Mathematical finance deterministic and stochastic models /

מידע ביבליוגרפי
מחבר ראשי: Janssen, Jacques
מחברים אחרים: Manca, Raimondo, Volpe, Ernesto
פורמט: Printed Book
שפה:English
יצא לאור: London : Hoboken, NJ : ISTE ; John Wiley, 2009.
נושאים:
Finance > Mathematical models.
Investments > Mathematics.
Stochastic processes.
Electronic books.
תוכן הענינים:
  • Introductory elements to financial mathematics
  • Theory of financial laws
  • Uniform regimes in financial practice
  • Financial operations and their evaluation
  • Annuities-certain and their value at fixed rate
  • Loans amortization and funding methods
  • Exchanges and prices on the financial market
  • Annuities, amortizations and funding in the case of term structures
  • Time and variability indicators
  • Basic probabilistic tools for finance
  • Markov Chains
  • Semi-Markov processes
  • Stochastic or ito calculus
  • Option theory
  • Markov and semi-Markov option models
  • Interest rate Stochastic models
  • Portfolio theory
  • Value at risk (VaR) methods and simulation
  • Credit risk or default risk
  • Markov and semi-Markov reward processes and Stochastic annuities.

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