Mathematical finance : deterministic and stochastic models / Jacques Janssen, Raimondo Manca, Ernesto Volpe di Prignano.

By: Janssen, Jacques, 1939-
Contributor(s): Manca, Raimondo | Volpe, Ernesto
Language: English Publisher: Hoboken, NJ : John Wiley, 2009Description: 1 online resourceContent type: text Media type: computer Carrier type: online resourceISBN: 9781848210813; 9780470611692; 1848210817Subject(s): Finance -- Mathematical models | Stochastic processes | Investments -- Mathematics | Finance -- Mathematical models | Investments -- Mathematics | Stochastic processesGenre/Form: Electronic books.DDC classification: 332.01/51922 LOC classification: HG106 | .J33 2009Online resources: Full text is available at Wiley Online Library Click here to view
Contents:
TABLE OF CONTENTS 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
Summary: 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--Provided by the publisher
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Item type Current location Home library Call number Status Date due Barcode Item holds
EBOOK EBOOK COLLEGE LIBRARY
COLLEGE LIBRARY
332.0151922 J2675 2009 (Browse shelf) Available CL-50575
Total holds: 0

Includes bibliographical references and index.

TABLE OF CONTENTS
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

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--Provided by the publisher

ABOUT THE AUTHOR
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.

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