Download or read book Gram Charlier Densities Revised Version written by Eric Jondeau and published by . This book was released on 2015 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Gram-Charlier expansion, where skewness and kurtosis directly appear as parameters, has become popular in Finance as a generalization of the normal density. We show how positivity constraints can be numerically implemented, thereby guaranteeing that the expansion defines a density. The constrained expansion can be referred to as a Gram-Charlier density. First, we apply our method to the estimation of risk neutral densities. Then, we assess the statistical properties of maximum-likelihood estimates of Gram-Charlier densities. Lastly, we apply the framework to the estimation of a GARCH model where the conditional density is a Gram-Charlier density.

Download or read book Issues in Insurance and Risk Management 2013 Edition written by and published by ScholarlyEditions. This book was released on 2013-05-01 with total page 498 pages. Available in PDF, EPUB and Kindle. Book excerpt: Issues in Insurance and Risk Management / 2013 Edition is a ScholarlyEditions™ book that delivers timely, authoritative, and comprehensive information about Risk Management. The editors have built Issues in Insurance and Risk Management: 2013 Edition on the vast information databases of ScholarlyNews.™ You can expect the information about Risk Management in this book to be deeper than what you can access anywhere else, as well as consistently reliable, authoritative, informed, and relevant. The content of Issues in Insurance and Risk Management: 2013 Edition has been produced by the world’s leading scientists, engineers, analysts, research institutions, and companies. All of the content is from peer-reviewed sources, and all of it is written, assembled, and edited by the editors at ScholarlyEditions™ and available exclusively from us. You now have a source you can cite with authority, confidence, and credibility. More information is available at http://www.ScholarlyEditions.com/.

Download or read book Multi moment Asset Allocation and Pricing Models written by Emmanuel Jurczenko and published by John Wiley & Sons. This book was released on 2006-10-02 with total page 258 pages. Available in PDF, EPUB and Kindle. Book excerpt: While mainstream financial theories and applications assume that asset returns are normally distributed and individual preferences are quadratic, the overwhelming empirical evidence shows otherwise. Indeed, most of the asset returns exhibit “fat-tails” distributions and investors exhibit asymmetric preferences. These empirical findings lead to the development of a new area of research dedicated to the introduction of higher order moments in portfolio theory and asset pricing models. Multi-moment asset pricing is a revolutionary new way of modeling time series in finance which allows various degrees of long-term memory to be generated. It allows risk and prices of risk to vary through time enabling the accurate valuation of long-lived assets. This book presents the state-of-the art in multi-moment asset allocation and pricing models and provides many new developments in a single volume, collecting in a unified framework theoretical results and applications previously scattered throughout the financial literature. The topics covered in this comprehensive volume include: four-moment individual risk preferences, mathematics of the multi-moment efficient frontier, coherent asymmetric risks measures, hedge funds asset allocation under higher moments, time-varying specifications of (co)moments and multi-moment asset pricing models with homogeneous and heterogeneous agents. Written by leading academics, Multi-moment Asset Allocation and Pricing Models offers a unique opportunity to explore the latest findings in this new field of research.

Download or read book Ocean Engineering Science written by Bernard Le Méhauté and published by Harvard University Press. This book was released on 2005-06-28 with total page 1340 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book International Tables for Crystallography Volume B written by Uri Shmueli and published by Springer Science & Business Media. This book was released on 2008-08-27 with total page 704 pages. Available in PDF, EPUB and Kindle. Book excerpt: International Tables for Crystallography are no longer available for purchase from Springer. For further information please contact Wiley Inc. (follow the link on the right hand side of this page). Volume B presents accounts of the numerous aspects of reciprocal space in crystallographic research. After an introductory chapter, Part 1 presents the reader with an account of structure-factor formalisms, an extensive treatment of the theory, algorithms and crystallographic applications of Fourier methods, and fundamental as well as advanced treatments of symmetry in reciprocal space. In Part 2, these general accounts are followed by detailed expositions of crystallographic statistics, the theory of direct methods, Patterson techniques, isomorphous replacement and anomalous scattering, and treatments of the role of electron microscopy and diffraction in crystal structure determination, including applications of direct methods to electron crystallography. Part 3 deals with applications of reciprocal space to molecular geometry and `best'-plane calculations, and contains a treatment of the principles of molecular graphics and modelling and their applications. A convergence-acceleration method of importance in the computation of approximate lattice sums is presented and the part concludes with a discussion of the Ewald method. Part 4 contains treatments of various diffuse-scattering phenomena arising from crystal dynamics, disorder and low dimensionality (liquid crystals), and an exposition of the underlying theories and/or experimental evidence. Polymer crystallography and reciprocal-space images of aperiodic crystals are also treated. Part 5 of the volume contains introductory treatments of the theory of the interaction of radiation with matter (dynamical theory) as applied to X-ray, electron and neutron diffraction techniques. The simplified trigonometric expressions for the structure factors in the 230 three-dimensional space groups, which appeared in Volume I of International Tables for X-ray Crystallography, are now given in Appendix 1.4.3 to Chapter 1.4 of this volume. Volume B is a vital addition to the library of scientists engaged in crystal structure determination, crystallographic computing, crystal physics and other fields of crystallographic research. Graduate students specializing in crystallography will find much material suitable for self-study and a rich source of references to the relevant literature.

