標題: Titlebook: Applied Quantitative Finance; Theory and Computati Wolfgang H?rdle,Torsten Kleinow,Gerhard Stahl Book 20021st edition Springer-Verlag Berli [打印本頁] 作者: Dangle 時間: 2025-3-21 18:52
書目名稱Applied Quantitative Finance影響因子(影響力)
書目名稱Applied Quantitative Finance影響因子(影響力)學科排名
書目名稱Applied Quantitative Finance網(wǎng)絡公開度
書目名稱Applied Quantitative Finance網(wǎng)絡公開度學科排名
書目名稱Applied Quantitative Finance被引頻次
書目名稱Applied Quantitative Finance被引頻次學科排名
書目名稱Applied Quantitative Finance年度引用
書目名稱Applied Quantitative Finance年度引用學科排名
書目名稱Applied Quantitative Finance讀者反饋
書目名稱Applied Quantitative Finance讀者反饋學科排名
作者: 極深 時間: 2025-3-21 23:05 作者: floaters 時間: 2025-3-22 00:58
les in the text are executable on an XploRe Quantlet Server (XQS) and can be modified by the reader via the internet. The electronic edition can be downloaded from the web site www.i-xplore.de using the licence and registration number at the back cover.978-3-662-05021-7作者: 獨特性 時間: 2025-3-22 07:07
https://doi.org/10.1007/978-3-662-05021-7Credit Risk; Quantitative Finance; STATISTICA; Statistical Process Control; Value at Risk; Volatility; Xpl作者: 變化無常 時間: 2025-3-22 09:38
Springer-Verlag Berlin Heidelberg 2002作者: 一罵死割除 時間: 2025-3-22 16:35
Wolfgang H?rdle,Torsten Kleinow,Gerhard StahlState of the art report on the topic.Electronic editon of the book allows execution and modification of the examples given.Electronic edition can be downloaded for free via attached registration card.作者: diskitis 時間: 2025-3-22 19:16
http://image.papertrans.cn/b/image/160082.jpg作者: predict 時間: 2025-3-22 22:13 作者: Antimicrobial 時間: 2025-3-23 05:13 作者: 命令變成大炮 時間: 2025-3-23 07:14 作者: 為敵 時間: 2025-3-23 10:49 作者: FLOAT 時間: 2025-3-23 16:56
https://doi.org/10.1007/978-3-319-41139-2ssets and a riskless benchmark curve, is a challenge for any financial institution seeking to estimate the amount of economic capital utilized by trading and treasury activities. With the help of standard tools this contribution investigates some of the characteristic features of yield spread time s作者: 逃避系列單詞 時間: 2025-3-23 20:18 作者: 有組織 時間: 2025-3-23 22:27 作者: 有特色 時間: 2025-3-24 04:05
Edward Deveson,Alejandro Martineztfolio hedging, or option pricing, we need to have a precise notion of the market’s expectation of volatility. Much research has been done on the analysis of realized historic volatilities, Roll (1977) and references therein. However, since it seems unsettling to draw conclusions from past to expect作者: 熱情贊揚 時間: 2025-3-24 07:55 作者: Paleontology 時間: 2025-3-24 12:50
Environmental History of Oceanic Islandsay derive the whole risk-neutral probability distribution of the underlying asset price at the maturity date of the options. Once this distribution also called State-Price Density (SPD) is estimated, it may serve for pricing new, complex or illiquid derivative securities.作者: FOR 時間: 2025-3-24 18:17 作者: Adenoma 時間: 2025-3-24 22:30
Early Botanical Period (1820–1875)s. Here we focus on multivariate GARCH models. In this common model class it is assumed that the covariance of the error distribution follows a time dependent process conditional on information which is generated by the history of the process. To provide a particular example, we consider a system of作者: nerve-sparing 時間: 2025-3-25 01:00
https://doi.org/10.1007/978-3-030-47871-1 observed data. Together with the theory of sampling plans, capability analysis and similar topics it forms the field of Statistical Quality Control. SPC started in the 1930s with the pioneering work of Shewhart (1931). Then, SPC became very popular with the introduction of new quality policies in t作者: Infuriate 時間: 2025-3-25 06:07 作者: Inoperable 時間: 2025-3-25 10:24 作者: Evacuate 時間: 2025-3-25 15:37
Eelgrass Wax and Wane: A Case Studygeophysics by authors such as Heyman, Tabatabai and Lakshman (1991), Hurst (1951), Jones and Briffa (1992), Leland, Taqqu, Willinger and Wilson (1993) and Peters (1994). It has a long history in economics and finance, and has remained a topic of active research in the study of financial time series,作者: 裝飾 時間: 2025-3-25 16:21
Human Intervention in the SW Delta, we select on-line the largest sample of the most recent observations, such that the model is not rejected. Assume for example that the data can be well fitted by a regression, an autoregression or even by a constant in an unknown interval. The main problem is then to detect the time interval where作者: Colonnade 時間: 2025-3-25 21:44 作者: Amylase 時間: 2025-3-26 02:58
Long Memory Effects Trading Strategygeophysics by authors such as Heyman, Tabatabai and Lakshman (1991), Hurst (1951), Jones and Briffa (1992), Leland, Taqqu, Willinger and Wilson (1993) and Peters (1994). It has a long history in economics and finance, and has remained a topic of active research in the study of financial time series, Beran (1994).作者: COM 時間: 2025-3-26 06:44 作者: Anticoagulant 時間: 2025-3-26 10:17 作者: 軍火 時間: 2025-3-26 14:10
Quantification of Spread Risk by Means of Historical Simulationssets and a riskless benchmark curve, is a challenge for any financial institution seeking to estimate the amount of economic capital utilized by trading and treasury activities. With the help of standard tools this contribution investigates some of the characteristic features of yield spread time s作者: 去掉 時間: 2025-3-26 19:31 作者: nonchalance 時間: 2025-3-26 22:39
