| Item type | Current location | Collection | Call number | Copy number | Status | Date due | Barcode |
|---|---|---|---|---|---|---|---|
| E-Books | Biblioteca da FCTUNL Online | Não Ficção | HG174.SPR FCT 82057 (Browse shelf) | 1 | Available |
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| HG173.SPR FCT 82868 Finanza matematica | HG173.SPR FCT 82884 PDE and martingale methods in option pricing | HG174.CAR FCT 96020 Numerical methods in finance | HG174.SPR FCT 82057 Tychastic measure of viability risk | HG176.5.SPR FCT 81403 Statistics for business and financial economics | HG176.5.SPR FCT 81905 Mathematical and statistical methods for actuarial sciences and finance | HG176.5.SPR FCT 82165 Handbook of financial time series |
Colocação: Online
This book presents a forecasting mechanism of the price intervals for deriving the SCR (solvency capital requirement) eradicating the risk during the exercise period on one hand, and measuring the risk by computing the hedging exit time function associating with smaller investments the date until which the value of the portfolio hedges the liabilities on the other. This information, summarized under the term “tychastic viability measure of risk” is an evolutionary alternative to statistical measures, when dealing with evolutions under uncertainty. The book is written by experts in the field and the target audience primarily comprises research experts and practitioners.
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