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1. Point Process Theory and Applications : Marked Point and Piecewise Deterministic Processes
by Martin Jacobsen
出版情報: Boston, MA : Birkhäuser Boston, 2006
シリーズ名: Probability and its Applications ;
オンライン: http://dx.doi.org/10.1007/0-8176-4463-6
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2. Numerical Solution of Stochastic Differential Equations with Jumps in Finance
by Eckhard Platen, Nicola Bruti-Liberati
出版情報: Berlin, Heidelberg : Springer-Verlag Berlin Heidelberg, 2010
シリーズ名: Stochastic Modelling and Applied Probability ; 64
オンライン: http://dx.doi.org/10.1007/978-3-642-13694-8
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3. Probability and Statistical Models : Foundations for Problems in Reliability and Financial Mathematics. First
by Arjun K. Gupta, Wei-Bin Zeng, Yanhong Wu
出版情報: Boston : Springer Science+Business Media, LLC, 2011
オンライン: http://dx.doi.org/10.1007/978-0-8176-4987-6
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4. Advanced Mathematical Methods for Finance
edited by Giulia Di Nunno, Bernt Øksendal
出版情報: Berlin, Heidelberg : Springer-Verlag Berlin Heidelberg, 2011
オンライン: http://dx.doi.org/10.1007/978-3-642-18412-3
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5. Contemporary Quantitative Finance : Essays in Honour of Eckhard Platen
edited by Carl Chiarella, Alexander Novikov
出版情報: Berlin, Heidelberg : Springer Berlin Heidelberg, 2010
オンライン: http://dx.doi.org/10.1007/978-3-642-03479-4
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6. Modelling, Pricing, and Hedging Counterparty Credit Exposure : A Technical Guide
by Giovanni Cesari, John Aquilina, Niels Charpillon, Zlatko Filipovic, Gordon Lee, Ion Manda
出版情報: Berlin, Heidelberg : Springer-Verlag Berlin Heidelberg, 2009
シリーズ名: Springer Finance ;
オンライン: http://dx.doi.org/10.1007/978-3-642-04454-0
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7. Discrete Time Series, Processes, and Applications in Finance
by Gilles Zumbach
出版情報: Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 2013
シリーズ名: Springer Finance ;
オンライン: http://dx.doi.org/10.1007/978-3-642-31742-2
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目次情報: 続きを見る
Preface
List of Figures.-List of Tables
1. Introduction
2.Notation, naming and general definitions
3.Stylized facts
4.Empirical mug shots
5.Process Overview
6.Logarithmic versus relative random walks
7.ARCH processes
8.Stochastic volatility processes
9.Regime switching process
10.Price and volatility using high-frequency data
11.Time reversal asymmetry
12.Characterizing heteroskedasticity
13.The innovation distributions
14.Leverage effect
15.Processes and market risk evaluation
16.Option pricing
17.Properties of large covariance matrices
18.Multivariate ARCH processes
19.The processes compatible with the stylized facts
20.Further thoughts.-Bibliography
Index
Preface
List of Figures.-List of Tables
1. Introduction
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8. Mathematical Risk Analysis : Dependence, Risk Bounds, Optimal Allocations and Portfolios
by Ludger Rüschendorf
出版情報: Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 2013
シリーズ名: Springer Series in Operations Research and Financial Engineering ;
オンライン: http://dx.doi.org/10.1007/978-3-642-33590-7
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Preface.-Part I: Stochastic Dependence and Extremal Risk.-1 Copulas, Sklar's Theorem, and Distributional Transform
2 Fréchet Classes, Risk Bounds, and Duality Theory
3 Convex Order, Excess of Loss, and Comonotonicity
4 Bounds for the Distribution Function and Value at Risk of the Joint Portfolio
5 Restrictions on the Dependence Structure
6 Dependence Orderings of Risk Vectors and Portfolios
Part II: Risk Measures and Worst Case Portfolios
7 Risk Measures for Real Risks
8 Risk Measures for Portfolio Vectors
9 Law Invariant Convex Risk Measures on L_d^p and Optimal Mass Transportation
Part III: Optimal Risk Allocation
10 Optimal Allocations and Pareto Equilibrium
11 Characterization and Examples of Optimal Risk Allocations for Convex Risk Functionals
12 Optimal Contingent Claims and (Re)Insurance Contracts
Part IV: Optimal Portfolios and Extreme Risks
13 Optimal Portfolio Diversification w.r.t. Extreme Risks
14 Ordering of Multivariate Risk Models with Respect to Extreme Portfolio Losses
References
List of Symbols
Index
Preface.-Part I: Stochastic Dependence and Extremal Risk.-1 Copulas, Sklar's Theorem, and Distributional Transform
