Mathematical and Statistical Methods for Actuarial Sciences and Finance
As regards the applications, they are related to real problems associated, among the others, to: banks; collateralized fund obligations; credit portfolios; defined benefit pension plans; double-indexed pension annuities; efficient-market hypothesis; exchange markets; financial time series; firms; hedge f...
| Other Authors: | , |
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| Format: | eBook |
| Language: | English |
| Published: |
Cham
Springer International Publishing
2014, 2014
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| Edition: | 1st ed. 2014 |
| Subjects: | |
| Online Access: | |
| Collection: | Springer eBooks 2005- - Collection details see MPG.ReNa |
Table of Contents:
- Investment rankings via an objective measure of riskiness: a case study (M.E. Marina, M. Resta)
- A squared rank assessment of the differencebetween US and European firm valuation ratios (M. Marozzi)
- A behavioural approach to the pricing of European options (M. Nardon, P. Pianca)
- Threshold structures in economic and financial time series (M. Niglio, C.D. Vitale)
- Intelligent algorithms for trading the Euro-Dollar in the foreign exchange market (D. Pelusi, M. Tivegna, P. Ippoliti)
- Risk management and capital allocation for Non-Life insurance companies (M. Pirra, S. Forte, M. Ialenti)
- Modelling asymmetric behaviour in time series: identification through PSO (C. Pizzi, F. Parpinel)
- Valuation of collateralized funds of hedge fund obligations: a Basket Option pricing approach (G.L. Tassinari, C. Corradi)
- Valuation of R&D investment opportunities using the Least-Squares Monte Carlo method (G. Villani)
- Bifactorial pricing models: light and shadows in correlation role (R. Cocozza, A. De Simone)
- Dynamic strategies for Defined Benefit pension plans risk management (I. Colivicchi, G. Piscopo, E. Vannucci)
- Particle Swarm Optimization for preference disaggregation in multicriteria credit scoring problems (M. Corazza, S. Funari, R. Gusso)
- Time series clustering on lower tail dependence for portfolio selection (G. De Luca, P. Zuccolotto)
- Solvency Analysis of Defined Benefit pension schemes (P. Devolder, G. Piscopo)
- Stochastic actuarial valuations in double-indexed pension annuity assessment (E. Di Lorenzo, A. Orlando, M. Sibillo)
- Testing for Normality when the sampled distribution is Extended Skew-Normal (C. Franceschini, N. Loperfido)
- On the RODEO method for variable selection (F. Giordano, M.L. Parrella)
- Portfolio allocation using Omega function: an empirical analysis (A. Hitaj, F. Martinelli, G. Zambruno)
- The determinants of interbank contagion: do patterns matter? (S. Zedda, G. Cannas, C. Galliani)
- Weak form efficiency of selected European stock markets: alternative testing approaches (G. Albano, M. La Rocca, C. Perna)
- An empirical comparison of variable selection methods in competing risks model (A. Amendola, M. Restaino, L. Sensini)
- A comparison between different numerical schemes for the valuation of unit-linked contracts embedding a surrender option (A.R. Bacinello, P. Millossovich, A. Montealegre)
- Dynamic tracking error with shortfall control using stochastic programming (D. Barro, E. Canestrelli)
- Firm’s volatility risk under microstructure noise (F. Barsotti, S. Sanfelici)
- Socially responsible mutual funds: an efficiency comparison among the European countries (A. Basso, S. Funari)
- Fitting financial returns distributions: a mixture normality approach (R. Bramante, D. Zappa)
- Single-name concentration risk measurements in credit portfolios (R. Calabrese, F. Porro)