Download or read book Modern Charge Density Analysis written by Carlo Gatti and published by Springer Science & Business Media. This book was released on 2012-01-09 with total page 800 pages. Available in PDF, EPUB and Kindle. Book excerpt: Focusing on developments from the past 10-15 years, this volume presents an objective overview of the research in charge density analysis. The most promising methodologies are included, in addition to powerful interpretative tools and a survey of important areas of research.

Download or read book ARCH Models for Financial Applications written by Evdokia Xekalaki and published by John Wiley & Sons. This book was released on 2010-03-18 with total page 558 pages. Available in PDF, EPUB and Kindle. Book excerpt: Autoregressive Conditional Heteroskedastic (ARCH) processes are used in finance to model asset price volatility over time. This book introduces both the theory and applications of ARCH models and provides the basic theoretical and empirical background, before proceeding to more advanced issues and applications. The Authors provide coverage of the recent developments in ARCH modelling which can be implemented using econometric software, model construction, fitting and forecasting and model evaluation and selection. Key Features: Presents a comprehensive overview of both the theory and the practical applications of ARCH, an increasingly popular financial modelling technique. Assumes no prior knowledge of ARCH models; the basics such as model construction are introduced, before proceeding to more complex applications such as value-at-risk, option pricing and model evaluation. Uses empirical examples to demonstrate how the recent developments in ARCH can be implemented. Provides step-by-step instructive examples, using econometric software, such as Econometric Views and the G@RCH module for the Ox software package, used in Estimating and Forecasting ARCH Models. Accompanied by a CD-ROM containing links to the software as well as the datasets used in the examples. Aimed at readers wishing to gain an aptitude in the applications of financial econometric modelling with a focus on practical implementation, via applications to real data and via examples worked with econometrics packages.

Download or read book Issues in Materials and Manufacturing Research 2011 Edition written by and published by ScholarlyEditions. This book was released on 2012-01-09 with total page 7150 pages. Available in PDF, EPUB and Kindle. Book excerpt: Issues in Materials and Manufacturing Research: 2011 Edition is a ScholarlyEditions™ eBook that delivers timely, authoritative, and comprehensive information about Materials and Manufacturing Research. The editors have built Issues in Materials and Manufacturing Research: 2011 Edition on the vast information databases of ScholarlyNews.™ You can expect the information about Materials and Manufacturing Research in this eBook to be deeper than what you can access anywhere else, as well as consistently reliable, authoritative, informed, and relevant. The content of Issues in Materials and Manufacturing Research: 2011 Edition has been produced by the world’s leading scientists, engineers, analysts, research institutions, and companies. All of the content is from peer-reviewed sources, and all of it is written, assembled, and edited by the editors at ScholarlyEditions™ and available exclusively from us. You now have a source you can cite with authority, confidence, and credibility. More information is available at http://www.ScholarlyEditions.com/.

Download or read book Moment Analysis for Subsurface Hydrologic Applications written by Rao S. Govindaraju and published by Springer Science & Business Media. This book was released on 2007-06-21 with total page 298 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book deals with the concept of moments, and how they find application in subsurface hydrologic problems-particularly those dealing with solute transport. Both temporal and spatial moments are dealt with in some detail for a wide variety of problems. Several examples using experimental data, both from laboratory columns and field experiments, are provided to give the readers a clear idea about the scope of this method.

Download or read book Electron Spin and Momentum Densities and Chemical Reactivity written by Paul G. Mezey and published by Springer Science & Business Media. This book was released on 2006-04-11 with total page 328 pages. Available in PDF, EPUB and Kindle. Book excerpt: The electron density of a non-degenerate ground state system determines essentially all physical properties of the system. This statement of the Hohenberg–Kohn theorem of Density Functional Theory plays an exceptionally important role among all the fundamental relations of Molecular Physics. In particular, the electron density distribution and the dynamic properties of this density determine both the local and global reactivities of molecules. High resolution experimental electron densities are increasingly becoming available for more and more molecules, including macromolecules such as proteins. Furthermore, many of the early difficulties with the determination of electron densities in the vicinity of light nuclei have been overcome. These electron densities provide detailed information that gives important insight into the fundamentals of molecular structure and a better understanding of chemical reactions. The results of electron density analysis are used in a variety of applied fields, such as pharmaceutical drug discovery and biotechnology. If the functional form of a molecular electron density is known, then various molecular properties affecting reactivity can be determined by quantum chemical computational techniques or alternative approximate methods.

