Download or read book Journal of analysis and its applications written by and published by . This book was released on 2008 with total page 540 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Risk Analysis and Portfolio Modelling written by Elisa Luciano and published by MDPI. This book was released on 2019-10-16 with total page 224 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial Risk Measurement is a challenging task, because both the types of risk and the techniques evolve very quickly. This book collects a number of novel contributions to the measurement of financial risk, which address either non-fully explored risks or risk takers, and does so in a wide variety of empirical contexts.

Download or read book Applied Stochastic Differential Equations written by Simo Särkkä and published by Cambridge University Press. This book was released on 2019-05-02 with total page 327 pages. Available in PDF, EPUB and Kindle. Book excerpt: With this hands-on introduction readers will learn what SDEs are all about and how they should use them in practice.

Download or read book Concentration Risk in Credit Portfolios written by Eva Lütkebohmert and published by Springer Science & Business Media. This book was released on 2008-09-30 with total page 229 pages. Available in PDF, EPUB and Kindle. Book excerpt: Modeling and management of credit risk are the main topics within banks and other lending institutions. Historical experience shows that, in particular, concentration of risk in credit portfolios has been one of the major causes of bank distress. Therefore, concentration risk is highly relevant to anyone who wants to go beyond the very basic portfolio credit risk models. The book gives an introduction to credit risk modeling with the aim to measure concentration risks in credit portfolios. Taking the basic principles of credit risk in general as a starting point, several industry models are studied. These allow banks to compute a probability distribution of credit losses at the portfolio level. Besides these industry models the Internal Ratings Based model, on which Basel II is based, is treated. On the basis of these models various methods for the quantification of name and sector concentration risk and the treatment of default contagion are discussed. The book reflects current research in these areas from both an academic and a supervisory perspective

Download or read book Bayesian Networks written by Olivier Pourret and published by John Wiley & Sons. This book was released on 2008-04-30 with total page 446 pages. Available in PDF, EPUB and Kindle. Book excerpt: Bayesian Networks, the result of the convergence of artificial intelligence with statistics, are growing in popularity. Their versatility and modelling power is now employed across a variety of fields for the purposes of analysis, simulation, prediction and diagnosis. This book provides a general introduction to Bayesian networks, defining and illustrating the basic concepts with pedagogical examples and twenty real-life case studies drawn from a range of fields including medicine, computing, natural sciences and engineering. Designed to help analysts, engineers, scientists and professionals taking part in complex decision processes to successfully implement Bayesian networks, this book equips readers with proven methods to generate, calibrate, evaluate and validate Bayesian networks. The book: Provides the tools to overcome common practical challenges such as the treatment of missing input data, interaction with experts and decision makers, determination of the optimal granularity and size of the model. Highlights the strengths of Bayesian networks whilst also presenting a discussion of their limitations. Compares Bayesian networks with other modelling techniques such as neural networks, fuzzy logic and fault trees. Describes, for ease of comparison, the main features of the major Bayesian network software packages: Netica, Hugin, Elvira and Discoverer, from the point of view of the user. Offers a historical perspective on the subject and analyses future directions for research. Written by leading experts with practical experience of applying Bayesian networks in finance, banking, medicine, robotics, civil engineering, geology, geography, genetics, forensic science, ecology, and industry, the book has much to offer both practitioners and researchers involved in statistical analysis or modelling in any of these fields.

Download or read book Empirical Asset Pricing written by Wayne Ferson and published by MIT Press. This book was released on 2019-03-12 with total page 497 pages. Available in PDF, EPUB and Kindle. Book excerpt: An introduction to the theory and methods of empirical asset pricing, integrating classical foundations with recent developments. This book offers a comprehensive advanced introduction to asset pricing, the study of models for the prices and returns of various securities. The focus is empirical, emphasizing how the models relate to the data. The book offers a uniquely integrated treatment, combining classical foundations with more recent developments in the literature and relating some of the material to applications in investment management. It covers the theory of empirical asset pricing, the main empirical methods, and a range of applied topics. The book introduces the theory of empirical asset pricing through three main paradigms: mean variance analysis, stochastic discount factors, and beta pricing models. It describes empirical methods, beginning with the generalized method of moments (GMM) and viewing other methods as special cases of GMM; offers a comprehensive review of fund performance evaluation; and presents selected applied topics, including a substantial chapter on predictability in asset markets that covers predicting the level of returns, volatility and higher moments, and predicting cross-sectional differences in returns. Other chapters cover production-based asset pricing, long-run risk models, the Campbell-Shiller approximation, the debate on covariance versus characteristics, and the relation of volatility to the cross-section of stock returns. An extensive reference section captures the current state of the field. The book is intended for use by graduate students in finance and economics; it can also serve as a reference for professionals.

