General

Authors

Search


Committee login



 
 

 


 

 

Forthcoming

Small thumbnail

Baidu SEO

Challenges and Intricacies of Marketing in China

Small thumbnail

Asymmetric Alliances and Information Systems

Issues and Prospects

Small thumbnail

Technicity vs Scientificity

Complementarities and Rivalries

Small thumbnail

Freshwater Fishes

250 Million Years of Evolutionary History

Small thumbnail

Biostatistics and Computer-based Analysis of Health Data using SAS

Biostatistics and Health Science Set

Small thumbnail

Predictive Control

Small thumbnail

Fundamentals of Advanced Mathematics 1

Categories, Algebraic Structures, Linear and Homological Algebra

Small thumbnail

Swelling Concrete in Dams and Hydraulic Structures

DSC 2017

Small thumbnail

The Chemostat

Mathematical Theory of Microorganims Cultures

Small thumbnail

Earthquake Occurrence

Short- and Long-term Models and their Validation

Small thumbnail

Mathematical Finance

Deterministic and Stochastic Models

Jacques Janssen, Solvay Business School and Jacan, Belgium Raimondo Manca and Ernesto Volpe di Prignano, University “La Sapienza”, Rome, Italy

ISBN: 9781848210813

Publication Date: December 2008   Hardback   880 pp.

270.00 USD


Add to cart

eBooks


Ebook Ebook

Description

This textbook covers the uniform laws of financial practice and classical methods for evaluating amortization, annuities, capital markets, interest rates, liability, sinking funds and term structures. An overview of stochastic processes and the Itô calculus, the main tool of stochastic finance, is provided. It then goes on to discuss the following classical fields: the evaluation of equity options, the interest rate stochastic models and their application to the bond option, the basis of quantitative risk management, the prudential rules for banks in the framework of the Basel II rules: value at risk (VarR and TVaR) models and portfolio choices. Finally, coverage is given to areas that are becoming increasingly important in finance: Markov and semi-Markov risk and evaluation models. To help students in banking, business, economics and engineering master the complexities of these subjects, a comprehensive set of axioms for approaching financial problems is included.

Contents

1. Introductive Elements to Financial Mathematics.
2. Theory of Financial Laws.
3. Uniform Regimes in Financial Practice.
4. Financial Operations and their Evaluation: Decisional Criteria.
5. Annuities-Certain and their Value at Fixed Rate.
6. Loan Amortization and Funding Methods.
7. Exchanges and Prices on the Financial Market.
8. Annuities, Amortizations and Funding in the Case of Term Structures.
9. Time and Variability Indicators, Classical Immunization.
10. Basic Probabilistic Tools for Finance.
11. Markov Chains.
12. Semi-Markov Processes.
13. Stochastic or Itô Calculus.
14. Option Theory.
15. Markov and Semi-Markov Option Models.
16. Interest Rate Stochastic Models – Application to the Bond Pricing Problem.
17. Portfolio Theory.
18. Value at Risk (VaR) Methods and Simulation.
19. Credit Risk or Default Risk.
20. Markov and Semi-Markov Reward Processes and Stochastic Annuities.

About the Authors

Jacques Janssen teaches at the EURIA (Euro-Institut d’Actuariat, Brest, France) and is director of Jacan Insurance and Finance Services, a society of consulting and formation. He is member of many scientific associations and chairman of the International ASMDA Committee.
Raimondo Manca is Professor of Mathematics for Economics at University of Rome “La Sapienza”, Italy.
Ernesto Volpe di Prignano is Professor of Financial Mathematics at University of Rome “La Sapienza”, Italy.

Downloads

DownloadTable of Contents - PDF File - 199 Kb

DownloadErrata Corrige - PDF File - 138 Kb

Related Titles



































0.03587 s.