Sensitivity analysis of credit portfolio modelsor Banking Supervision to allow sophisticated banks to use their own internal credit portfolio risk models has further highlighted the importance of a critical evaluation of such models. A crucial input for a model of credit-risky portfolios is the dependence structure of the underlying obligors. We作者: 欺騙手段 時間: 2025-3-27 04:17
The Analysis of Implied Volatilitiestfolio hedging, or option pricing, we need to have a precise notion of the market’s expectation of volatility. Much research has been done on the analysis of realized historic volatilities, Roll (1977) and references therein. However, since it seems unsettling to draw conclusions from past to expect作者: 生來 時間: 2025-3-27 06:14
How Precise Are Price Distributions Predicted by Implied Binomial Trees?row-nian Motion (GBM) model of Black and Scholes. The GBM model with constant volatility leads to a log-normal price distribution at any expiration date: All options on the underlying must have the same Black-Scholes (BS) implied volatility, and the Cox-Ross-Rubinstein (CRR) binomial tree makes use 作者: 火花 時間: 2025-3-27 12:14
Estimating State-Price Densities with Nonparametric Regressionay derive the whole risk-neutral probability distribution of the underlying asset price at the maturity date of the options. Once this distribution also called State-Price Density (SPD) is estimated, it may serve for pricing new, complex or illiquid derivative securities.作者: 反復無常 時間: 2025-3-27 15:09
Trading on Deviations of Implied and Historical Densities 8. Instead of comparing this density to a historical density extracted from the observed time series of the underlying asset prices, i.e. a risk neutral density to an actual density, Ait-Sahalia, Wang and Yared (2000) propose to compare two risk neutral densities, one obtained from cross sectional 作者: incarcerate 時間: 2025-3-27 19:25 作者: 通知 時間: 2025-3-28 00:39 作者: 你正派 時間: 2025-3-28 04:06
An Empirical Likelihood Goodness-of-Fit Test for Diffusionsely on the actual model assumed for the drift and diffusion coefficient functions. Mismodelling these coefficients might result in biased prediction and incorrect parameter specification. We show in this chapter how the empirical likelihood technique, Owen (1988) and Owen (1990), may be used to cons作者: Lipoma 時間: 2025-3-28 06:33
A simple state space model of house priceshe development of its price will have a major impact on the buyer’s wealth over the life cycle. It will, for instance, affect her ability to obtain credit from commercial banks and therefore influence her consumption and savings decisions and opportunities. The behavior of house prices is therefore 作者: Bouquet 時間: 2025-3-28 12:43 作者: 勤勞 時間: 2025-3-28 15:21 作者: 殺人 時間: 2025-3-28 21:19
n can be downloaded for free via attached registration card..Applied Quantitative Finance. presents solutions, theoretical developments and method proliferation for many practical problems in quantitative finance. The combination of practice and theory supported by computational tools is reflected i作者: Criteria 時間: 2025-3-28 23:03 作者: airborne 時間: 2025-3-29 06:47 作者: CARK 時間: 2025-3-29 10:27 作者: APRON 時間: 2025-3-29 14:54
Applications of Copulas for the Calculation of Value-at-Risknt risk factors is defined by the correlation between those factors. It is shown in Em-brechts, McNeil and Straumann (1999) that the concept of correlation entails several pitfalls. The authors therefore propose the use of . to quantify dependence.作者: 財主 時間: 2025-3-29 15:48
A simple state space model of house pricesedit from commercial banks and therefore influence her consumption and savings decisions and opportunities. The behavior of house prices is therefore of central interest for (potential) house buyers, sellers, developers of new houses, banks, policy makers or, in short, the general public.作者: Occupation 時間: 2025-3-29 20:46
Locally time homogeneous time series modelingell fitted by a regression, an autoregression or even by a constant in an unknown interval. The main problem is then to detect the time interval where the model approximately holds. We call such an interval: .作者: Grievance 時間: 2025-3-30 03:20 作者: 慢慢啃 時間: 2025-3-30 07:55 作者: Autobiography 時間: 2025-3-30 09:12
Book 20021st editionmputational tools in an innovative way. All "quantlets" for the calculation of given examples in the text are executable on an XploRe Quantlet Server (XQS) and can be modified by the reader via the internet. The electronic edition can be downloaded from the web site www.i-xplore.de using the licence and registration number at the back cover.作者: CHYME 時間: 2025-3-30 13:08
https://doi.org/10.1007/978-3-319-41139-2tfolio over a given period of time, at a certain confidence level. Statistically speaking, the VaR of a portfolio is the quantile of the distribution of that portfolio’s loss over a specified time interval, at a given probability level.作者: Alveolar-Bone 時間: 2025-3-30 17:13 作者: NEX 時間: 2025-3-30 23:43 作者: 散步 時間: 2025-3-31 04:04
Eelgrass Wax and Wane: A Case Studyf the variation associated with the nonparametric fit due to the empirical likelihood’s ability to studentize internally. The other one is that the asymptotic distributions of the test statistic are free of unknown parameters which avoids secondary plug-in estimation.作者: dysphagia 時間: 2025-3-31 08:13
