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Author : Fred Espen Benth
Publisher : Springer Nature
ISBN 13 : 3031505972
Total Pages : 270 pages
Book Rating : 4.0/5 (315 download)
Download or read book Quantitative Energy Finance written by Fred Espen Benth and published by Springer Nature. This book was released on with total page 270 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Peter McCullagh
Publisher : Courier Dover Publications
ISBN 13 : 0486832694
Total Pages : 308 pages
Book Rating : 4.4/5 (868 download)
Download or read book Tensor Methods in Statistics written by Peter McCullagh and published by Courier Dover Publications. This book was released on 2018-07-18 with total page 308 pages. Available in PDF, EPUB and Kindle. Book excerpt: A pioneering monograph on tensor methods applied to distributional problems arising in statistics, this work begins with the study of multivariate moments and cumulants. An invaluable reference for graduate students and professional statisticians. 1987 edition.
Author : Michael C. Fu
Publisher : Springer Science & Business Media
ISBN 13 : 0817645454
Total Pages : 345 pages
Book Rating : 4.8/5 (176 download)
Download or read book Advances in Mathematical Finance written by Michael C. Fu and published by Springer Science & Business Media. This book was released on 2007-06-22 with total page 345 pages. Available in PDF, EPUB and Kindle. Book excerpt: This self-contained volume brings together a collection of chapters by some of the most distinguished researchers and practitioners in the field of mathematical finance and financial engineering. Presenting state-of-the-art developments in theory and practice, the book has real-world applications to fixed income models, credit risk models, CDO pricing, tax rebates, tax arbitrage, and tax equilibrium. It is a valuable resource for graduate students, researchers, and practitioners in mathematical finance and financial engineering.
Author : Fred Espen Benth
Publisher : World Scientific
ISBN 13 : 981281230X
Total Pages : 352 pages
Book Rating : 4.8/5 (128 download)
Download or read book Stochastic Modelling of Electricity and Related Markets written by Fred Espen Benth and published by World Scientific. This book was released on 2008 with total page 352 pages. Available in PDF, EPUB and Kindle. Book excerpt: The markets for electricity, gas and temperature have distinctive features, which provide the focus for countless studies. For instance, electricity and gas prices may soar several magnitudes above their normal levels within a short time due to imbalances in supply and demand, yielding what is known as spikes in the spot prices. The markets are also largely influenced by seasons, since power demand for heating and cooling varies over the year. The incompleteness of the markets, due to nonstorability of electricity and temperature as well as limited storage capacity of gas, makes spot-forward hedging impossible. Moreover, futures contracts are typically settled over a time period rather than at a fixed date. All these aspects of the markets create new challenges when analyzing price dynamics of spot, futures and other derivatives.This book provides a concise and rigorous treatment on the stochastic modeling of energy markets. Ornstein?Uhlenbeck processes are described as the basic modeling tool for spot price dynamics, where innovations are driven by time-inhomogeneous jump processes. Temperature futures are studied based on a continuous higher-order autoregressive model for the temperature dynamics. The theory presented here pays special attention to the seasonality of volatility and the Samuelson effect. Empirical studies using data from electricity, temperature and gas markets are given to link theory to practice.
Author : Stephen P. Boyd
Publisher : Cambridge University Press
ISBN 13 : 9780521833783
Total Pages : 744 pages
Book Rating : 4.8/5 (337 download)
Download or read book Convex Optimization written by Stephen P. Boyd and published by Cambridge University Press. This book was released on 2004-03-08 with total page 744 pages. Available in PDF, EPUB and Kindle. Book excerpt: Convex optimization problems arise frequently in many different fields. This book provides a comprehensive introduction to the subject, and shows in detail how such problems can be solved numerically with great efficiency. The book begins with the basic elements of convex sets and functions, and then describes various classes of convex optimization problems. Duality and approximation techniques are then covered, as are statistical estimation techniques. Various geometrical problems are then presented, and there is detailed discussion of unconstrained and constrained minimization problems, and interior-point methods. The focus of the book is on recognizing convex optimization problems and then finding the most appropriate technique for solving them. It contains many worked examples and homework exercises and will appeal to students, researchers and practitioners in fields such as engineering, computer science, mathematics, statistics, finance and economics.
Author : Bernhard Pfaff
Publisher : John Wiley & Sons
ISBN 13 : 1119119685
Total Pages : 448 pages
Book Rating : 4.1/5 (191 download)
Download or read book Financial Risk Modelling and Portfolio Optimization with R written by Bernhard Pfaff and published by John Wiley & Sons. This book was released on 2016-08-16 with total page 448 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial Risk Modelling and Portfolio Optimization with R, 2nd Edition Bernhard Pfaff, Invesco Global Asset Allocation, Germany A must have text for risk modelling and portfolio optimization using R. This book introduces the latest techniques advocated for measuring financial market risk and portfolio optimization, and provides a plethora of R code examples that enable the reader to replicate the results featured throughout the book. This edition has been extensively revised to include new topics on risk surfaces and probabilistic utility optimization as well as an extended introduction to R language. Financial Risk Modelling and Portfolio Optimization with R: Demonstrates techniques in modelling financial risks and applying portfolio optimization techniques as well as recent advances in the field. Introduces stylized facts, loss function and risk measures, conditional and unconditional modelling of risk; extreme value theory, generalized hyperbolic distribution, volatility modelling and concepts for capturing dependencies. Explores portfolio risk concepts and optimization with risk constraints. Is accompanied by a supporting website featuring examples and case studies in R. Includes updated list of R packages for enabling the reader to replicate the results in the book. Graduate and postgraduate students in finance, economics, risk management as well as practitioners in finance and portfolio optimization will find this book beneficial. It also serves well as an accompanying text in computer-lab classes and is therefore suitable for self-study.
