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Financial Risk Management with Bayesian Estimation of GARCH Models : Theory and Applications
Ardia, David (contributor) - 2008
This book presents methodologies for the Bayesian estimation of GARCH models and their application to financial risk management. The study of these models from a Bayesian viewpoint is relatively recent and can be considered very promising due to the advantages of the Bayesian approach, in...
Persistent link: https://www.econbiz.de/10013520959
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Stochastic Processes and Calculus : An Elementary Introduction with Applications
Hassler, Uwe - 2016 - 1st ed. 2016
for modern time series econometrics. Mathematical theory is applied to solve stochastic differential equations and to …
Persistent link: https://www.econbiz.de/10012397196
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Generalized Convexity and Related Topics
Konnov, Igor V. (contributor); Dinh, The-Luc (contributor);  … - 2006
The book contains invited papers by well-known experts on a wide range of topics (economics, variational analysis, probability etc.) closely related to convexity and generalized convexity, and refereed contributions of specialists from the world on current research on generalized convexity and...
Persistent link: https://www.econbiz.de/10013520642
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Dynamic Stochastic Optimization
Marti, Kurt (ed.); Ermol'ev, Jurij M. (ed.);  … - 2004
system. In general, the exact evaluation of such functions (as is assumed in the standard optimization and control theory) is … control theory recursive (Bellman) equations. …
Persistent link: https://www.econbiz.de/10014019985
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Introduction to Stochastic Programming
Birge, John R. - 1997
Models -- and Examples -- Uncertainty and Modeling Issues -- Basic Properties -- Basic Properties and Theory -- The …
Persistent link: https://www.econbiz.de/10014018786
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Stochastic Dominance : Investment Decision Making under Uncertainty
Levy, Haim (contributor) - 2006 - Second Edition
prospect theory and its modified version, cumulative prospect theory. Each approach is discussed and compared. In addition … prospect theory and its modified version, cumulative prospect theory. These approaches are discussed and compared in this book … dominance rules and prospect theory, and establishes a new investment decision rule which combines the two and which we call …
Persistent link: https://www.econbiz.de/10013520424
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Artificial Economics : Agent-Based Methods in Finance, Game Theory and Their Applications
Beckmann, M.; Schittko, U; Mathieu, Philippe; Beaufils, … - 2006
Finance and Game Theory. Based on communications given at AE'2005 (Lille, USTL, France), this book offers a panorama of …
Persistent link: https://www.econbiz.de/10013520502
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Topics in Dynamic Model Analysis : Advanced Matrix Methods and Unit-Root Econometrics Representation Theorems
Faliva, Mario (contributor); Zoia, Maria Grazia (contributor) - 2006
Provides an analysis of dynamic modelling in econometrics by bridging the unit-root gap between structural and time series approaches and focusing on representation theorems of (co)integrated processes.The book also presents an analytical setting to guide the formulation and solution in closed...
Persistent link: https://www.econbiz.de/10013520512
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Market-Conform Valuation of Options
Herwig, Tobias - 2006
The focus of this volume is on the development of new approaches for the market-conform valuation of newly issued derivatives. The first chapter presents a flexible approach to construct the binomial process of the underlying asset price by using a simultaneously backward and forward induction...
Persistent link: https://www.econbiz.de/10013520525
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Russian Contributions to Game Theory and Equilibrium Theory
Driessen, Theo S. H.; Laan, Gerard; Vasilʹev, Valerij A.; … - 2006
The research of Soviet scientists within the field of game theory has resulted in many high-level publications. This … readership. It contains a collection of contributions in game theory and the field of equilibrium theory …
Persistent link: https://www.econbiz.de/10013520533