Ditapis dengan
Computational methods for quantitative finance
Many mathematical assumptions on which classical derivative pricing methods are based have come under scrutiny in recent years. The present volume offers an introduction to deterministic algorithms for the fast and accurate pricing of derivative contracts in modern finance. This unified, non-Monte-Carlo computational pricing methodology is capable of handling rather general classes of stochasti…
- Edisi
- Ed.1
- ISBN/ISSN
- 9783642354014
- Deskripsi Fisik
- xiii, 299 hlm.
- Judul Seri
- -
- No. Panggil
- E806
Optimal investment
Readers of this book will learn how to solve a wide range of optimal investment problems arising in finance and economics. Starting from the fundamental Merton problem, many variants are presented and solved, often using numerical techniques that the book also covers. The final chapter assesses the relevance of many of the models in common use when applied to data.
- Edisi
- Ed.1
- ISBN/ISSN
- 9783642352027
- Deskripsi Fisik
- x, 156 hlm.
- Judul Seri
- -
- No. Panggil
- E803
Interest rate derivatives : valuation, calibration and sensitivity analysis
The class of interest rate models introduced by O. Cheyette in 1994 is a subclass of the general HJM framework with a time dependent volatility parameterization. This book addresses the above mentioned class of interest rate models and concentrates on the calibration, valuation and sensitivity analysis in multifactor models. It derives analytical pricing formulas for bonds and caplets and appli…
- Edisi
- Ed.1
- ISBN/ISSN
- 9783642349256
- Deskripsi Fisik
- xviii, 209 hlm.
- Judul Seri
- -
- No. Panggil
- E799
Discrete time series, processes, and applications in finance
Most financial and investment decisions are based on considerations of possible future changes and require forecasts on the evolution of the financial world. Time series and processes are the natural tools for describing the dynamic behavior of financial data, leading to the required forecasts. This book presents a survey of the empirical properties of financial time series, their descriptions …
- Edisi
- Ed.1
- ISBN/ISSN
- 9783642317422
- Deskripsi Fisik
- xxii, 322 hlm.
- Judul Seri
- -
- No. Panggil
- E762
Financial modeling, actuarial valuation and solvency in insurance
Risk management for financial institutions is one of the key topics the financial industry has to deal with. The present volume is a mathematically rigorous text on solvency modeling. Currently, there are many new developments in this area in the financial and insurance industry (Basel III and Solvency II), but none of these developments provides a fully consistent and comprehensive framework f…
- Edisi
- Ed.1
- ISBN/ISSN
- 9783642313929
- Deskripsi Fisik
- xiv, 432 hlm.
- Judul Seri
- -
- No. Panggil
- E759
Contract theory in continuous-time models
In recent years there has been a significant increase of interest in continuous-time Principal-Agent models, or contract theory, and their applications. Continuous-time models provide a powerful and elegant framework for solving stochastic optimization problems of finding the optimal contracts between two parties, under various assumptions on the information they have access to, and the effect …
- Edisi
- Ed.1
- ISBN/ISSN
- 9783642142000
- Deskripsi Fisik
- xii, 256
- Judul Seri
- -
- No. Panggil
- E736
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