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Estimation in conditionally herteroscedastic time series models par Straumann,, Daniel. Publication : [S.l.] Springer 2004 . 250 p. , In his seminal 1982 paper, Robert F. Engle described a time series model with a time-varying volatility. Engle showed that this model, which he called ARCH (autoregressive conditionally heteroscedastic), is well-suited for the description of economic and financial price. Nowadays ARCH has been replaced by more general and more sophisticated models, such as GARCH (generalized autoregressive heteroscedastic). This monograph concentrates on mathematical statistical problems associated with fitting conditionally heteroscedastic time series models to data. This includes the classical statistical issues of consistency and limiting distribution of estimators. Particular attention is addressed to (quasi) maximum likelihood estimation and misspecified models, along to phenomena due to heavy-tailed innovations. The used methods are based on techniques applied to the analysis of stochastic recurrence equations. Proofs and arguments are given wherever possible in full mathematical rigour. Moreover, the theory is illustrated by examples and simulation studies. 24 cm. Date : 2004 Disponibilité : Exemplaires disponibles: La bibliothèque des Sciences Exactes et Naturelles (1),

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Federal funding of astronomical research / par Astrophysics,, Committee on Astronomy and. Publication : [S.l.] : National Academies Press, 2000 . 98 p. ; , Broché. 29 cm. Date : 2000 Disponibilité : Exemplaires disponibles: La bibliothèque des Sciences Exactes et Naturelles (1),

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Finances publiques par ADAM, FRANCOIS | FERRAND, OLIVIER Publication : [S.l.] DALLOZ 2010 . 650p. 23 cm. Date : 2010 Disponibilité : Exemplaires disponibles: La bibliothèque des Sciences Juridiques, Economiques et de Gestion (1),

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Financial and actuarial statistics an introduction par Borowiak,, Dale S. Publication : [S.l.] CRC Press 2003 . 352 p. , Based on a loss function approach, this comprehensive reference reviews the most recent advances in financial and actuarial modeling, providing a strong statistical background for advanced methods in pension plan structuring, risk estimation, and modeling of investment and options pricing. An authoritative tool supplying every conceptual model and technique required by the modern financial investigator, Financial and Actuarial Statistics offers an analysis of American options models, mortality adjustment factors for increased risk individuals, time trend regression adjustments for mortality tables, and simulation approaches for stochastic models. 25 cm. Date : 2003 Disponibilité : Exemplaires disponibles: La bibliothèque des Sciences Juridiques, Economiques et de Gestion (1),

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Financial globalization, economic growth, and the crisis of 2007-09 / par Cline, William R. Publication : [S.l.] : Peterson Institute for International Economics, 2010 . 256 p. ; , In the debate over globalization's economic implications, trade liberalization remains at the forefront of discussion, but in an important new book, award-winning author William Cline changes direction to focus on the overlooked but pertinent growth benefits of financial globalization. In a post-crisis environment, how dangerous is financial openness? Does the global financial crisis of 2007-2009 warrant major policy changes that affect the degree of financial openness? Through a chronological overview of the policy interventions implemented during the crisis, Cline - a noted financial expert - examines the role that the financial crisis will play in the construction of future policy and provides a comprehensive analysis of the relationship between financial globalization and economic growth. Cline asserts that financial globalization represents a significant factor in economic growth of emerging market economies. In his analysis of the fiscal legacies of the crisis, he looks at why financial sector innovation helped create a massive downturn in the economy rather than a period of growth. Ultimately, Cline argues that present-day GDP levels are a result of the cumulative influence of financial openness. 23 cm. Date : 2010 Disponibilité : Exemplaires disponibles: La bibliothèque des Sciences Juridiques, Economiques et de Gestion (1),

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Foundations of financial markets and institutions par Fabozzi, Frank J. Publication : Boston | New-york Pearson 2010 . 1 volumes (XXIII-695 pages) 26 cm. Date : 2010 Disponibilité : Exemplaires disponibles: La bibliothèque des Sciences Juridiques, Economiques et de Gestion (1),

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Fractals and scaling in finance : discontinuity, concentration, risk. selecta volume e par Mandelbrot, Benoit B. Publication : [S.l.] Springer 2010 . 551 p. , Mandelbrot is world famous for his creation of the new mathematics of fractal geometry. Yet few people know that his original field of applied research was in econometrics and financial models, applying ideas of scaling and self-similarity to arrays of data generated by financial analyses. This book brings together his original papers as well as many original chapters specifically written for this book. 24 cm. Date : 2010 Disponibilité : Exemplaires disponibles: La bibliothèque des Sciences Juridiques, Economiques et de Gestion (1),

