates and coupon bonds in quantum finance
ISBN: 0521889286 ISBN-13(EAN): 9780521889285
Издательство: Cambridge Academ
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Цена: 8326 р.
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Описание: The economic crisis of 2008 has shown that the capital markets need new theoretical and mathematical concepts to describe and price financial instruments. Focusing on interest rates and coupon bonds, this book does not employ stochastic calculus – the bedrock of the present day mathematical finance – for any of the derivations. Instead, it analyzes interest rates and coupon bonds using quantum finance. The Heath-Jarrow-Morton and the Libor Market Model are generalized by realizing the forward and Libor interest rates as an imperfectly correlated quantum field. Theoretical models have been calibrated and tested using bond and interest rates market data. Building on the principles formulated in the author’s previous book (Quantum Finance, Cambridge University Press, 2004) this ground-breaking book brings together a diverse collection of theoretical and mathematical interest rate models. It will interest physicists and mathematicians researching in finance, and professionals working in the finance industry.

Stochastic processes

Автор: Parzen, Emanuel
Название: Stochastic processes
ISBN: 0898714419 ISBN-13(EAN): 9780898714418
Издательство: Eurospan
Рейтинг:
Цена: 7382 р.
Наличие на складе: Нет в наличии.

Описание: This introductory textbook explains how and why probability models are applied to scientific fields such as medicine, biology, physics, oceanography, economics, and psychology to solve problems about stochastic processes. It does not just show how a problem is solved but explains why by formulating questions and first steps in the solutions.

Stochastic methods

Автор: Gardiner, Crispin W.
Название: Stochastic methods
ISBN: 3540707123 ISBN-13(EAN): 9783540707127
Издательство: Springer
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Цена: 7479 р.
Наличие на складе: Есть у поставщика Поставка под заказ.

Описание: Collects the many formulae and methods that can be found in the scientific literature on stochastic methods. This title features a large amount material, including aspects of driven stochastic systems, the application and validity of simulation methods as well as applications to financial markets.

Structured Products Volume 1: Exotic Options; Interest Rates & Currency (The Swaps & Financial Derivatives Library), 3rd Edition Revised

Автор: Satyajit Das
Название: Structured Products Volume 1: Exotic Options; Interest Rates & Currency (The Swaps & Financial Derivatives Library), 3rd Edition Revised
ISBN: 0470821663 ISBN-13(EAN): 9780470821664
Издательство: Wiley
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Цена: 11495 р.
Наличие на складе: Есть у поставщика Поставка под заказ.

Описание: Structured Products Volume 1 consists of 4 Parts and 20 Chapters covering applications of derivatives, the creation of synthetic assets using derivaves (such as asset swaps, structured notes and repackaged assets), exotic options, non-generic derivative structures used in interest rates and currency markets (including non-generic swaps, basis (floating-to-floating) swaps, swaptions (options on interest rate swaps), callable bonds, CMT products, IAR products, interest rate and currency structured products.


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