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 Chambers, Michele.
 Upper Saddle River, N.J. : Pearson Education, c2015.
 Description
 Book — xi, 324 p. : ill. ; 24 cm
 Summary

 Chapter 1: Principles of Modern Analytics
 1
 Chapter 2: Business 3.0 Is Here
 15
 Chapter 3: Why You Need a Unique Analytics Roadmap
 19
 Chapter 4: Analytics Can Supercharge Your Business Strategy
 25
 Chapter 5: Building Your Analytics Roadmap
 61
 Chapter 6: Analytic Applications
 87
 Chapter 7: Analytic Use Cases
 103
 Chapter 8: Predictive Analytics Methodology
 119
 Chapter 9: Predictive Analytics Techniques
 147
 Chapter 10: End User Analytics
 193
 Chapter 11: Analytic Platforms
 223
 Chapter 12: Attracting and Retaining Analytics Talent
 257
 Chapter 13: Organizing Analytics Teams
 283
 Chapter 14: What Are You Waiting For? Go Get Started!
 293 Appendix A: Unsupervised Learning: Unsupervised Neural Networks
 297 Index 313.
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HF5691 .C42 2015  Unknown 
2. Americantype options : stochastic approximation methods [2014  2015]
 Silʹvestrov, D. S. (Dmitriĭ Sergeevich), author.
 Berlin ; Boston : Walter de Gruyter GmbH & Co. KG, 20142015.
 Description
 Book — 2 volumes ; 25 cm.
 Summary

This book gives a systematical presentation of stochastic approximation methods for models of Americantype options with general payoff functions for discrete time Markov price processes. It is the first volume of the comprehensive two volumes monograph.
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The book gives a systematical presentation of stochastic approximation methods for discrete time Markov price processes. Advanced methods combining backward recurrence algorithms for computing of option rewards and general results on convergence of stochastic space skeleton and tree approximations for option rewards are applied to a variety of models of multivariate modulated Markov price processes. The principal novelty of presented results is based on consideration of multivariate modulated Markov price processes and general payoff functions, which can depend not only on price but also an additional stochastic modulating index component, and use of minimal conditions of smoothness for transition probabilities and payoff functions, compactness conditions for logprice processes and rate of growth conditions for payoff functions. The volume presents results on structural studies of optimal stopping domains, Monte Carlo based approximation reward algorithms, and convergence of Americantype options for autoregressive and continuous time models, as well as results of the corresponding experimental studies.
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HG6024 .A3 S55 2014 V.1  Unknown 
HG6024 .A3 S55 2014 V.2  Unknown 
3. Business mathematics and statistics [2014]
 Francis, A. (Andy), 1944 author.
 Seventh edition.  Andover, United Kingdom : Cengage Learning, [2014]
 Description
 Book — ix, 674 p. : ill. ; 25 cm
 Summary

 1 Introduction to Business Mathematics and Statistics
 Part 1. Data and their presentation
 2. Sampling and Data Collection
 3. Data and their Accuracy
 4. Frequency Distributions and Charts
 5. General Charts and Graphs Examination questions
 Part 2. Statistical measures
 6. Arithmetic Mean
 7. Median
 8. Mode and Other Measures of Location
 9. Measures of Dispersion and Skewness
 10. Standard Deviation
 11. Quantiles and the Quartile Deviation Examination example and questions
 Part 3. Regression and correlation
 12. Linear Functions and Graphs
 13. Regression Techniques
 14. Correlation Techniques Examination examples and questions
 Part 4. Time series analysis
 15. Time Series Model
 16. Time Series Trend
 17. Seasonal Variation and Forecasting Examination example and questions
 Part 5 Index numbers
 18. Index Relatives
 19. Composite Index Numbers
 20. Special Published Indices Examination questions
 Part 6. Compounding, discounting and annuities
 21. Interest and Depreciation
 22. Present Value and Investment Appraisal
 23. Annuities Examination examples and questions
 Part 7 Business equations and graphs
 24. Functions and Graphs
 25. Linear Equations
 26. Quadratic and Cubic Equations
 27. Differentiation and Integration
 28. Cost, Revenue and Profit Functions Examination examples and questions
 Part 8 Probability
 29. Set Theory and Enumeration
 30. Introduction to Probability
 31. Conditional Probability and Expectation Examination examples and questions
 Part 9. Further probability
 32. Combinations and Permutations
 33. Binomial and Poisson Distributions
 34. Normal Distribution Examination example and questions
 Part 10 Specialised business applications
 35. Linear Inequalities
 36. Matrices
 37. Inventory Control
 38. Network Planning and Analysis Examination example and questions.
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HF5691 .F69 2014  Unknown 
 Joshi, M. S. (Mark Suresh), 1969
 2nd ed.  Cambridge, UK ; New York : Cambridge University Press, 2008.
 Description
 Book — xvi, 292 p. ; 25 cm.
 Summary

