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It was the end of 2005 when our employer, a major European Investment Bank, gave our team the mandate to compute in an accurate way the counterparty credit exposure arising from exotic derivatives traded by the ?rm.
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A detailed treatment of the geometric aspects of discrete groups was carried out by Raghunathan in his book "Discrete subgroups of Lie Groups" which appeared... Læs mere
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This thoroughly revised second edition includes a brand new chapter devoted to volatility risk. As a consequence, hedging of plain-vanilla options and valuation of exotic options are no longer limited to the Black-Scholes framework with constant volatility.
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The contributing authors are Daniel McFadden, Rosa Matzkin, Emma Moreno-Garcia, Roger Lagunoff, Yakar Kannai, Myrna Wooders, James... Læs mere
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Probability theory arose originally in connection with games of chance and then for a long time it was used primarily to investigate the credibility of testimony of witnesses in the “ethical” sciences.
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This volume of the Encyclopaedia is a survey of stochastic calculus, an increasingly important part of probability, authored by well-known experts in the... Læs mere
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Of paramount significance in the applications of this method have been the properties of covers relating to the character of their elements (open covers, closed covers), the mutual dispo sition of these elements (star finite, point finite, locally finite covers, etc.
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Both in insurance and in finance applications, questions involving extremal events (such as large insurance claims, large fluctuations in financial data, stock market shocks, risk management, ...) play an increasingly important role.
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Some of the most convincing demonstrations of the power of these tech niques are randomized algorithms for estimating quantities which are hard to compute exactly. One example is the randomized algorithm of Dyer, Frieze and Kannan for estimating the volume of a polyhedron.
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This volume aims to change this situation by presenting in a clear way fundamental... Læs mere
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This volume covers recent developments in self-normalized processes, including self-normalized large and moderate deviations, and laws of the iterated logarithms for self-normalized martingales.