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Finansal Kitaplar

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Finansal Matematik, Stokastik Süreçler, Risk ve Fractal Analiz Kitapları

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Finansal Kitaplar

  1. 1. FİNANSAL RİSK VE FRAKTAL KİTAPLARI Doç. Dr. Kutlu MERİH
  2. 2. STOKASTİK SÜREÇLER
  3. 3. 3. Stochastic Calculus and Financial Applications - Sayfa 272  J. Michael Steele tarafından - 2001 - 300 sayfa The 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. 4. 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. 5. 5. Stochastic Processes: From Physics to Finance  Wolfgang Paul, Jörg Baschnagel tarafından - 2000 - 231 sayfa This 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. 6. 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. 7. 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. 8. 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. 9. 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. 10. 10. Stochastic Finance: An Introduction in Discrete Time - Sayfa 434  Hans Föllmer, Alexander Schied tarafından - 2004 - 459 sayfa This 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. 11. 11. Extreme Financial Risks: From Dependence to Risk Managemen  Yannick Malevergne, Didier Sornette tarafından - 2006 - 312 sayfa Indeed, 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. 12. 12. Extreme Values in Finance, Telecommunications, and the Environmen  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. 13. 13. Elementary Stochastic Calculus, with Finance in View - Say  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. 14. 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. 15. 15. Modelling Extremal Events for Insurance and Finance - Sayfa 158  Paul Embrechts, Claudia Klüppelberg, Thomas Mikosch tarafından - 1997 - 645 sayfa The 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. 16. 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. 17. 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. 18. 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. 19. 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. 20. 20. The Mathematics of Financial Derivatives: A Student Introduction - Sa  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. 21. 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. 22. 22. An Introduction to Financial Option Valuation: Mathematics,  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. 23. 23. Quantitative Modeling of Derivative Securities: From Theory  Marco Avellaneda, Peter Laurence tarafından - 2000 - 322 sayfa Thus, 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. 24. 24. Computational Methods in Decision-Making, Economics and Fin  Erricos John Kontoghiorghes, Berc Rustem, Stavros Siokos tarafından - 2002 - 644 sayfa ... Finance ... (7.51) preferences for homothetic/minimum entropy ...
  25. 25. 25. Why Stock Markets Crash: Critical Events in Complex Finan  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. 26. 26. The Golden Ratio: The Story of Phi, the World's Most Astonishing Num  Mario Livio tarafından - 2003  ... book entitled Fractals and Scaling in Finance: Discontinuity, Concentration, Risk, which introduced well- defined fractal models into market economics. ...
  27. 27. 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). ...
  28. 28. FRAKTAL FİNANS
  29. 29. 29. Fractal Market Analysis: Applying Chaos Theory to Investment a  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. 30. 30. Chaos and Order in the Capital Markets: A New View of Cycles, Prices  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. 31. 31. Fractals and Scaling in Finance: Discontinuity, Concentration, Ri  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. 32. 32. Chaos Theory in the Financial Markets: Applying Fractals, F  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. 33. 33. Agent-Based Methods in Economics and Finance: Simulati  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. 34. 34. The (mis)behavior of markets: A Fractal View of Risk, Ruin, and Rewa  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
  35. 35. EKONOFİZİK
  36. 36. 36. An Introduction to Econophysics: Correlations and Complex  Rosario N. Mantegna, Harry Eugene Stanley tarafından - 2000 - 158 sayfa This 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. 37. 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. 38. 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. 39. 39. Theory of Financial Risk and Derivate Pricing[: From Statistical Phy  Jean-Philippe Bouchaud, Marc Potters tarafından - 2003 A 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. 40. 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. 41. 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,
  42. 42. RISK ANALIZI
  43. 43. 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. 44. 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. 45. 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 ...

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