Download or read book Wavelets written by Gordon Erlebacher and published by Oxford University Press. This book was released on 1996-01-04 with total page 524 pages. Available in PDF, EPUB and Kindle. Book excerpt: Wavelets are spatially localized functions whose amplitude drops off exponentially outside a small "window". They are used to magnify experimental or numerical data and have become powerful tools in signal processing and other computational sciences. This book gives scientists and engineers a practical understanding of wavelets--their origins, their purpose, their use, and their prospects. It covers the applications of wavelets as a diagnostic tool and the use of wavelet basis functions to solve differential equations. Each chapter was written by one of five lecturers of a course sponsored by the Institute of Computer Applications in Science and Engineering (ICASE) and the NASA Langley Research Center. Not only does this book treat the latest advances on the subject, but it also attempts to impart practical knowledge to allow scientists and engineers to evaluate objectively where these tools stand in relation to their needs.

Download or read book Nonparametric Econometric Methods and Application written by Thanasis Stengos and published by MDPI. This book was released on 2019-05-20 with total page 224 pages. Available in PDF, EPUB and Kindle. Book excerpt: The present Special Issue collects a number of new contributions both at the theoretical level and in terms of applications in the areas of nonparametric and semiparametric econometric methods. In particular, this collection of papers that cover areas such as developments in local smoothing techniques, splines, series estimators, and wavelets will add to the existing rich literature on these subjects and enhance our ability to use data to test economic hypotheses in a variety of fields, such as financial economics, microeconomics, macroeconomics, labor economics, and economic growth, to name a few.

Download or read book Wavelet Methods for Time Series Analysis written by Donald B. Percival and published by Cambridge University Press. This book was released on 2006-02-27 with total page 628 pages. Available in PDF, EPUB and Kindle. Book excerpt: This introduction to wavelet analysis 'from the ground level and up', and to wavelet-based statistical analysis of time series focuses on practical discrete time techniques, with detailed descriptions of the theory and algorithms needed to understand and implement the discrete wavelet transforms. Numerous examples illustrate the techniques on actual time series. The many embedded exercises - with complete solutions provided in the Appendix - allow readers to use the book for self-guided study. Additional exercises can be used in a classroom setting. A Web site offers access to the time series and wavelets used in the book, as well as information on accessing software in S-Plus and other languages. Students and researchers wishing to use wavelet methods to analyze time series will find this book essential.

Download or read book Intelligent and Fuzzy Techniques for Emerging Conditions and Digital Transformation written by Cengiz Kahraman and published by Springer Nature. This book was released on 2021-08-23 with total page 954 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents recent research in intelligent and fuzzy techniques. Emerging conditions such as pandemic, wars, natural disasters and various high technologies force people for significant changes in business and social life. The adoption of digital technologies to transform services or businesses, through replacing non-digital or manual processes with digital processes or replacing older digital technology with newer digital technologies through intelligent systems is the main scope of this book. It focuses on revealing the reflection of digital transformation in our business and social life under emerging conditions through intelligent and fuzzy systems. The latest intelligent and fuzzy methods and techniques on digital transformation are introduced by theory and applications. The intended readers are intelligent and fuzzy systems researchers, lecturers, M.Sc. and Ph.D. students studying digital transformation. Usage of ordinary fuzzy sets and their extensions, heuristics and metaheuristics from optimization to machine learning, from quality management to risk management makes the book an excellent source for researchers.