 Preface
 1. A simple Monte Carlo model
 2. Encapsulation
 3. Inheritance and virtual functions
 4. Bridging with a virtual constructor
 5. Strategies, decoration and statistics
 6. A random numbers class
 7. An exotics engine and the template pattern
 8. Trees
 9. Solvers, templates and implied volatilities
 10. The factory
 11. Design patterns revisited
 12. The situation in 2007
 13. Exceptions
 14. Templatizing the factory
 15. Interfacing with EXCEL
 16. Decoupling A. BlackScholes formulas B. Distribution functions C. A simple array class D. The code Bibliography Index.
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HG6024 .A3 J665 2008  Unknown 
5. A course in financial calculus [2002]
 Etheridge, Alison.
 Cambridge, U.K. ; New York : Cambridge University Press, 2002.
 Description
 Book — viii, 196 p. : ill. ; 25 cm.
 Summary

 Preface
 1. Single period models
 2. Binomial trees and discrete parameter martingales
 3. Brownian motion
 4. Stochastic calculus
 5. The BlackScholes model
 6. Different payoffs
 7. Bigger models Bibliography and further reading Notation Index.
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 Cambridge Core Access limited to one user.
 EBSCO University Press
 Google Books (Full view)
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HG6024 .A3 E84 2002  Unknown 
 Oakshott, Les, author.
 Sixth edition.  London : Palgrave Macmillan Education, 2016.
 Description
 Book — xxxi, 440 pages : illustrations ; 25 cm
 Summary

 PART I: MATHEMATICAL APPLICATIONS
 1. Revision Mathematics
 2. Keeping up with Change: Index Numbers PART II: COLLECTING AND INTERPRETING DATA
 3. Collecting Data: Surveys and Samples
 4. Finding Patterns in Data: Charts and Tables
 5. Making Sense of Data: Averages and Measures of Spread PART III: PROBABILITY& STATISTICS
 6. Taking a Chance: Probability
 7. The Shape of Data: Probability Distributions
 8. Interpreting with Confidence: Analysis of Sample Data
 9. Checking Ideas: Testing a Hypothesis
 10. Cause and Effect: Correlation and Regression PART IV: DECISION MAKING TECHNIQUES
 11. How to make Good Decisions
 12. Choosing wisely: Investment Appraisal
 13. Forecasting: Time Series Analysis
 14. Making the Most of Things: Linear Programming
 15. Planning Large Projects: Network Analysis
 16. Managing Stock Levels: Materials Management and Inventory Control.
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HF5691 .O23 2016  Unknown 
 Prakash, Arun J., author.
 Revised and updated edition.  Santa Barbara, California : Praeger, [2014]
 Description
 Book — xiii, 436 pages : illustrations ; 24 cm
 Summary

An updated and expanded version of the timehonored classic text on financial math, this book provides, in one place, a complete and practical treatment of the four primary venues for finance: commercial lending, financial formulas, mortgage lending, and resource allocation or capital budgeting techniques. With an emphasis on understanding the principles involved rather than blind reliance on formulas, the book provides rigorous and thorough explanations of the mathematical calculations used in determining the time value of money, valuation of loans by commercial banks, valuation of mortgages, and the cost of capital and capital budgeting techniques for single as well as mutually exclusive projects. This new edition devotes an entire chapter to a method of evaluating mutually exclusive projects without resorting to any imposed conditions. Two chapters not found in the previous edition address special topics in finance, including a novel and innovative way to approach amortization tables and the time value of money for cash flows when they increase geometrically or arithmetically. This new edition also features helpful howto sections on Excel applications at the end of each appropriate chapter.
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HF5691 .P69 2014  Unknown 
8. Financial mathematics for actuaries [2018]
 Chan, WaiSum, author.
 Second edition.  New Jersey : World Scientific, [2018]
 Description
 Book — xviii, 353 pages ; 25 cm
 Online
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HF5691 .C345 2018  Unknown 
 Berlin ; New York : SpringerVerlag, 1997.
 Description
 Book — 316 p. ; 24 cm.
 Summary

