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Found 184 Documents (Results 1–100)

Sharpe performance measure and Treynor performance measure approach to portfolio analysis. (English) Zbl 1454.91216

Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific. 2801-2838 (2021).
MSC:  91G10 62P05
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Derivative pricing for a multi-curve extension of the Gaussian, exponentially quadratic short rate model. (English) Zbl 1398.91594

Glau, Kathrin (ed.) et al., Innovations in derivatives markets. Fixed income modeling, valuation adjustments, risk management, and regulation. Proceedings of the conference, Munich, Germany, March 30 – April 1, 2015. Cham: Springer Open (ISBN 978-3-319-33445-5/hbk; 978-3-319-33446-2/ebook). Springer Proceedings in Mathematics & Statistics 165, 191-226 (2016).
MSC:  91G20 91G30 60G44
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No arbitrage theory for bond markets. (English) Zbl 1367.91183

Kallsen, Jan (ed.) et al., Advanced modeling in mathematical finance. In honour of Ernst Eberlein on the occasion of his 70th birthday, Kiel, Germany, May 22–25, 2015. Cham: Springer (ISBN 978-3-319-45873-1/hbk; 978-3-319-45875-5/ebook). Springer Proceedings in Mathematics & Statistics 189, 381-421 (2016).
MSC:  91G30 91G20
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Variational gradient plasticity: local-global updates, regularization and laminate microstructures in single crystals. (English) Zbl 1411.74020

Conti, Sergio (ed.) et al., Analysis and computation of microstructure in finite plasticity. Cham: Springer. Lect. Notes Appl. Comput. Mech. 78, 89-123 (2015).
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Interest rate modeling: post-crisis challenges and approaches. (English) Zbl 1418.91553

SpringerBriefs in Quantitative Finance. Cham: Springer (ISBN 978-3-319-25383-1/pbk; 978-3-319-25385-5/ebook). xiii, 140 p. (2015).
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Affine diffusions and related processes: simulation, theory and applications. (English) Zbl 1387.60002

Bocconi & Springer Series 6. Milano: Bocconi University Press; Cham: Springer (ISBN 978-3-319-05220-5/hbk; 978-3-319-05221-2/ebook). xiii, 252 p. (2015).
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Waves in a porous viscoelastic material saturated with a fluid. (English. Russian original) Zbl 1314.76042

Int. Appl. Mech. 50, No. 6, 688-698 (2014); translation from Prikl. Mekh., Kiev 50, No. 6, 97-109 (2014).
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An elementary introduction to stochastic interest rate modeling. 2nd ed. (English) Zbl 1248.91002

Advanced Series on Statistical Science & Applied Probability 16. Hackensack, NJ: World Scientific (ISBN 978-981-4390-85-9/hbk; 978-981-4390-86-6/ebook). xiii, 228 p. (2012).
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Financial mathematics. Theory and problems for multi-period models. Translated and extended version of the original Italian edition. (English) Zbl 1247.91001

Unitext 59. La Matematica per il 3+2. Milano: Springer (ISBN 978-88-470-2537-0/pbk; 978-88-470-2538-7/ebook). ix, 288 p. (2012).
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Multiscale stochastic volatility for equity, interest rate, and credit derivatives. (English) Zbl 1248.91003

Cambridge: Cambridge University Press (ISBN 978-0-521-84358-4/hbk). xiii, 441 p. (2011).
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Affine diffusion processes: theory and applications. (English) Zbl 1205.91068

Albrecher, Hansjörg (ed.) et al., Advanced financial modelling. Berlin: Walter de Gruyter (ISBN 978-3-11-021313-3/hbk; 978-3-11-021314-0/ebook). Radon Series on Computational and Applied Mathematics 8, 125-164 (2009).
MSC:  91B25 91G10 60J60 91B70
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