Finansal Kitaplar
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Transcript of Finansal Kitaplar
FİNANSAL RİSK VE FRAKTAL KİTAPLARIDoç. Dr. Kutlu MERİH
STOKASTİK SÜREÇLER
3.
Stochastic Calculus and Financial Applications - Sayfa 272
J. Michael Steele tarafından - 2001 - 300 sayfaThe formula that we obtain may seem to be a bit more complex than those we have found before, but this complexity is largely due to some notational clutter ...
Anahtar sözcükler ve sözcük grupları
ItO integral, random variables, local martingale, arbitrage, conditional expectation, diffusion equation, random walk, martingale representation theorem, dominated convergence theorem, geometric Brownian motion, Fatou's lemma, Brownian bridge, uniform integrability, Jensen's inequality, stochastic integral, isometry, Girsanov theorem, Gaussian process, probability measure, Laplace transform
4.
Minority Games - Sayfa 234
Damien Challet, Matteo Marsili,
Yi-Cheng Zhang tarafından - 2005
- 360 sayfa
The standard method of pricing
options using the Black-Scholes
formula assumes
... The Economy as an Evolving,
Complex system II, Addison-
Wesley, Reading. ...
5.
Stochastic Processes: From Physics to Finance
Wolfgang Paul, Jörg Baschnagel tarafından - 2000 - 231 sayfaThis book presents an introduction to stochastic processes with applications from physics and finance.
Anahtar sözcükler ve sözcük grupları
stochastic processes, geometric Brownian motion, Wiener process, random variables, Markov process, put option, Levy distribution, Gaussian distribution, master equation, central limit theorem, kurtosis, Brownian particle, quantum mechanics, martingale, stochastic differential equation, stable distributions, implied volatility, probability space, call option, binomial distribution
6.
Tools for Computational Finance - Sayfa 38
Rüdiger Seydel tarafından -
2004 - 240 sayfa
... methods for SDEs ( — >
Chapter 3) 1.8 Ito Lemma
and Implications Ito's lemma
is most fundamental for
stochastic processes. It may
help, for example, ...
7.
Stochastic Processes: From Physics to Finance - Sayfa vi Wolfgang Paul, Jörg
Baschnagel tarafından - 2000
- 231 sayfa
Geometric Brownian motion
is a model for the time
evolution of stock prices. ...
finance. The theory of
stochastic processes is the
‘golden thread' which ...
8.
Stochastic Processes and Applications to Mathematical Finance - Sayfa 1
Jiro Akahori, Shigeyoshi Ogawa,
Shinzo Watanabe tarafından - 2007
- 297 sayfa
This on the other hand allows to
identify the additional utility by
entropy
related quantities known from
information theory. Key words:
enlargement of ...
9.
Financial Modelling With Jump Processes - Sayfa 346
Rama Cont, Peter Tankov
tarafından - 2004 - 306 sayfa
... reasonable from a
financial point of view and it
is interesting that such a
property stems from the
abstract principle of relative
entropy minimization. ...
10.
Stochastic Finance: An Introduction in Discrete Time - Sayfa 434
Hans Föllmer, Alexander Schied tarafından - 2004 - 459 sayfaThis may be viewed as the financial interpretation of general results on entropy
minimization in Csiszar [43], [44], The methods for characterizing optimal ...
Anahtar sözcükler ve sözcük grupları
probability measure, risk-neutral measure, random variables, coherent risk measure, arbitrage, convex set, weak topology, Choquet integral, quantile function, probability space, concave function, Value at Risk, utility function, measurable functions, expected utility, Black-Scholes, loss function, penalty function, Banach space, lower semicontinuous
11.
Extreme Financial Risks: From Dependence to Risk Management - Sayfa 49
Yannick Malevergne, Didier Sornette tarafından - 2006 - 312 sayfaIndeed, the bias observed for the SE with c = 0.3 seems smaller for large quantiles than the smallest biases reached by the GEV method. ...
