Custom cover image
Custom cover image

A Cookbook with Probability One : With Financial Applications / by Damiano Rossello

By: Resource type: Ressourcentyp: Buch (Online)Book (Online)Language: English Series: La Matematica per il 3+2 ; 161Publisher: Cham : Springer Nature Switzerland, 2024Publisher: Cham : Imprint: Springer, 2024Edition: 1st ed. 2024Description: 1 Online-Ressource(XII, 402 p. 46 illus., 4 illus. in color.)ISBN:
  • 9783031546884
Subject(s): Additional physical formats: 9783031546877 | 9783031546891 | Erscheint auch als: 9783031546877 Druck-Ausgabe | Erscheint auch als: 9783031546891 Druck-AusgabeDOI: DOI: 10.1007/978-3-031-54688-4Online resources: Summary: 1 Probability, Events and Random Variables -- 2 Distribution of Random Variables -- 3 Multidimensional Random Variables -- 4 Moments and the Alike -- 5 Special Distributions -- 6 Conditioning -- 7 Regression, Prediction and more Dependence -- 8 Convergence Concepts -- 9 Introduction to Stochastic Processes -- 10 Introduction to Market Risk Measures.Summary: This book offers accessible probabilistic modelling of relevant financial problems. It is divided into two parts. The first part (cookbook) is written by emphasizing the key definitions and theorems without wasting too much of the reader with unnecessary technical details. Here, the first kind of target audience is graduate students in Economics with no prior exposition to probability theory (except for undergraduate courses in Applied Statistics) which are provided by a self-contained account of probabilistic modelling mainly applied to finance. The fundamental concepts of random variable/vector and probability distributions are introduced beforehand with respect to the usual treatment of this subject in standard probability textbook, trying to strike a balance between precise mathematical definitions and their applied knowledge. All the analytic tools developed are illustrated through examples of probability distributions of future stock prices, returns and profit and loss, together with their main characteristics, such as moments, moment generating and characteristic functions, location-scale families, and quantiles. The extension to the multivariate case for fixed time horizons is presented, together with the fundamentals of stochastic processes both in discrete and continuous time as candidate models for asset prices and return dynamics. Convergence concepts are presented as applied to the problem of point estimation of means, variances, correlation coefficients and risk measures. Short sections on risk and copula functions, further illustrate the potential application of probability models to financial problems. The second part of the book can be accessed by those students with more mathematical preparation. All the relevant proofs of results which are only stated in the first part and some advanced exercises with complete solutions are presented. .PPN: PPN: 1896063845Package identifier: Produktsigel: ZDB-2-SEB | ZDB-2-SMA | ZDB-2-SXMS
No physical items for this record
KIT – The Research University in the Helmholtz Association                         Home | Impressum | Datenschutz | Barrierefreiheit | KIT