 Contents: B. Biais, J.C. Rochet: Risk sharing, adverse selection and market structure. T. Bjork: Interest rate theory. J. Cvitanic: Optimal trading under constraints. N. El Karoui, M.C. Quenez: Nonlinear pricing theory and backward stochastic differential equations. E. Jouini: Market imperfections, equilibrium and arbitrage.
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Shelved by Series title V.1656  Unknown 
10. Introduction to financial mathematics [2016]
 Hastings, Kevin J., 1955 author.
 Boca Raton : CRC Press, Taylor & Francis Group, 2016.
 Description
 Book — xiii, 407 pages : illustrations ; 24 cm.
 Summary

 Theory of Interest Rate of Return and Present Value Compound Interest Annuities Loans Measuring Rate of Return Continuous Time Interest Theory Bonds Bond Valuation More on Bonds Term Structure of Interest Rates Discrete Probability for Finance Sample Spaces and Probability Measures Random Variables and Distributions Discrete Expectation Conditional Probability Independence and Dependence Estimation and Simulation Portfolio Theory Stocks Portfolios of Risky Assets Optimal Portfolio Selection Valuation of Derivatives Basic Terminology and Ideas SinglePeriod Options MultiplePeriod Options Valuation of Exotic Options and Simulation Appendix: Answers to Selected Exercises Bibliography Index.
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HF5691 .H37 2016  Unknown 
11. An introduction to quantitative finance [2014]
 Blyth, Stephen, author.
 Oxford : Oxford University Press, 2014.
 Description
 Book — xvi, 175 pages : illustrations (black and white) ; 24 cm
 Summary

 I INTRODUCTION AND PRELIMINARIES
 1. Introduction
 2. Preliminaries
 II FORWARDS, SWAPS AND OPTIONS
 3. Forward contracts and forward prices
 4. Forward rates and libor
 5. Interest rate swaps
 6. Futures contracts
 7. Noarbitrage principle
 8. Options
 III REPLICATION, RISKNEUTRALITY AND THE FUNDAMENTAL THEOREM
 9. Replication and riskneutrality on the binomial tree
 10. Martingales, numeraires and the fundamental theorem
 11. Continuous time limit and BlackScholes formula
 12. Option price and probability duality
 IV INTEREST RATE OPTIONS
 13. Caps, floors and swaptions
 14. Cancellable swaps and Bermudan swaptions
 15. Additional topics in interest rate derivatives
 V THROUGH CONTINUOUS TIME
 16. Rough guide to continuous time.
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HG176.5 .B59 2014  Unknown 
12. Lectures on the mathematics of finance [1997]
 Karatzas, Ioannis.
 Providence, R.I. : American Mathematical Society, c1997.
 Description
 Book — xii, 148 p. ; 26 cm.
 Summary

In this text, the author discusses the main aspects of mathematical finance. These include, arbitrage, hedging and pricing of contingent claims, portfolio optimization, incomplete and/or constrained markets, equilibrium, and transaction costs. The book outlines advances made possible during the last 15 years due to the methodologies of stochastic analysis and control. This tutorial survey of the rapidly expanding field of mathematical finance is addressed primarily to graduate students in mathematics. Familiarity is assumed with stochastic analysis and parabolic partial differential equations. The text makes significant use of students' mathematical skills, but always in connection with interesting applied problems.
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HF5691 .K338 1997  Unknown 
13. Mastering financial mathematics in Microsoft Excel : a practical guide for business calculations [2015]
 Day, Alastair L., author.
 Third Edition.  Harlow, England : Pearson, 2015.
 Description
 Book — xvi, 374 pages : illustrations ; 24 cm
 Summary