Spearman's rho, Pareto distribution, Standard & Poor's, quantiles, marginal distributions, power law, Kendall's tau, eigenvalues, German Mark, degrees of freedom, extreme value theory, log-Weibull distributions, covariance matrix, exponential distribution, Argentina, multifractal, Swiss Franc, stochastic volatility, sub-additivity, tail dependence
12.
Extreme Values in Finance, Telecommunications, and the Environment - Sayfa 81 Bärbel Finkenstädt, Holger
Rootzén tarafından - 2004 - 405
sayfa
Although these families of
distributions correspond simply to
the GEV subclasses
... The recognition that this could
be achieved with the GEV family
— first ...
13.
Elementary Stochastic Calculus, with Finance in View - Sayfa 138 Thomas Mikosch tarafından -
1998 - 212 sayfa
... whatever the choice of the
constants cj and cri. d 3.2.2
Solving Ito Stochastic
Differential Equations by the
Ito Lemma In this section
we solve some ...
14.
Statistical Tools for Finance and Insurance - Sayfa 46
Pavel Čižek, Wolfgang Härdle, Rafał
Weron tarafından - 2005 - 517 sayfa
The family of GEV distributions contains
three subclasses: the Frechet
distribution, £ > 0. the Weibull distribution.
£ < 0. and the Gumbel distribution. ...
Burr distribution, copula, implied volatility,
a-stable, random variable, gamma distribution,
exponential distribution, log-normal distribution,
expected value, Pareto distribution, volatility smile,
Black-Scholes, stochastic volatility, local volatility,
risk premium, quantile, reinsurance,
compound Poisson distribution, p-values,
Heston model
15.
Modelling Extremal Events for Insurance and Finance - Sayfa 158 Paul Embrechts, Claudia Klüppelberg,
Thomas Mikosch tarafından - 1997 - 645 sayfaThe GEV provides a convenient unifying representation of the three extreme value types Gumbel, Fréchet and Weibull. Its introduction is mainly motivated by ...
extreme value theory, weak convergence, extreme value distribution, finite-dimensional distributions, stochastic processes, Gumbel distribution, stationary process, random walk, periodogram, autocorrelations, Pareto distribution, compound Poisson process, absolutely continuous, Lebesgue measure, autocovariances, Borel sets, geometric Brownian motion, converges in distribution, Poisson distribution, reinsurance treaties
16.
Quantitative Finance and Risk Management: A Physicist's Approach
Written by a physicist with over 15 years of experience as a quant on Wall Street, this book treats a wide variety of topics. Presenting the theory and practice of quantitative finance and risk, it delves into the "how to" and "what it's like" aspects not covered in textbooks or research papers. Both standard and new results are presented. A "Technical Index" indicates the mathematical level--from zero to PhD mathematical background--for each section. The finance aspect in each section is self-contained. Real-life comments on "life as a quant" are included. The writing style is informal. This book is targeted at scientists and engineers desiring to learn quantitative finance, as well as quantitative analysts and finance graduate students.
17.
Statistics of Financial Markets: An Introduction - Sayfa 53
Jürgen Franke, Wolfgang Härdle,
Christian Hafner tarafından - 2004
- 424 sayfa
5.1 Wiener Process We begin with
a simple symmetric random walk
{Xn; n > 0}
starting in 0 (Xo = 0). The
increments Zr, = Xn — Xn-i ...
18.
Lévy Processes in Finance: Pricing Financial Derivatives - Sayfa 25
Wim Schoutens tarafından -
2003 - 196 sayfa
In 1923 Norbert Wiener
defined and constructed
Brownian motion ...
modelling tool
in finance. 3.2.1 Definition
A stochastic process X =
{X,,t ^ 0} is a ...
19.
Stochastic Processes with Applications to Finance - Sayfa vi
Masaaki Kijima tarafından -
2002 - 288 sayfa
As finance models become
ever more complicated,
practitioners want to use
Monte
... A diffusion process is a
natural extension of a
Brownian motion and a ...
20.
The Mathematics of Financial Derivatives: A Student Introduction - Sayfa 33 Paul Wilmott, Sam Howison, Jeff
Dewynne tarafından - 1995 - 333
sayfa
... 3 The Black-Scholes Model 3.1
Introduction We begin this chapter
with a ...
