Mathematical and Statistical Methods for Actuarial Sciences and Finance
Editor
- Marco Corazza(University Ca’ Foscari Venice, Department of Applied Mathematics)Claudio Pizzi(University Ca’ Foscari Venice, Department of Statistics)
Abstract
Individual chapters are listed in the "Chapters" tab
Suggested Citation
DOI: 10.1007/978-88-470-1481-7
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Book Chapters
The following chapters of this book are listed in IDEAS- Laura Ballester & Román Ferrer & Cristóbal Gonález, 2010. "Impact of interest rate risk on the Spanish banking sector," Springer Books, in: Marco Corazza & Claudio Pizzi (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 1-11, Springer.
- Diana Barro & Elio Canestrelli, 2010. "Tracking error with minimum guarantee constraints," Springer Books, in: Marco Corazza & Claudio Pizzi (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 13-21, Springer.
- Cristina Bencivenga & Giulia Sargenti & Rita L. D’Ecclesia, 2010. "Energy markets: crucial relationship between prices," Springer Books, in: Marco Corazza & Claudio Pizzi (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 23-32, Springer.
- Michele Leonardo Bianchi & Svetlozar T. Rachev & Young Shin Kim & Frank J. Fabozzi, 2010. "Tempered stable distributions and processes in finance: numerical analysis," Springer Books, in: Marco Corazza & Claudio Pizzi (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 33-42, Springer.
- Catalina Bolancé & Montserrat Guillén & Jens Perch Nielsen, 2010. "Transformation kernel estimation of insurance claim cost distributions," Springer Books, in: Marco Corazza & Claudio Pizzi (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 43-51, Springer.
- Antonella Campana & Paola Ferretti, 2010. "What do distortion risk measures tell us on excess of loss reinsurance with reinstatements?," Springer Books, in: Marco Corazza & Claudio Pizzi (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 53-61, Springer.
- Marta Cardin & Elisa Pagani, 2010. "Some classes of multivariate risk measures," Springer Books, in: Marco Corazza & Claudio Pizzi (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 63-73, Springer.
- Paola Cerchiello & Maria Iannario & Domenico Piccolo, 2010. "Assessing risk perception by means of ordinal models," Springer Books, in: Marco Corazza & Claudio Pizzi (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 75-83, Springer.
- Rosa Cocozza & Emilia Di Lorenzo & Albina Orlando & Marilena Sibillo, 2010. "A financial analysis of surplus dynamics for deferred life schemes," Springer Books, in: Marco Corazza & Claudio Pizzi (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 85-92, Springer.
- Marco Corazza & Andrea Ellero & Alberto Zorzi, 2010. "Checking financial markets via Benford’s law: the S&P 500 case," Springer Books, in: Marco Corazza & Claudio Pizzi (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 93-102, Springer.
- Pietro Coretto & Maria Lucia Parrella, 2010. "Empirical likelihood based nonparametric testing for CAPM," Springer Books, in: Marco Corazza & Claudio Pizzi (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 103-112, Springer.
- Valeria D’Amato & Maria Russolillo, 2010. "Lee-Carter error matrix simulation: heteroschedasticity impact on actuarial valuations," Springer Books, in: Marco Corazza & Claudio Pizzi (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 113-122, Springer.
- Antonio Díaz & Francisco Jareño & Eliseo Navarro, 2010. "Estimating the volatility term structure," Springer Books, in: Marco Corazza & Claudio Pizzi (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 123-131, Springer.
- Fernanda D’Ippoliti & Enrico Moretto & Sara Pasquali & Barbara Trivellato, 2010. "Exact and approximated option pricing in a stochastic volatility jump-diffusion model," Springer Books, in: Marco Corazza & Claudio Pizzi (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 133-142, Springer.
- Cinzia Franceschini & Nicola Loperfido, 2010. "A skewed GARCH-type model for multivariate financial time series," Springer Books, in: Marco Corazza & Claudio Pizzi (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 143-152, Springer.
- Luca Grilli & Massimo Alfonso Russo & Angelo Sfrecola, 2010. "Financial time series and neural networks in a minority game context," Springer Books, in: Marco Corazza & Claudio Pizzi (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 153-162, Springer.
- Michele La Rocca & Domenico Vistocco, 2010. "Robust estimation of style analysis coefficients," Springer Books, in: Marco Corazza & Claudio Pizzi (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 163-172, Springer.
- Susanna Levantesi & Massimiliano Menzietti, 2010. "Managing demographic risk in enhanced pensions," Springer Books, in: Marco Corazza & Claudio Pizzi (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 173-182, Springer.
- Francesco Lisi & Edoardo Otranto, 2010. "Clustering mutual funds by return and risk levels," Springer Books, in: Marco Corazza & Claudio Pizzi (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 183-191, Springer.
- Elisa Luciano & Patrizia Semeraro, 2010. "Multivariate Variance Gamma and Gaussian Dependence: a study with copulas," Springer Books, in: Marco Corazza & Claudio Pizzi (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 193-203, Springer.
- Marco Marozzi & Luigi Santamaria, 2010. "A simple dimension reduction procedure for corporate finance composite indicators," Springer Books, in: Marco Corazza & Claudio Pizzi (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 205-213, Springer.
- Silvia Muzzioli, 2010. "The relation between implied and realised volatility in the DAX index options market," Springer Books, in: Marco Corazza & Claudio Pizzi (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 215-224, Springer.
- Martina Nardon & Paolo Pianca, 2010. "Binomial algorithms for the evaluation of options on stocks with fixed per share dividends," Springer Books, in: Marco Corazza & Claudio Pizzi (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 225-234, Springer.
- Marcella Niglio & Cira Perna, 2010. "Nonparametric prediction in time series analysis: some empirical results," Springer Books, in: Marco Corazza & Claudio Pizzi (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 235-244, Springer.
- Włodzimierz Ogryczak & Tomasz Śliwiński, 2010. "On efficient optimisation of the CVaR and related LP computable risk measures for portfolio selection," Springer Books, in: Marco Corazza & Claudio Pizzi (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 245-252, Springer.
- Danilo Pelusi, 2010. "A pattern recognition algorithm for optimal profits in currency trading," Springer Books, in: Marco Corazza & Claudio Pizzi (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 253-261, Springer.
- Claudio Pizzi, 2010. "Nonlinear cointegration in financial time series," Springer Books, in: Marco Corazza & Claudio Pizzi (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 263-271, Springer.
- Gianni Pola, 2010. "Optimal dynamic asset allocation in a non—Gaussian world," Springer Books, in: Marco Corazza & Claudio Pizzi (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 273-282, Springer.
- François Quittard-Pinon & Rivo Randrianarivony, 2010. "Fair costs of guaranteed minimum death benefit contracts," Springer Books, in: Marco Corazza & Claudio Pizzi (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 283-293, Springer.
- Jean Roy, 2010. "Solvency evaluation of the guaranty fund at a large financial cooperative," Springer Books, in: Marco Corazza & Claudio Pizzi (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 295-304, Springer.
- Giovanni Villani, 2010. "A Monte Carlo approach to value exchange options using a single stochastic factor," Springer Books, in: Marco Corazza & Claudio Pizzi (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 305-314, Springer.
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