Описание: This handbook brings together a comprehensive collection of mathematical material in one location. It also offers a variety of new results interpreted in a form that is particularly useful to engineers, scientists, and applied mathematicians.
Автор: Jondeau Eric Название: Financial Modeling Under Non-Gaussian Distributions ISBN: 1849965994 ISBN-13(EAN): 9781849965996 Издательство: Springer Цена: 12577.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание:
Practitioners and researchers who have handled financial market data know that asset returns do not behave according to the bell-shaped curve, associated with the Gaussian or normal distribution. Indeed, the use of Gaussian models when the asset return distributions are not normal could lead to a wrong choice of portfolio, the underestimation of extreme losses or mispriced derivative products. Consequently, non-Gaussian models and models based on processes with jumps, are gaining popularity among financial market practitioners.
Non-Gaussian distributions are the key theme of this book which addresses the causes and consequences of non-normality and time dependency in both asset returns and option prices. One of the main aims is to bridge the gap between the theoretical developments and the practical implementations of what many users and researchers perceive as "sophisticated" models or black boxes. The book is written for non-mathematicians who want to model financial market prices so the emphasis throughout is on practice. There are abundant empirical illustrations of the models and techniques described, many of which could be equally applied to other financial time series, such as exchange and interest rates.
The authors have taken care to make the material accessible to anyone with a basic knowledge of statistics, calculus and probability, while at the same time preserving the mathematical rigor and complexity of the original models.
This book will be an essential reference for practitioners in the finance industry, especially those responsible for managing portfolios and monitoring financial risk, but it will also be useful for mathematicians who want to know more about how their mathematical tools are applied in finance, and as a text for advanced courses in empirical finance; financial econometrics and financial derivatives.
Автор: Duangkamon Chotikapanich Название: Modeling Income Distributions and Lorenz Curves ISBN: 1441924930 ISBN-13(EAN): 9781441924933 Издательство: Springer Рейтинг: Цена: 29209.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: The parameterization of income distributions using Lorenz Curves is a useful technique to analyze the characteristics of income inequality within a given population. This book brings together classic papers in the field including cutting-edge contributions.
Автор: Sergey Foss; Dmitry Korshunov; Stan Zachary Название: An Introduction to Heavy-Tailed and Subexponential Distributions ISBN: 1461471001 ISBN-13(EAN): 9781461471004 Издательство: Springer Рейтинг: Цена: 6986.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: Heavy-tailed probability distributions are an important component in the modeling of many stochastic systems.
Автор: Jondeau Название: Financial Modeling Under Non-Gaussian Distributions ISBN: 1846284198 ISBN-13(EAN): 9781846284199 Издательство: Springer Рейтинг: Цена: 13974.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: The use of Gaussian models when the asset return distributions are not normal could lead to a wrong choice of portfolio, the underestimation of extreme losses or mispriced derivative products. This book deals with the non-Gaussian distributions and addresses the consequences of non-normality and time dependency in asset returns and option prices.
Автор: Simon Название: Distributions ISBN: 1786300109 ISBN-13(EAN): 9781786300102 Издательство: Wiley Рейтинг: Цена: 22010.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание:
This book is the second of a set dedicated to the mathematical tools used in partial differential equations derived from physics. It presents the properties of continuous functions, which are useful for solving partial differential equations, and, more particularly, for constructing distributions valued in a Neumann space. The author examines partial derivatives, the construction of primitives, integration and the weighting of value functions in a Neumann space. Many of them are new generalizations of classical properties for values in a Banach space. Simple methods, semi-norms, sequential properties and others are discussed, making these tools accessible to the greatest number of students - doctoral students, postgraduate students - engineers and researchers, without restricting or generalizing the results.
Описание: This book describes the basic principles that relate to field and current inhomogeneities in semiconductors and their kinetics that occur in the regime of negative differential conductances of semiconductors.
Автор: Olivier Thas Название: Comparing Distributions ISBN: 1461424496 ISBN-13(EAN): 9781461424499 Издательство: Springer Рейтинг: Цена: 23058.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: This volume provides a theoretical treatment of a wide range of goodness-of-fit statistical methods. By comparing techniques for both one-sample and k-sample problems, the text offers a wider perspective that considers graphic and estimation parameters, and emphasizes their theoretical similarities.
Автор: Sato Название: L?vy Processes and Infinitely Divisible Distributions ISBN: 1107656494 ISBN-13(EAN): 9781107656499 Издательство: Cambridge Academ Рейтинг: Цена: 11246.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: This successful text provides a comprehensive basic knowledge of Levy processes and serves as an introduction to stochastic processes in general. Now in paperback, this corrected edition contains a brand new supplement discussing relevant developments in the area since the book`s initial publication.
Описание: Presents elaborate tables of moments of order statistics as well as BLUES based on complete and censored samples for lognormal distributions. This title includes various illustrative examples for the different uses of these tables pertaining to inference and prediction.
Описание: These tables represent a new, revised and enlarged version of the previously published book by this author, entitled "Tabellen zur Fourier Transformation" (Springer Verlag 1957). Known errors have been correc- ted, apart from the addition of a considerable number of new results, which involve almost exclusively higher functions. Again, the follow- ing tables contain a collection of integrals of the form J f(x)cos(xy)dx Fourier Cosine Transform (Al o (B) J f(x)sin(xy)dx Fourier Sine Transform o (C) ge(y) = J f(x)eixYdx Exponential Fourier Transform -00 Clearly, (A) and (B) are special cases of (C) if f(x) is respec- tively an even or an odd function. The transform parameter y in (A) and (B) is assumed to be positive, while in (C) negative values are also included. A possible analytic continuation to complex parameters y* should present no difficulties. In some cases the result function g(y) is given over a partial range of y only. This means that g(y) for the remaining part of y cannot be given in a reasonably simple form. Under certain conditions the following inversion formulas for (A), (B), (C) hold: (A' ) f(x) = 2 J g (y)cos(xy)dy 11 0 c 2 J (B') f (x) gs(y)sin(xy)dy 11 0 -1 00 -ix (C' ) f(x) = (211) J ge(y)e Ydy In the following parts I, II, III tables for the transforms (A), (B) and (C) are given.
Автор: Y. Roitberg Название: Boundary Value Problems in the Spaces of Distributions ISBN: 0792360257 ISBN-13(EAN): 9780792360254 Издательство: Springer Рейтинг: Цена: 13275.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: This monograph presents elliptic, parabolic and hyperbolic boundary value problems for systems of mixed orders (Douglis-Nirenberg systems). For these problems the theorem on complete collection of isomorphisms is proven. Several applications in elasticity and hydrodynamics are treated.
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