Almost all finance theory, this
book included, assumes the
existence of ...
21.
Financial Calculus: An Introduction to Derivative Pricing - Sayfa 83 Martin Baxter, Andrew Rennie
tarafından - 1996 - 243 sayfa
The rest of the book consists of
upping the stakes in complexity of
models and of claims. 3.7
Black-Scholes model We need a
model to cut our teeth on. ...
22.
An Introduction to Financial Option Valuation: Mathematics, Stochastics and ...
Desmond J. Higham
tarafından - 2004 - 296 sayfa
This book is intended for use
in a rigorous introductory
PhD level course in
econometrics, or in afield
course in econometric
theory.
23.
Quantitative Modeling of Derivative Securities: From Theory to Practice - Sayfa 122
Marco Avellaneda, Peter Laurence tarafından - 2000 - 322 sayfaThus, the Generalized Ito Lemma can be written concisely in the form o\ at The .. The proof of the Generalized Ito Lemma is very similar to the proof of ...
Anahtar sözcükler ve sözcük grupları
kurtosis, random variables, implied volatility, correlation function, variogram, power-law, stochastic volatility, forward contract, Levy distribution, However, option price, at-the-money, probability distribution, strike price, moneyness, eigenvalues, inverse gamma distribution, random matrices, Exotic Options, Quantitative Finance
24.
Computational Methods in Decision-Making, Economics and Finance - Sayfa 131 Erricos John
Kontoghiorghes, Berc
Rustem, Stavros Siokos
tarafından - 2002 - 644 sayfa
... Finance ... (7.51)
preferences for
homothetic/minimum
entropy ...
25.
Why Stock Markets Crash: Critical Events in Complex Financial Systems - Sayfa 414 Didier Sornette tarafından -
2002 - 448 sayfa
General Black-Scholes
models accounting for
increased market volatility
from hedging strategies,
Applied Mathematical
Finance 5, 45-82. 382. ...
26.
The Golden Ratio: The Story of Phi, the World's Most Astonishing Number - Sayfa 226 Mario Livio tarafından - 2003
... book entitled Fractals and
Scaling in Finance: Discontinuity,
Concentration,
Risk, which introduced well-
defined fractal models into market
economics. ...
27.
An Introduction to High-Frequency Finance - Sayfa 372
Ramazan Gençay, Michel M.
Dacorogna tarafından - 2001
- 383 sayfa
Chaos and Order in Capital
Markets, A Wiley Finance
Edition, John Wiley & Sons,
New York. Petersen, MA and
Fialkowski, D. (1994). ...
FRAKTAL FİNANS
29.
Fractal Market Analysis: Applying Chaos Theory to Investment and Economics DIKKAT: BU KITAP
KUTUPHANEDE VAR
Edgar E. Peters tarafından -
1994 - 336 sayfa
These are specific tools
employed by chaos scientists
to map and measure physical
and now, economic
phenomena.
30.
Chaos and Order in the Capital Markets: A New View of Cycles, Prices, and ... - Sayfa 71 Edgar E. Peters tarafından - 1996 -
288 sayfa
Volatility is not a proper measure
of risk in comparing two
securities. Their fractal
dimensions can tell another story,
as we shall see in the next ...
31.
Fractals and Scaling in Finance: Discontinuity, Concentration, Risk - Sayfa 49 Benoit B. Mandelbrot
tarafından - 1997 - 551 sayfa
Altogether, the fractal approach ro finance unavoidably brings to mind two distinct metaphors from different physical sciences. ...
32.
Chaos Theory in the Financial Markets: Applying Fractals, Fuzzy Logic ... Dimitris N. Chorafas
tarafından - 1994 - 400 sayfa
Chorafas explores a variety of new approaches that provide an entirely new perspective on financial market analysis and forecasting.
33.
Agent-Based Methods in Economics and Finance: Simulations in Swarm - Sayfa 140 Francesco Luna, Alessandro
Perrone tarafından - 2002 -
306 sayfa
By so doing, we specify this
fractal quantity as a ...
