Mathematical Finance
ISTE Ltd and John Wiley & Sons Inc (Verlag)
978-1-84821-081-3 (ISBN)
This book provides a detailed study of Financial Mathematics. In addition to the extraordinary depth the book provides, it offers a study of the axiomatic approach that is ideally suited for analyzing financial problems. This book is addressed to MBA's, Financial Engineers, Applied Mathematicians, Banks, Insurance Companies, and Students of Business School, of Economics, of Applied Mathematics, of Financial Engineering, Banks, and more.
Jacques Janssen is Honorary Professor at the Solvay Business School in Brussels, Belgium. He has previously taught at EURIA and been a director of Jacan Insurance and Finance Services, a consultancy and training company. Raimondo Manca is professor of mathematical methods applied to economics, finance and actuarial science at University of Rome "La Sapienza" in Italy. He is associate editor for the journal Methodology and Computing in Applied Probability. His main research interests are multidimensional linear algebra, computational probability, application of stochastic processes to economics, finance and insurance and simulation models.
Preface xvii
Part I. Deterministic Models 1
Chapter 1. Introductory Elements to Financial Mathematics 3
Chapter 2. Theory of Financial Laws 13
Chapter 3. Uniform Regimes in Financial Practice 41
Chapter 4. Financial Operations and their Evaluation: Decisional Criteria 91
Chapter 5. Annuities-Certain and their Value at Fixed Rate 147
Chapter 6. Loan Amortization and Funding Methods 211
Chapter 7. Exchanges and Prices on the Financial Market 289
Chapter 8. Annuities, Amortizations and Funding in the Case of Term Structures 331
Chapter 9. Time and Variability Indicators, Classical Immunization 363
Part II. Stochastic Models 409
Chapter 10. Basic Probabilistic Tools for Finance 411
Chapter 11. Markov Chains 457
Chapter 12. Semi-Markov Processes 481
Chapter 13. Stochastic or Itô Calculus 517
Chapter 14. Option Theory 553
Chapter 15. Markov and Semi-Markov Option Models 607
Chapter 16. Interest Rate Stochastic Models – Application to the Bond Pricing Problem 641
Chapter 17. Portfolio Theory 687
Chapter 18. Value at Risk (VaR) Methods and Simulation 703
Chapter 19. Credit Risk or Default Risk 743
Chapter 20. Markov and Semi-Markov Reward Processes and Stochastic Annuities 791
References 831
Index 839
| Erscheint lt. Verlag | 6.1.2009 |
|---|---|
| Verlagsort | London |
| Sprache | englisch |
| Maße | 158 x 236 mm |
| Gewicht | 1383 g |
| Themenwelt | Mathematik / Informatik ► Mathematik ► Angewandte Mathematik |
| Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung | |
| ISBN-10 | 1-84821-081-7 / 1848210817 |
| ISBN-13 | 978-1-84821-081-3 / 9781848210813 |
| Zustand | Neuware |
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