Download or read book Simulation of the Sea Surface for Remote Sensing written by Alexander Zapevalov and published by Springer Nature. This book was released on 2020-10-09 with total page 233 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book considers the formation of the signal reflected from the sea surface when sensing in the radio and optical range. Currently, remote sensing from space is the main source of information about the processes taking place in the atmosphere and ocean. The correct interpretation of remote sensing data requires detailed information about the rough surface that forms the reflected signal. The first three chapters describe the statistical and spatial-temporal characteristics of the sea surface, focusing on the effects associated with the nonlinearity of sea surface waves. The analysis makes extensive use of data obtained by the authors on a stationary oceanographic platform located on the Black sea. In the next seven chapters, the authors analyze how the nonlinearity of waves affects the formation of a signal reflected from the sea surface.This book is geared for advanced level research in the general subject area of remote sensing and modeling as they apply to the coastal marine environment. It is of value to scientists and engineers involved in the development of methods and instruments of remote sensing, analysis and interpretation of data. It is useful for students who have decided to devote themselves to the study of the oceans.

Download or read book Microgrids and Methods of Analysis written by Gevork B. Gharehpetian and published by Academic Press. This book was released on 2021-07-14 with total page 350 pages. Available in PDF, EPUB and Kindle. Book excerpt: The increasing penetration of distributed energy resource (DER), distributed generation (DG) and energy storage system (ESS) units in distribution grids leads to the emergence of the concepts of active distribution networks (ADNs), microgrids, and virtual power plants. Nowadays, the use of electronically-coupled distributed energy resources is of great interest that can provide the power of demand side alone or in a small electricity grid. A microgrid is a small-scale power grid in low voltage network that must be able to locally solve energy issues and enhance the flexibility and can operate either in grid-connected or islanded/autonomous mode of operation. To study them, researchers need an appropriate set of methods, software tools, analogous to those exist for large interconnected power systems.The book Microgrids and Methods of Analysis addresses systematic analysis, control/protection systems design, and optimal operation of a distribution system under high penetration of DERs analogous to those that exist for large interconnected power systems. - Provides professional guidlines for system planners - Explores further research, development, and optimization of existing and new microgrids - Addresses analytical methods used for microgrid analysis using advanced research

Download or read book Encyclopedia of Information Science and Technology Fourth Edition written by Khosrow-Pour, D.B.A., Mehdi and published by IGI Global. This book was released on 2017-06-20 with total page 8356 pages. Available in PDF, EPUB and Kindle. Book excerpt: In recent years, our world has experienced a profound shift and progression in available computing and knowledge sharing innovations. These emerging advancements have developed at a rapid pace, disseminating into and affecting numerous aspects of contemporary society. This has created a pivotal need for an innovative compendium encompassing the latest trends, concepts, and issues surrounding this relevant discipline area. During the past 15 years, the Encyclopedia of Information Science and Technology has become recognized as one of the landmark sources of the latest knowledge and discoveries in this discipline. The Encyclopedia of Information Science and Technology, Fourth Edition is a 10-volume set which includes 705 original and previously unpublished research articles covering a full range of perspectives, applications, and techniques contributed by thousands of experts and researchers from around the globe. This authoritative encyclopedia is an all-encompassing, well-established reference source that is ideally designed to disseminate the most forward-thinking and diverse research findings. With critical perspectives on the impact of information science management and new technologies in modern settings, including but not limited to computer science, education, healthcare, government, engineering, business, and natural and physical sciences, it is a pivotal and relevant source of knowledge that will benefit every professional within the field of information science and technology and is an invaluable addition to every academic and corporate library.

Download or read book From Spectroscopy to Chaos written by Ashok Das and published by World Scientific. This book was released on 1994 with total page 154 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Adaptive Systems in Control and Signal Processing 1992 written by L. Dugard and published by Elsevier. This book was released on 2014-06-28 with total page 557 pages. Available in PDF, EPUB and Kindle. Book excerpt: Adaptive Systems remain a very interesting field of theoretical research, extended by methodological studies and an increasing number of applications. The plenary papers, invited sessions and contributed sessions focused on many aspects of adaptive systems, such as systems identification and modelling, adaptive control of nonlinear systems and theoretical issues in adaptive control. Also covered were methodological aspects and applications of adaptive control, intelligent tuning and adaptive signal processing.

Download or read book Proceedings of the IEEE SP International Symposium on Time Frequency and Time Scale Analysis October 4 6 1992 Victoria BC Canada written by and published by . This book was released on 1998 with total page 702 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Financial Modeling Under Non Gaussian Distributions written by Eric Jondeau and published by Springer Science & Business Media. This book was released on 2007-04-05 with total page 541 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book examines non-Gaussian distributions. It addresses the causes and consequences of non-normality and time dependency in both asset returns and option prices. 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.