Author : James Durbin
Publisher : OUP Oxford
ISBN 13 : 0191627194
Total Pages : 369 pages
Book Rating : 4.1/5 (916 download)
Download or read book Time Series Analysis by State Space Methods written by James Durbin and published by OUP Oxford. This book was released on 2012-05-03 with total page 369 pages. Available in PDF, EPUB and Kindle. Book excerpt: This new edition updates Durbin & Koopman's important text on the state space approach to time series analysis. The distinguishing feature of state space time series models is that observations are regarded as made up of distinct components such as trend, seasonal, regression elements and disturbance terms, each of which is modelled separately. The techniques that emerge from this approach are very flexible and are capable of handling a much wider range of problems than the main analytical system currently in use for time series analysis, the Box-Jenkins ARIMA system. Additions to this second edition include the filtering of nonlinear and non-Gaussian series. Part I of the book obtains the mean and variance of the state, of a variable intended to measure the effect of an interaction and of regression coefficients, in terms of the observations. Part II extends the treatment to nonlinear and non-normal models. For these, analytical solutions are not available so methods are based on simulation.
Author : James Durbin
Publisher : Oxford University Press
ISBN 13 : 9780198523543
Total Pages : 280 pages
Book Rating : 4.5/5 (235 download)
Download or read book Time Series Analysis by State Space Methods written by James Durbin and published by Oxford University Press. This book was released on 2001-06-21 with total page 280 pages. Available in PDF, EPUB and Kindle. Book excerpt: State space time series analysis emerged in the 1960s in engineering, but its applications have spread to other fields. Durbin (statistics, London School of Economics and Political Science) and Koopman (econometrics, Free U., Amsterdam) extol the virtues of such models over the main analytical system currently used for time series data, Box-Jenkins' ARIMA. What distinguishes state space time models is that they separately model components such as trend, seasonal, regression elements and disturbance terms. Part I focuses on traditional and new techniques based on the linear Gaussian model. Part II presents new material extending the state space model to non-Gaussian observations. c. Book News Inc.
Author : Robert A Jarrow
Publisher : World Scientific
ISBN 13 : 9814470635
Total Pages : 609 pages
Book Rating : 4.8/5 (144 download)
Download or read book Financial Derivatives Pricing: Selected Works Of Robert Jarrow written by Robert A Jarrow and published by World Scientific. This book was released on 2008-10-08 with total page 609 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is a collection of original papers by Robert Jarrow that contributed to significant advances in financial economics. Divided into three parts, Part I concerns option pricing theory and its foundations. The papers here deal with the famous Black-Scholes-Merton model, characterizations of the American put option, and the first applications of arbitrage pricing theory to market manipulation and liquidity risk.Part II relates to pricing derivatives under stochastic interest rates. Included is the paper introducing the famous Heath-Jarrow-Morton (HJM) model, together with papers on topics like the characterization of the difference between forward and futures prices, the forward price martingale measure, and applications of the HJM model to foreign currencies and commodities.Part III deals with the pricing of financial derivatives considering both stochastic interest rates and the likelihood of default. Papers cover the reduced form credit risk model, in particular the original Jarrow and Turnbull model, the Markov model for credit rating transitions, counterparty risk, and diversifiable default risk.
Author : Bertrand Clarke
Publisher : Springer Science & Business Media
ISBN 13 : 0387981357
Total Pages : 786 pages
Book Rating : 4.3/5 (879 download)
Download or read book Principles and Theory for Data Mining and Machine Learning written by Bertrand Clarke and published by Springer Science & Business Media. This book was released on 2009-07-21 with total page 786 pages. Available in PDF, EPUB and Kindle. Book excerpt: Extensive treatment of the most up-to-date topics Provides the theory and concepts behind popular and emerging methods Range of topics drawn from Statistics, Computer Science, and Electrical Engineering
Author : Vijendra Singh
Publisher : Springer Nature
ISBN 13 : 9811568766
Total Pages : 625 pages
Book Rating : 4.8/5 (115 download)
Download or read book Computational Methods and Data Engineering written by Vijendra Singh and published by Springer Nature. This book was released on 2020-08-19 with total page 625 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book gathers selected high-quality research papers from the International Conference on Computational Methods and Data Engineering (ICMDE 2020), held at SRM University, Sonipat, Delhi-NCR, India. Focusing on cutting-edge technologies and the most dynamic areas of computational intelligence and data engineering, the respective contributions address topics including collective intelligence, intelligent transportation systems, fuzzy systems, data privacy and security, data mining, data warehousing, big data analytics, cloud computing, natural language processing, swarm intelligence, and speech processing.