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Gestion de la banque du diagnostic à la stratégie par Coussergues, Sylvie de Publication : Paris Dunod 2005 . 1 vol. (X-270 p.) , IAS = International accounting standards. IFRS = International financial reporting standards | Notes bibliogr. Index 24 cm Date : 2005 Disponibilité : Exemplaires disponibles: La bibliothèque des Sciences Juridiques, Economiques et de Gestion (1),

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Global capital and national institutions crisis and choice in the international financial architecture par Alfaro, Laura. Publication : [S.l.] World Scientific Publishing Company 2009 . 700 p. , All managers face a business environment in which international and macroeconomic phenomena matter. Understanding these phenomena - the determinants of capital flows, the effects of foreign capital on host countries, the impact of exchange-rate movements, and the genesis of financial and currency crises - is a crucial aspect to making informed managerial decisions. Adverse macroeconomic phenomena can have a catastrophic impact on a firm's performance as demonstrated by the many strong companies destroyed by successive crises in Latin America and Asia and the even recent U.S. mortgage crisis. Yet at the same time, such episodes also create business opportunities - and not just for the hedge funds and speculators that profit from them. Managers who possess a coherent framework for analyzing these phenomena will enjoy a competitive advantage. This book presents a series of case studies taught in the Harvard Business School course, Institutions, Macroeconomics, and the Global Economy (IMaGE). The cases focus on key recent events that have shaped the way economists think about these subjects. The cases also cover events that occurred during the last three decades as they hold important lessons for the business environment that managers face today. They have also been designed to provide readers with an appreciation of the critical role of institutions in affecting patterns of international capital flows and the abilities of government to manage them effectively. 25 cm. Date : 2009 Disponibilité : Exemplaires disponibles: La bibliothèque des Sciences Juridiques, Economiques et de Gestion (1),

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Health care financing and insurance : Options for design / par Paolucci, Francesco Publication : Berlin; | New York: Springer, 2011 . xi, 115 pages: 24 cm. Date : 2011 Disponibilité : Exemplaires disponibles: La bibliothèque des Sciences Juridiques, Economiques et de Gestion (1),

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Heavy-tail phenomena : probabilistic and statistical modeling / par Resnick, Sidney I. Publication : [S.l.] : Springer, 2006 . 406 p. ; , This comprehensive text  gives an interesting  and useful blend  of the mathematical, probabilistic and statistical tools used in heavy-tail analysis.  Heavy tails are characteristic of many  phenomena where the probability of a single huge value impacts heavily.  Record-breaking insurance losses,  financial-log returns, files sizes stored on a server, transmission rates of files are all examples of  heavy-tailed phenomena. Key features: * Unique  text devoted to heavy-tails * Emphasizes both probability modeling and statistical methods for fitting models.   Most  treatments focus on one or the other but not both * Presents broad applicability  of heavy-tails to the fields of data networks, finance (e.g., value-at- risk), insurance, and hydrology * Clear, efficient and coherent exposition, balancing  theory and actual data to show the applicability and limitations of certain methods * Examines in detail the mathematical properties of the methodologies as well as their implementation in  Splus or R statistical languages * Exposition driven by numerous examples and exercises Prerequisites for the reader include a prior course in stochastic processes and probability, some statistical background, some familiarity with time series analysis, and ability to use (or at least to learn) a statistics package such as R or Splus. This work will serve second-year graduate students and researchers in the areas of applied mathematics, statistics, operations research, electrical engineering, and economics. 24 cm. Date : 2006 Disponibilité : Exemplaires disponibles: La bibliothèque des Sciences Exactes et Naturelles (1),

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Interest rates and coupon bonds in quantum finance par Baaquie, B. E. Publication : Cambridge, UK | New York Cambridge University Press 2010 . xviii, 490 pages , "The economic crisis of 2008 has shown that the capital markets need new theoretical and mathematical concepts to describe and price financial instruments. Focusing almost exclusively on interest rates and coupon bonds, this book does not employ stochastic calculus - the bedrock of the present day mathematical finance - for any of the derivations. Instead, it analyzes interest rates and coupon bonds using quantum finance. The Heath-Jarrow-Morton and the Libor Market Model are generalized by realizing the forward and Libor interest rates as an imperfectly correlated quantum field. Theoretical models have been calibrated and tested using bond and interest rates market data. Building on the principles formulated in the author's previous book (Quantum Finance, Cambridge University Press, 2004) this ground-breaking book brings together a diverse collection of theoretical and mathematical interest rate models. It will interest physicists and mathematicians researching in finance, and professionals working in the finance industry"--Provided by publisher. 26 cm. Date : 2010 Disponibilité : Exemplaires disponibles: La bibliothèque des Sciences Juridiques, Economiques et de Gestion (1),

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International economic actors and human rights par McBeth,, Adam. Publication : London | New York Routledge 2010 . xx, 364 pages 24 cm. Date : 2010 Disponibilité : Exemplaires disponibles: La bibliothèque des Sciences Juridiques, Economiques et de Gestion (1),

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