FİNANSAL RİSK VE FRAKTAL KİTAPLARIDoç. Dr. Kutlu MERİH

STOKASTİK SÜREÇLER

3.

Stochastic Calculus and Financial Applications - Sayfa 272

J. Michael Steele tarafından - 2001 - 300 sayfaThe 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.

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.

Stochastic Processes: From Physics to Finance

Wolfgang Paul, Jörg Baschnagel tarafından - 2000 - 231 sayfaThis 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.

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.

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.

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.

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.

Stochastic Finance: An Introduction in Discrete Time - Sayfa 434

Hans Föllmer, Alexander Schied tarafından - 2004 - 459 sayfaThis 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.

Extreme Financial Risks: From Dependence to Risk Management - Sayfa 49

Yannick Malevergne, Didier Sornette tarafından - 2006 - 312 sayfaIndeed, 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.

Extreme Values in Finance, Telecommunications, and the Environment - Sayfa 81 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.

Elementary Stochastic Calculus, with Finance in View - Sayfa 138 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.

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.

Modelling Extremal Events for Insurance and Finance - Sayfa 158 Paul Embrechts, Claudia Klüppelberg,

Thomas Mikosch tarafından - 1997 - 645 sayfaThe 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.

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.

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.

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.

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.

The Mathematics of Financial Derivatives: A Student Introduction - Sayfa 33 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.

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.

An Introduction to Financial Option Valuation: Mathematics, Stochastics and ...

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.

Quantitative Modeling of Derivative Securities: From Theory to Practice - Sayfa 122

Marco Avellaneda, Peter Laurence tarafından - 2000 - 322 sayfaThus, 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.

Computational Methods in Decision-Making, Economics and Finance - Sayfa 131 Erricos John

Kontoghiorghes, Berc

Rustem, Stavros Siokos

tarafından - 2002 - 644 sayfa

... Finance ... (7.51)

preferences for

homothetic/minimum

entropy ...

25.

Why Stock Markets Crash: Critical Events in Complex Financial Systems - Sayfa 414 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.

The Golden Ratio: The Story of Phi, the World's Most Astonishing Number - Sayfa 226 Mario Livio tarafından - 2003

... book entitled Fractals and

Scaling in Finance: Discontinuity,

Concentration,

Risk, which introduced well-

defined fractal models into market

economics. ...

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). ...

FRAKTAL FİNANS

29.

Fractal Market Analysis: Applying Chaos Theory to Investment and Economics 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.

Chaos and Order in the Capital Markets: A New View of Cycles, Prices, and ... - Sayfa 71 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.

Fractals and Scaling in Finance: Discontinuity, Concentration, Risk - Sayfa 49 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.

Chaos Theory in the Financial Markets: Applying Fractals, Fuzzy Logic ... 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.

Agent-Based Methods in Economics and Finance: Simulations in Swarm - Sayfa 140 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.

The (mis)behavior of markets: A Fractal View of Risk, Ruin, and Reward 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

EKONOFİZİK

36.

An Introduction to Econophysics: Correlations and Complexity in Finance Rosario N. Mantegna, Harry Eugene

Stanley tarafından - 2000 - 158 sayfaThis 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.

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.

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.

Theory of Financial Risk and Derivate Pricing[: From Statistical Physics to ... - Sayfa 49

Jean-Philippe Bouchaud, Marc Potters tarafından - 2003A 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.

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.

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,

RISK ANALIZI

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.

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.

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 ...