2 Fréchet Classes, Risk Bounds, and Duality Theory
3 Convex Order, Excess of Loss, and Comonotonicity
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9. Copulae in Mathematical and Quantitative Finance : Proceedings of the Workshop Held in Cracow, 10-11 July 2012
edited by Piotr Jaworski, Fabrizio Durante, Wolfgang Karl Härdle
出版情報: Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 2013
シリーズ名: Lecture Notes in Statistics ; 213
オンライン: http://dx.doi.org/10.1007/978-3-642-35407-6
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A Convolution-based Autoregressive Process by Umberto Cherubini and Fabio Gobbi
Selection of Vine Copulas by Claudia Czado, Eike Christian Brechmann and Lutz Gruber
Copulas in Machine Learning by Gal Elidan
An Overview of the Goodness-of-fit Test problem for Copulas by Jean-David Fermanian
Assessing and Modeling Asymmetry in Bivariate Continuous data by Christian Genest and Johanna G. Nešehová
Modeling Time-Varying Dependencies between Positive-Valued High-Frequency Time Series by Nikolaus Hautsch, Ostap Okhrin and Alexander Ristig
The Limiting Properties of Copulas under Univariate Conditioning by Piotr Jaworski
Singular Mixture Copulas by Dominic Lauterbach and Dietmar Pfeifer
Toward a Copula Theory for Multivariate Regular Variation by Haijun Li
CIID Frailty Models and Implied Copulas by Jan-Frederik Mai, Matthias Scherer and Rudi Zagst
Copula-based Models for Multivariate Discrete Response Data by Aristidis K. Nikoloulopoulos
Vector Generalized Linear Models: A Gaussian Copula Approach by Peter X
K. Song, Mingyao Li and Peng Zhang
APPENDIX A: Gaussian-Hermite Quadrature
APPENDIX B: AREs of GEE and VGLM for binary
Application of Bernstein Copulas to the Pricing of Multi-asset Derivatives by Bertrand Tavin
A Convolution-based Autoregressive Process by Umberto Cherubini and Fabio Gobbi
Selection of Vine Copulas by Claudia Czado, Eike Christian Brechmann and Lutz Gruber
Copulas in Machine Learning by Gal Elidan
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10. Affine Diffusions and Related Processes: Simulation, Theory and Applications
by Aurélien Alfonsi
出版情報: Cham : Springer International Publishing : Imprint: Springer, 2015
シリーズ名: Bocconi & Springer Series, Mathematics, Statistics, Finance and Economics ; 6
オンライン: http://dx.doi.org/10.1007/978-3-319-05221-2
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1 Real valued affine diffusions
2 An introduction to simulation schemes for SDEs
3 Simulation of the CIR process
4 The Heston model and multidimensional affine diffusions
5 Wishart processes and affine diffusions on positive semidefinite matrices
6 Processes of Wright-Fisher type
7 Appendix A Some results on matrices
8 Appendix B Simulation of a gamma random variable
1 Real valued affine diffusions
2 An introduction to simulation schemes for SDEs
3 Simulation of the CIR process
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11. An Introduction to Copulas. Second Edition
by Roger B. Nelsen
出版情報: New York, NY : Springer Science+Business Media, Inc., 2006
シリーズ名: Springer Series in Statistics ;
オンライン: http://dx.doi.org/10.1007/0-387-28678-0
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12. Interest Rate Models — Theory and Practice : With Smile, Inflation and Credit. Second Edition
by Damiano Brigo, Fabio Mercurio
出版情報: Berlin, Heidelberg : Springer-Verlag Berlin Heidelberg, 2006
シリーズ名: Springer Finance ;
オンライン: http://dx.doi.org/10.1007/3-540-34604-X
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13. A Benchmark Approach to Quantitative Finance
by Eckhard Platen, David Heath
出版情報: Berlin, Heidelberg : Springer-Verlag Berlin Heidelberg, 2006
シリーズ名: Springer Finance ;
オンライン: http://dx.doi.org/10.1007/978-3-540-47856-0
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14. Extreme Financial Risks : From Dependence to Risk Management
by Yannick Malevergne, Didier Sornette
出版情報: Berlin, Heidelberg : Springer-Verlag Berlin Heidelberg, 2006
オンライン: http://dx.doi.org/10.1007/b138841
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15. Introduction to Stochastic Calculus for Finance : A New Didactic Approach
by Dieter Sondermann
出版情報: Berlin, Heidelberg : Springer-Verlag Berlin Heidelberg, 2006
シリーズ名: Lecture Notes in Economics and Mathematical Systems ; 579
オンライン: http://dx.doi.org/10.1007/3-540-34837-9
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