 Acknowledgements About the author Conventions Overview Warranty and disclaimer
 1 Introduction Overview Common Excel errors Systematic design method Auditing Summary
 2 Basic financial arithmetic Simple interest Compound interest Nominal and effective rates Continuous discounting Conversions and comparisons Exercise Summary
 3 Cash flows Net present value Internal rate of return XNPV and XIRR XNPV periodic example Modified internal rate of return Exercise Summary
 4 Bonds calculations Description Cash flows Zero coupons Yield Yield to call Price and yield relationship Yield curve pricing Other yield measures Yield measures Exercise Summary
 5 Bonds risks Risks Duration Convexity Comparison Exercise Summary
 6 Floating rate securities Floating rates Characteristics of interest rate securities Yield evaluation Coupon stripping Exercise Summary
 7 Amortization and depreciation Amortization Full amortization Delayed payments Sum of digits Straight line and declining balance depreciation UK declining balance method Double declining balance depreciation French depreciation Exercise Summary
 8 Swaps Definitions How swaps save money Advantages of swaps Terminating interest rate swaps Implicit credit risk Worked single currency swap Valuation Cross currency swap Worked example Swaptions Exercise Summary
 9 Forward interest rates Definitions Example forward rates Hedging principles Forward rate agreement Yield curves Exercise Summary
 10 Futures Futures market Terminology Benefits Clearinghouse operation Bond futures Hedging mechanisms Hedging example one Hedging example two Exercise Summary
 11 Foreign exchange Risk Spot rates Longer dates Equivalence Comparisons and arbitrage Exercise Summary
 12 Options Description Terminology Underlying asset Call options Put options Example Covered call Insurance using a stock and a long put Pricing models Black Scholes model Call put parity Greeks Binomial models Comparison to Black Scholes Exercise Summary
 13 Real options Real options Black Scholes model Binomial model Exercise Summary
 14 Valuation Valuation methods Assets Market methods Multiperiod dividend discount models Free cash flow valuation Adjusted present value Economic profit Exercise Summary
 15 Leasing Economics of leasing Interest rates Classification Amortization Accounting Settlements Lessor evaluation Lessee evaluation Exercise Summary
 16 Basic statistics Methods Descriptive statistics Probability distributions Sampling/Central Limit Theorem Hypothesis testing Correlation and regression LINEST function Exercise Summary Appendices
 1 Exercise answers, functions list, software installation and licence
 2 Microsoft(R) Office Menus Index.
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HF5691 .D39 2015  Unknown 
 Harshbarger, Ronald J., 1938 author.
 12th edition.  Boston, MA : Cengage Learning, [2019]
 Description
 Book — XV, 901 pages, pages AP 145, A 167, I 118 : illustrations ; 29 cm
 Summary

 0. ALGEBRAIC CONCEPTS. Sets. The Real Numbers. Integral Exponents. Radicals and Rational Exponents. Operations with Algebraic Expressions. Factoring. Algebraic Fractions.
 1. LINEAR EQUATIONS AND FUNCTIONS. Solutions of Linear Equations and Inequalities in One Variable. Functions. Linear Functions. Graphs and Graphing Utilities. Solutions of Systems of Linear Equations. Applications of Functions in Business and Economics.
 2. QUADRATIC AND OTHER SPECIAL FUNCTIONS. Quadratic Equations. Quadratic Functions: Parabolas. Business Applications Using Quadratics. Special Functions and Their Graphs. Modeling Fitting Curves to Data with Graphing Utilities (optional).
 3. MATRICES. Matrices. Multiplication of Matrices. GaussJordan Elimination: Solving Systems of Equations. Inverse of a Square Matrix Matrix Equations. Applications of Matrices: Leontief InputOutput Models.
 4. INEQUALITIES AND LINEAR PROGRAMMING. Linear Inequalities in Two Variables. Linear Programming: Graphical Methods. The Simplex Method: Maximization. The Simplex Method: Duality and Minimization. The Simplex Method with Mixed Constraints.
 5. EXPONENTIAL AND LOGARITHMIC FUNCTIONS. Exponential Functions. Logarithmic Functions and Their Properties. Equations and Applications with Exponential and Logarithmic Functions.
 6. MATHEMATICS OF FINANCE. Simple Interest Sequences. Compound Interest Geometric Sequences. Future Values of Annuities. Present Values of Annuities. Loans and Amortization.
 7. INTRODUCTION TO PROBABILITY. Probability Odds. Unions and Intersections of Events: OneTrial Experiments. Conditional Probability: The Product Rule. Probability Trees and Bayes'' Formula. Counting: Permutations and Combinations. Permutations, Combinations, and Probability. Markov Chains.
 8. FURTHER TOPICS IN PROBABILITY DATA DESCRIPTION. Binomial Probability Experiments. Data Description. Discrete Probability Distributions The Binomial Distribution. Normal Probability Distribution. The Normal Curve Approximation to the Binomial Distribution.
 9. DERIVATIVES. Limits. Continuous Functions Limits at Infinity. Rates of Change and Derivatives. Derivative Formulas. The Product Rule and the Quotient Rule. The Chain Rule and the Power Rule. Using Derivative Formulas. HigherOrder Derivatives. Applications: Marginals and Derivatives.
 10. APPLICATIONS AND DERIVATIVES. Relative Maxima and Minima: Curve Sketching. Concavity: Points of Inflection. Optimization in Business and Economics. Applications of Maxima and Minima. Rational Functions: More Curve Sketching.
 11. DERIVATIVES CONTINUED. Derivatives of Logarithmic Functions. Derivatives of Exponential Functions. Implicit Differentiation. Related Rates. Applications in Business and Economics.
 12. INDEFINITE INTEGRALS. Indefinite Integrals. The Power Rule. Integrals Involving Exponential and Logarithmic Functions. Applications of the Indefinite Integral in Business and Economics. Differential Equations.
 13. DEFINITE INTEGRALS: TECHNIQUES OF INTEGRATION. Area Under a Curve. The Definite Integral: The Fundamental Theorem of Calculus. Area Between Two Curves. Applications of Definite Integrals in Business and Economics. Using Tables of Integrals. Integration by Parts. Improper Integrals and Their Applications. Numerical Integration Methods: The Trapezoidal Rule and Simpson''s Rule.
 14. FUNCTIONS OF TWO OR MORE VARIABLES. Functions of Two or More Variables. Partial Differentiation. Applications of Functions of Two Variables in Business and Economics. Maxima and Minima. Maxima and Minima of Functions Subject to Constraints: Lagrange Multipliers. APPENDICES. A. Graphing Calculator Guide. B. Excel Guide. C. Areas Under the Standard Normal Curve.
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HF5691 .H3184 2019  Unknown 
 Capiński, Marek, 1951
 London : Springer, c2003.
 Description
 Book — x, 310 p. : ill. ; 24 cm.
 Summary