Download or read book An Introduction to Wavelets and Other Filtering Methods in Finance and Economics written by Ramazan Gençay and published by Elsevier. This book was released on 2001-10-12 with total page 383 pages. Available in PDF, EPUB and Kindle. Book excerpt: An Introduction to Wavelets and Other Filtering Methods in Finance and Economics presents a unified view of filtering techniques with a special focus on wavelet analysis in finance and economics. It emphasizes the methods and explanations of the theory that underlies them. It also concentrates on exactly what wavelet analysis (and filtering methods in general) can reveal about a time series. It offers testing issues which can be performed with wavelets in conjunction with the multi-resolution analysis. The descriptive focus of the book avoids proofs and provides easy access to a wide spectrum of parametric and nonparametric filtering methods. Examples and empirical applications will show readers the capabilities, advantages, and disadvantages of each method. - The first book to present a unified view of filtering techniques - Concentrates on exactly what wavelets analysis and filtering methods in general can reveal about a time series - Provides easy access to a wide spectrum of parametric and non-parametric filtering methods

Download or read book Wavelet Theory written by David K. Ruch and published by John Wiley & Sons. This book was released on 2011-09-15 with total page 502 pages. Available in PDF, EPUB and Kindle. Book excerpt: A self-contained, elementary introduction to wavelet theory and applications Exploring the growing relevance of wavelets in the field of mathematics, Wavelet Theory: An Elementary Approach with Applications provides an introduction to the topic, detailing the fundamental concepts and presenting its major impacts in the world beyond academia. Drawing on concepts from calculus and linear algebra, this book helps readers sharpen their mathematical proof writing and reading skills through interesting, real-world applications. The book begins with a brief introduction to the fundamentals of complex numbers and the space of square-integrable functions. Next, Fourier series and the Fourier transform are presented as tools for understanding wavelet analysis and the study of wavelets in the transform domain. Subsequent chapters provide a comprehensive treatment of various types of wavelets and their related concepts, such as Haar spaces, multiresolution analysis, Daubechies wavelets, and biorthogonal wavelets. In addition, the authors include two chapters that carefully detail the transition from wavelet theory to the discrete wavelet transformations. To illustrate the relevance of wavelet theory in the digital age, the book includes two in-depth sections on current applications: the FBI Wavelet Scalar Quantization Standard and image segmentation. In order to facilitate mastery of the content, the book features more than 400 exercises that range from theoretical to computational in nature and are structured in a multi-part format in order to assist readers with the correct proof or solution. These problems provide an opportunity for readers to further investigate various applications of wavelets. All problems are compatible with software packages and computer labs that are available on the book's related Web site, allowing readers to perform various imaging/audio tasks, explore computer wavelet transformations and their inverses, and visualize the applications discussed throughout the book. Requiring only a prerequisite knowledge of linear algebra and calculus, Wavelet Theory is an excellent book for courses in mathematics, engineering, and physics at the upper-undergraduate level. It is also a valuable resource for mathematicians, engineers, and scientists who wish to learn about wavelet theory on an elementary level.

Download or read book Quantitative Finance written by Maria Cristina Mariani and published by John Wiley & Sons. This book was released on 2019-11-06 with total page 494 pages. Available in PDF, EPUB and Kindle. Book excerpt: Presents a multitude of topics relevant to the quantitative finance community by combining the best of the theory with the usefulness of applications Written by accomplished teachers and researchers in the field, this book presents quantitative finance theory through applications to specific practical problems and comes with accompanying coding techniques in R and MATLAB, and some generic pseudo-algorithms to modern finance. It also offers over 300 examples and exercises that are appropriate for the beginning student as well as the practitioner in the field. The Quantitative Finance book is divided into four parts. Part One begins by providing readers with the theoretical backdrop needed from probability and stochastic processes. We also present some useful finance concepts used throughout the book. In part two of the book we present the classical Black-Scholes-Merton model in a uniquely accessible and understandable way. Implied volatility as well as local volatility surfaces are also discussed. Next, solutions to Partial Differential Equations (PDE), wavelets and Fourier transforms are presented. Several methodologies for pricing options namely, tree methods, finite difference method and Monte Carlo simulation methods are also discussed. We conclude this part with a discussion on stochastic differential equations (SDE’s). In the third part of this book, several new and advanced models from current literature such as general Lvy processes, nonlinear PDE's for stochastic volatility models in a transaction fee market, PDE's in a jump-diffusion with stochastic volatility models and factor and copulas models are discussed. In part four of the book, we conclude with a solid presentation of the typical topics in fixed income securities and derivatives. We discuss models for pricing bonds market, marketable securities, credit default swaps (CDS) and securitizations. Classroom-tested over a three-year period with the input of students and experienced practitioners Emphasizes the volatility of financial analyses and interpretations Weaves theory with application throughout the book Utilizes R and MATLAB software programs Presents pseudo-algorithms for readers who do not have access to any particular programming system Supplemented with extensive author-maintained web site that includes helpful teaching hints, data sets, software programs, and additional content Quantitative Finance is an ideal textbook for upper-undergraduate and beginning graduate students in statistics, financial engineering, quantitative finance, and mathematical finance programs. It will also appeal to practitioners in the same fields.

