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A complete guide to the theory and practice of volatility models in financial engineering Volatility has become a hot topic in this era of instant communications, spawning a great deal of research in empirical finance and time series econometrics. Providing an overview of the most recent advances, Handbook of Volatility Models and Their Applications explores key concepts and topics essential for modeling the volatility of financial time series, both univariate and multivariate, parametric and non-parametric, high-frequency and low-frequency. Featuring contributions from international experts in the field, the book features numerous examples and applications from real-world projects and cutti...
The book deals with the econometric analysis of high frequency financial time series. It emphasizes a new nonparametric approach to volatility models and provides theoretical and empirical comparisons with conventional ARCH models, applied to foreign exchange rates. Nonparametric models are discussed that cope with asymmetry and long memory of volatility as well as heterogeneity of higher conditional moments.
Financial Engineers
Positioning itself at the common boundaries of several disciplines, this work provides new perspectives on modern nanoscale problems where fundamental science meets technology and computer modeling. In addition to well-known computational techniques such as finite-difference schemes and Ewald summation, the book presents a new finite-difference calculus of Flexible Local Approximation Methods (FLAME) that qualitatively improves the numerical accuracy in a variety of problems.
Alternative assets such as fine art, wine, or diamonds have become popular investment vehicles in the aftermath of the global financial crisis. Correlation with classical financial markets is typically low, such that diversification benefits arise for portfolio allocation and risk management. Cryptocurrencies share many alternative asset features, but are hampered by high volatility, sluggish commercial acceptance, and regulatory uncertainties. This collection of papers addresses alternative assets and cryptocurrencies from economic, financial, statistical, and technical points of view. It gives an overview of their current state and explores their properties and prospects using innovative approaches and methodologies.
The wide diffusion of 3D printing technologies continuously calls for effective solutions for designing and fabricating objects of increasing complexity. The so called "computational fabrication" pipeline comprises all the steps necessary to turn a design idea into a physical object, and this book describes the most recent advancements in the two fundamental phases along this pipeline: design and process planning. We examine recent systems in the computer graphics community that allow us to take a design idea from conception to a digital model, and classify algorithms that are necessary to turn such a digital model into an appropriate sequence of machining instructions.
This book is a collection of the works of leading experts worldwide in the rapidly developing fields of plasmonics and metamaterials. These developments are promising to revolutionize ways of generating, controlling and processing light in the nanoscale. The technological applications range from nano-lasers to optical nano-waveguides to artificial media with unusual and exotic optical properties unattainable in natural materials. The volume cuts across all relevant disciplines and covers experiments, measurements, fabrication, physical and mathematical analysis, as well as computer simulation.
In the post-genomic era, cancer is a genetic disease. However, cancer genotype does not always equal cancer phenotype. Cancers with the same genetic abnormalities don’t always behave the same. Understanding and eradicating cancers will require an appreciation for cancer’s ecology. This book is the first to comprehensively explore and critically appraise cancer microenvironments and host interactions with an eye towards exploiting our understanding for new treatments. The team of contributors share amongst them impressive experiences at the laboratory bench and in the clinic. These physician-scientists have dedicated themselves to the tension between the urgency for cures and the technical challenges of discovery. The target audience includes clinical oncologists, clinical hematologists, research oncologists, research hematologists, immunologists, stem cell researchers, oncology and hematology fellows (trainees), oncology educators (graduate and undergraduate levels), and course book for graduate students and undergraduate students.
The Athens Conference on Applied Probability and Time Series in 1995 brought together researchers from across the world. The published papers appear in two volumes. Volume II presents papers on time series analysis, many of which were contributed to a meeting in March 1995 partly in honour of E.J. Hannan. The initial paper by P.M. Robinson discusses Ted Hannan's researches and their influence on current work in time series analysis. Other papers discuss methods for finite parameter Gaussian models, time series with infinite variance or stable marginal distribution, frequency domain methods, long range dependent processes, nonstationary processes, and nonlinear time series. The methods presented can be applied in a number of fields such as statistics, applied mathematics, engineering, economics and ecology. The papers include many of the topics of current interest in time series analysis and will be of interest to a wide range of researchers.