 Introduction: A Simple Market Model. RiskFree Assets. Risky Assets. Discrete Time Market Models. Portfolio Management. Forward and Futures Contracts. Options: General Properties. Option Pricing. Financial Engineering. Variable Interest Rates. Stochastic Interest Rates. Solutions. Bibliography. Glossary of Symbols. Index.
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HG106 .C36 2003  Available 
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HG106 .C36 2003  Unknown 
16. Mathematics of finance [2015]
 Brown, Robert L., 1949 author.
 Eighth edition.  [Whitby, Ont.] : McGrawHill Ryerson, [2015]
 Description
 Book — 1 volume (various pagings) : illustrations ; 26 cm
 Online
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HF5691 .Z55 2015  Unknown 
 AMSIMSSIAM Joint Summer Research Conference on Mathematics of Finance (2003 : Snowbird, Utah)
 Providence, R.I. : American Mathematical Society, c2004.
 Description
 Book — xii, 398 p. : ill. ; 26 cm.
 Summary

 Credit barrier models in a discrete framework by C. Albanese and O. X. Chen Optimal derivatives design under dynamic risk measures by P. Barrieu and N. El Karoui On pricing of forward and futures contracts on zerocoupon bonds in the CoxIngersollRoss model by J. Bialkowski and J. Jakubowski Pricing and hedging of credit risk: Replication and meanvariance approaches (I) by T. R. Bielecki, M. Jeanblanc, and M. Rutkowski Pricing and Hedging of credit risk: Replication and meanvariance approaches (II) by T. R. Bielecki, M. Jeanblanc, and M. Rutkowski Spot convenience yield models for the energy markets by R. Carmona and M. Ludkovski Optimal portfolio management with consumption by N. CastanedaLeyva and D. HernandezHernandez Some processes associated with a fractional Brownian motion by T. E. Duncan Pricing claims on non tradable assets by R. J. Elliott and J. van der Hoek Some optimal investment, production and consumption models by W. H. Fleming Asian options under multiscale stochastic volatility by J.P. Fouque and C.H. Han A regime switching model: Statistical estimation, empirical evidence, and change point detection by X. Guo Multinomial maximum likelihood estimation of market parameters for stock jumpdiffusion models by F. B. Hanson, J. J. Westman, and Z. Zhu Optimal terminal wealth under partial information for HMM stock returns by U. G. Haussmann and J. Sass Computing optimal selling rules for stocks using linear programming by K. Helmes Optimization of consumption and portfolio and minimization of volatility by Y. Hu Options: To buy or not to buy? by M. Jonsson and R. Sircar Risk sensitive optimal investment: Solutions of the dynamical programming equation by H. Kaise and S. J. Sheu Hedging default risk in an incomplete market by A. E. B. Lim Meanvariance portfolio choice with discontinuous asset prices and nonnegative wealth processes by A. E. B. Lim and X. Y. Zhou Indifference prices of early exercise claims by M. Musiela and T. Zariphopoulou Random walk around some problems in identification and stochastic adaptive control with applications to finance by B. PasikDuncan Pricing and Hedging for incomplete jump diffusion benchmark models by E. Platen Why is the effect of proportional transaction costs $O(\delta^{2/3})$? by L. C. G. Rogers Estimation via stochastic filtering in financial market models by W. J. Runggaldier Stochastic optimal control modeling of debt crises by J. L. Stein Duality and risk sensitive portfolio optimization by L. Stettner Characterizing option prices by linear programs by R. H. Stockbridge Pricing defaultable bond with regime switching by J. W. Wang and Q. Zhang Affine regimeswitching models for interest rate term structure by S. Wu and Y. Zeng Stochastic approximation methods for some finance problems by G. Yin and Q. Zhang.
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18. Methods of mathematical finance [1998]
 Karatzas, Ioannis.
 New York : Springer, 1998.
 Description
 Book — xv, 415 p. ; 25 cm.
 Summary