Download or read book 13th International Conference on Theory and Application of Fuzzy Systems and Soft Computing ICAFS 2018 written by Rafik A. Aliev and published by Springer. This book was released on 2018-12-28 with total page 988 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents the proceedings of the 13th International Conference on Application of Fuzzy Systems and Soft Computing (ICAFS 2018), held in Warsaw, Poland on August 27–28, 2018. It includes contributions from diverse areas of soft computing such as uncertain computation, Z-information processing, neuro-fuzzy approaches, evolutionary computing and others. The topics of the papers include theory of uncertainty computation; theory and application of soft computing; decision theory with imperfect information; neuro-fuzzy technology; image processing with soft computing; intelligent control; machine learning; fuzzy logic in data analytics and data mining; evolutionary computing; chaotic systems; soft computing in business, economics and finance; fuzzy logic and soft computing in the earth sciences; fuzzy logic and soft computing in engineering; soft computing in medicine, biomedical engineering and the pharmaceutical sciences; and probabilistic and statistical reasoning in the social and educational sciences. The book covers new ideas from theoretical and practical perspectives in economics, business, industry, education, medicine, the earth sciences and other fields. In addition to promoting the development and application of soft computing methods in various real-life fields, it offers a useful guide for academics, practitioners, and graduates in fuzzy logic and soft computing fields.

Download or read book Genetic Algorithms in Search Optimization and Machine Learning written by David Edward Goldberg and published by Addison-Wesley Professional. This book was released on 1989 with total page 436 pages. Available in PDF, EPUB and Kindle. Book excerpt: A gentle introduction to genetic algorithms. Genetic algorithms revisited: mathematical foundations. Computer implementation of a genetic algorithm. Some applications of genetic algorithms. Advanced operators and techniques in genetic search. Introduction to genetics-based machine learning. Applications of genetics-based machine learning. A look back, a glance ahead. A review of combinatorics and elementary probability. Pascal with random number generation for fortran, basic, and cobol programmers. A simple genetic algorithm (SGA) in pascal. A simple classifier system(SCS) in pascal. Partition coefficient transforms for problem-coding analysis.

Download or read book Pattern Recognition and Machine Learning written by Christopher M. Bishop and published by Springer. This book was released on 2016-08-23 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is the first textbook on pattern recognition to present the Bayesian viewpoint. The book presents approximate inference algorithms that permit fast approximate answers in situations where exact answers are not feasible. It uses graphical models to describe probability distributions when no other books apply graphical models to machine learning. No previous knowledge of pattern recognition or machine learning concepts is assumed. Familiarity with multivariate calculus and basic linear algebra is required, and some experience in the use of probabilities would be helpful though not essential as the book includes a self-contained introduction to basic probability theory.

Download or read book Credit Models written by Damiano Brigo and published by . This book was released on 2007-12-14 with total page 512 pages. Available in PDF, EPUB and Kindle. Book excerpt: This text combines the theory and practice of pricing and implementing credit derivatives for credit risk modelling. It explains which models can be used in practice for many common scenarios and shows how to solve problems in the markets with adcanved mathematics and stochastic calculus.