Mathematical Finance Deterministic and Stochastic Models
Auteurs : Janssen Jacques, Manca Raimondo, Volpe Ernesto
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
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.
Date de parution : 03-2009
Ouvrage de 720 p.
15.8x23.6 cm
Thème de Mathematical Finance :
Mots-clés :
deterministic; elements; introductory; financial mathematics; theory; financial laws; financial; uniform; rate; fixed; financial market; exchanges; case; structures; amortizations; term; classical