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Statistical modeling in finance conference 2006 / guest editors: Elyas Elyasiani, A. Thavaneswaran and Jagbir Singh.
- Format:
- Book
- Series:
- The Journal of Risk Finance ; 7, no. 5
- Language:
- English
- Subjects (All):
- Risk management--Mathematical models.
- Risk management.
- Risk assessment--Mathematical models.
- Risk assessment.
- Physical Description:
- 1 online resource (123 p.)
- Edition:
- 1st ed.
- Place of Publication:
- Bradford, England : Emerald Group Publishing, c2006.
- Language Note:
- English
- Summary:
- This e-book contains papers from the 2006 Statistical Modelling in Finance conference. Using the historical hurricane forecasts of Dr. William M. Gray, the editorial identifies the problem of using "black-box" methods in catastrophe forecasting, and emphasises the value of independent peer review.
- Contents:
- Cover; CONTENTS; EDITORIAL ADVISORY BOARD; About the Guest Editors; Catastrophe forecasting: seeing "gray" among the "black boxes"; Dynamic monitoring of financial intermediaries with subordinated debt; The estimation of nominal and real yield curves from government bonds in Israel; Fuzzy random-coefficient volatility models with financial applications; Financial applications of ARMA models with GARCH errors; Parsimonious principle of GARCH models: a Monte-Carlo approach; Approximating the growth optimal portfolio with a diversified world stock index;
- Notes:
- Description based upon print version of record.
- ISBN:
- 1-280-73783-2
- 9786610737833
- 1-84663-237-4
- OCLC:
- 99996968
- Publisher Number:
- 9781846632365
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