Author : J. Jaime Gómez-Hernández
Publisher : Springer
ISBN 13 : 3319468197
Total Pages : 949 pages
Book Rating : 4.3/5 (194 download)
Download or read book Geostatistics Valencia 2016 written by J. Jaime Gómez-Hernández and published by Springer. This book was released on 2017-03-07 with total page 949 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book contains selected contributions presented at the 10th International Geostatistics Congress held in Valencia from 5 to 9 September, 2016. This is a quadrennial congress that serves as the meeting point for any engineer, professional, practitioner or scientist working in geostatistics. The book contains carefully reviewed papers on geostatistical theory and applications in fields such as mining engineering, petroleum engineering, environmental science, hydrology, ecology, and other fields.
Author : Shubhakar Kalya
Publisher : Springer Nature
ISBN 13 : 9811604436
Total Pages : 457 pages
Book Rating : 4.8/5 (116 download)
Download or read book Advances in VLSI, Signal Processing, Power Electronics, IoT, Communication and Embedded Systems written by Shubhakar Kalya and published by Springer Nature. This book was released on 2021-04-10 with total page 457 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book comprises select peer-reviewed papers from the International Conference on VLSI, Signal Processing, Power Electronics, IoT, Communication and Embedded Systems (VSPICE-2020). The book provides insights into various aspects of the emerging fields in the areas Electronics and Communication Engineering as a holistic approach. The various topics covered in this book include VLSI, embedded systems, signal processing, communication, power electronics and internet of things. This book mainly focuses on the most recent innovations, trends, concerns and practical challenges and their solutions. This book will be useful for academicians, professionals and researchers in the area of electronics and communications and electrical engineering.
Author : Yacine Ait-Sahalia
Publisher : Elsevier
ISBN 13 : 0080929842
Total Pages : 809 pages
Book Rating : 4.0/5 (89 download)
Download or read book Handbook of Financial Econometrics written by Yacine Ait-Sahalia and published by Elsevier. This book was released on 2009-10-19 with total page 809 pages. Available in PDF, EPUB and Kindle. Book excerpt: This collection of original articles—8 years in the making—shines a bright light on recent advances in financial econometrics. From a survey of mathematical and statistical tools for understanding nonlinear Markov processes to an exploration of the time-series evolution of the risk-return tradeoff for stock market investment, noted scholars Yacine Aït-Sahalia and Lars Peter Hansen benchmark the current state of knowledge while contributors build a framework for its growth. Whether in the presence of statistical uncertainty or the proven advantages and limitations of value at risk models, readers will discover that they can set few constraints on the value of this long-awaited volume. - Presents a broad survey of current research—from local characterizations of the Markov process dynamics to financial market trading activity - Contributors include Nobel Laureate Robert Engle and leading econometricians - Offers a clarity of method and explanation unavailable in other financial econometrics collections
Author : Peter Tankov
Publisher : CRC Press
ISBN 13 : 1135437947
Total Pages : 552 pages
Book Rating : 4.1/5 (354 download)
Download or read book Financial Modelling with Jump Processes written by Peter Tankov and published by CRC Press. This book was released on 2003-12-30 with total page 552 pages. Available in PDF, EPUB and Kindle. Book excerpt: WINNER of a Riskbook.com Best of 2004 Book Award! During the last decade, financial models based on jump processes have acquired increasing popularity in risk management and option pricing. Much has been published on the subject, but the technical nature of most papers makes them difficult for nonspecialists to understand, and the mathematic
Author : Richard J. Howarth
Publisher : Springer
ISBN 13 : 3319573152
Total Pages : 892 pages
Book Rating : 4.3/5 (195 download)
Download or read book Dictionary of Mathematical Geosciences written by Richard J. Howarth and published by Springer. This book was released on 2017-05-27 with total page 892 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dictionary includes a number of mathematical, statistical and computing terms and their definitions to assist geoscientists and provide guidance on the methods and terminology encountered in the literature. Each technical term used in the explanations can be found in the dictionary which also includes explanations of basics, such as trigonometric functions and logarithms. There are also citations from the relevant literature to show the term’s first use in mathematics, statistics, etc. and its subsequent usage in geosciences.
Author : Yannis Stylianou
Publisher : Springer
ISBN 13 : 3540715053
Total Pages : 280 pages
Book Rating : 4.5/5 (47 download)
Download or read book Progress in Nonlinear Speech Processing written by Yannis Stylianou and published by Springer. This book was released on 2007-05-24 with total page 280 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book constitutes of the major results of the EU COST (European Cooperation in the field of Scientific and Technical Research) Action 277: NSP, Nonlinear Speech Processing, running from April 2001 to June 2005. Coverage includes such areas as speech analysis for speech synthesis, speech recognition, speech-non speech discrimination and voice quality assessment, speech enhancement, and emotional state detection.
