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The Gaussian VaR ensures subadditivity: for example, the Gaussian VaR of a two unitary long positions portfolio at the confidence level is, assuming that the mean portfolio value variation is zero and the VaR is defined as a negative loss, = + + where is the inverse of the normal cumulative distribution function at probability level , , are the ...
Mathematical finance, also known as quantitative finance and financial mathematics, is a field of applied mathematics, concerned with mathematical modeling in the financial field. In general, there exist two separate branches of finance that require advanced quantitative techniques: derivatives pricing on the one hand, and risk and portfolio ...
Lecture Notes in Mathematics is a book series in the field of mathematics, including articles related to both research and teaching. It was established in 1964 and was edited by A. Dold, Heidelberg and B. Eckmann, Zürich. Its publisher is Springer Science+Business Media (formerly Springer-Verlag).
Fischer Black and Myron Scholes demonstrated in 1968 that a dynamic revision of a portfolio removes the expected return of the security, thus inventing the risk neutral argument. [ 9 ] [ 10 ] They based their thinking on work previously done by market researchers and practitioners including the work mentioned above, as well as work by Sheen ...
Modern portfolio theory (MPT), or mean-variance analysis, is a mathematical framework for assembling a portfolio of assets such that the expected return is maximized for a given level of risk. It is a formalization and extension of diversification in investing, the idea that owning different kinds of financial assets is less risky than owning ...
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Mathematical Notes is a peer-reviewed mathematical journal published by Springer Science+Business Media on behalf of the Russian Academy of Sciences that covers all aspects of mathematics. It is an English language translation of the Russian-language journal Matematicheskie Zametki ( Russian : Математические заметки ) and ...
The first class consisted of sixteen students and their first day of classes was Friday, September 6, 1974. The initial staff consisted of two professors, and three assistants teaching Latin, Philosophy, Mathematics, Science, and Music.