Basics for a possible
fractal financial economics
In order to represent the
time-evolving behaviour ...
34.
The (mis)behavior of markets: A Fractal View of Risk, Ruin, and Reward Benoit B. Mandelbrot,
Richard L. Hudson
tarafından - 2004 - 328 sayfa
Benoit B. Mandelbrot, one of
the century's most influential
mathematicians, is
world-famous for making
mathematical sense of a fact
everybody knows but
that...Önizleme Yok
EKONOFİZİK
36.
An Introduction to Econophysics: Correlations and Complexity in Finance Rosario N. Mantegna, Harry Eugene
Stanley tarafından - 2000 - 158 sayfaThis pioneering text explores the use of these concepts in the description of financial systems, thedynamic new specialty of econophysics.
Anahtar sözcükler ve sözcük grupları
random variables, geometric Brownian motion, rational price, ultrametric space, probability density function, efficient market hypothesis, algorithmic complexity theory, infinitely divisible, autocorrelation function, characteristic function, autocovariance, Gaussian distribution, Wiener process, implied volatility, financial markets, Levy distribution, stable distribution, spectral density, foreign exchange market, forward contract
37.
The Statistical Mechanics of Financial Markets
Johannes Voit tarafından -
2005 - 378 sayfa
... 343, 351, 356 investment
grade bond, 343 IRB
Approach, 342, 345, 357
Ising
model, 4, 236, 273 Ito
lemma, 69 Ito process, 64,
79 junk bond, 343
kurtosis, ...
38.
Quantitative Finance for Physicists an Introduction - Sayfa 59 Anatoly B Schmidt
tarafından - 2005
Chapter 6 Fractals In short,
fractals are the geometric
objects that are ...
6.1 BASIC DEFINITIONS
Self-similarity is the defining
property of fractals. ...
39.
Theory of Financial Risk and Derivate Pricing[: From Statistical Physics to ... - Sayfa 49
Jean-Philippe Bouchaud, Marc Potters tarafından - 2003A more rigorous proof constitutes the famous Ito lemma. which makes precise ... is at the heart of many applications, in particular in mathematical finance. ...
Anahtar sözcükler ve sözcük grupları kurtosis, random variables, implied volatility,
correlation function, variogram, power-law, stochastic volatility, forward contract, Levy distribution, However, option price, at-the-money, probability distribution, strike price, moneyness, eigenvalues, inverse gamma distribution, random matrices, Exotic Options, Quantitative Finance
40.
Options and Options Trading: A Simplified Course That Takes You from Coin ... - Sayfa 10
Robert W. Ward tarafından - 2004
- 288 sayfa
We will follow the most intuitive
paths possible and avoid as much
complexity as we can.
Options are far more complex then
forwards and futures, ...
Black-Scholes iyi anlatılıyor
41.
Louis Bachelier's Theory of Speculation: The Origins of Modern Finance - Sayfa 97
Louis Bachelier tarafından -
2006 - 188 sayfa
... Finance in various guises
is a ubiquitous feature of
financial markets, ...
The move from arithmetic to
geometric Brownian motion
was, on one level,
RISK ANALIZI
43.
Risk and Financial Management: Mathematical and Computational Methods - Sayfa 304
Charles S. Tapiero tarafından -
2004 - 358 sayfa
Mandelbrot, B. (1997a) Three
fractal models in finance:
Discontinuity, concentration,
risk, Economic Notes, 26, 1 7 1-2
1 2. Mandelbrot, B .B. ( 1 997b) ...
44.
The Handbook of Risk - Sayfa 217
Ben Warwick, IMCA, NetLibrary,
Inc tarafından - 2003
(Fractal dimensions of selected
data series from 1959 to 1990)
Sources: Peters
... Table 14.4 shows the fractal
dimensions of a number of
financial series. ...
45.
Strategic Risk Taking: A Framework for Risk Management - Sayfa 81
Aswath Damodaran tarafından -
2007 - 388 sayfa
More volatile stocks score higher
on measures of fractal dimension,
thus making
it a measure of risk.
With fractal geometry,
Mandelbrot was able to explain ...