 A Brownian Motion of Financial Markets. Contingent Claim Valuation in a Complete Market. SingleAgent Consumption and Investment. Equilibrium in a Complete Market. Contingent Claims in Incomplete Markets. Constrained Consumption and Investment.
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HF5691 .K3382 1998  Unknown 
HF5691 .K3382 1998  Unknown 
 Embrechts, Paul, 1953
 New York : Springer, 1997.
 Description
 Book — 645 p.
 Summary

 Reader Guidelines. Risk Theory. Fluctuations of Sums. Fluctuations of Maxima. Fluctuations of Upper Order Statistics. An Approach to Extremes via Point Processes. Statistical Methods for Extremal Events. Time Series Analysis for HeavyTailed Processes. Special Topics. Appendix. References. Index. List of Abbreviations and Symbols.
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HF5691 .E46 1997  Unknown 
 Korn, Ralf.
 Boca Raton, FL : CRC Press, c2010.
 Description
 Book — xiii, 470 p. : ill. ; 25 cm.
 Summary

 Introduction and User Guide Introduction and concept Contents How to use this book? Further literature Acknowledgements Generating Random Numbers Introduction Examples of random number generators Testing and analyzing RNGs Generating random numbers with general distributions Selected distributions Multivariate random variables Quasi random sequences as a substitute for random sequences Parallelization techniques The Monte Carlo Method: Basic Principles and Improvements Introduction The strong law of large numbers and the Monte Carlo method Improving the speed of convergence of the Monte Carlo method: Variance reduction methods Further aspects of variance reduction methods Simulating ContinuousTime Stochastic Processes with Continuous Paths Introduction Stochastic processes and their paths: Basic definitions The Monte Carlo method for stochastic processes Brownian motion and the Brownian bridge Basics of Ito calculus Stochastic differential equations Simulating solutions of stochastic differential equations Which simulation methods for SDE should be chosen? Simulating Financial Models and Pricing of Derivatives: Continuous Paths Introduction Basics of stock price modeling A BlackScholes type stock price framework Basic facts of options An introduction to option pricing Option pricing and the Monte Carlo method in the BlackScholes setting Weaknesses of the BlackScholes model Local volatility models and the CEV model An excursion: Calibrating a model Option pricing in incomplete markets: Some aspects Stochastic volatility and option pricing in the Heston model Variance reduction principles in nonBlackScholes models Stochastic local volatility models Monte Carlo option pricing: American and Bermudan options Monte Carlo calculation of option price sensitivities Basics of interest rate modeling The short rate approach to interest rate modeling The forward rate approach to interest rate modeling LIBOR market models Simulating ContinuousTime Stochastic Processes: Discontinuous Paths Introduction Poisson processes and Poisson random measures: Definition and simulation Jump diffusions: Basics, properties, and simulation Levy processes: Definition, properties, and examples Simulation of Levy processes Simulating Financial Models: Discontinuous Paths Introduction Merton's jump diffusion model and stochastic volatility models with jumps Special Levy models and their simulation Simulating Actuarial Models Introduction Premium principles and risk measures Some applications of Monte Carlo methods in life insurance Simulating dependent risks with copulas Nonlife insurance Markov chain Monte Carlo and Bayesian estimation Assetliability management and Solvency II References Index.
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HF5691 .K713 2010  Unknown 