Elements of financial mathematics : from interest theory to options /
Elements of financial mathematics : from interest theory to options /
edited by Stefano Spezia.
- xxii, 434 pages : illustrations ; 24 cm.
Includes bibliographical references and index
Upper and lower bounds for Annuities and life insurance from incomplete mortality data -- The effect of the assumed interest rate and smoothing on variable annuities -- Adverse selection in private annuity markets and the role of mandatory social annuitization -- Evaluation of variable annuity guarantees with the effect of jumps in the asset price process -- The analysis of corporate bond valuation under an infinite dimensional compound poisson framework -- The time decay of bond premium and discount- ana nalysis of the time passage effect on bond prices -- On a new corporate bond pricing model with potential credit. Rating change and stochastic interest rate -- Forecasting term structure of interest rates in Japan -- Practical aspects of portfolio selection and optimisation on the capital market -- A general frameowork for portfolio theory. Part III: Multi-period markets and modular approach -- Research and regularized mean-variance portfolio selection strategy with modified roy safetyfirst principle -- Systematic risk from investment similarities -- The value of Monte Carlo model-based variance reduction technology in the pricing of financial derivatives -- Modelling and computation in the valuation of carbon derivatives with stochastic convenience yields -- Variance and dimension reduction monte Carlo method for pricing European multi-asset options with stochastic volatilities -- A comparative study on barrier option pricing using antithetic and quasi Monte-Carlo simulations.
9781774077696
Finance--Mathematical models
Investments--Mathematical models
Business mathematics
HG4515.3 / .E44 2021
332.60151 / El266
Includes bibliographical references and index
Upper and lower bounds for Annuities and life insurance from incomplete mortality data -- The effect of the assumed interest rate and smoothing on variable annuities -- Adverse selection in private annuity markets and the role of mandatory social annuitization -- Evaluation of variable annuity guarantees with the effect of jumps in the asset price process -- The analysis of corporate bond valuation under an infinite dimensional compound poisson framework -- The time decay of bond premium and discount- ana nalysis of the time passage effect on bond prices -- On a new corporate bond pricing model with potential credit. Rating change and stochastic interest rate -- Forecasting term structure of interest rates in Japan -- Practical aspects of portfolio selection and optimisation on the capital market -- A general frameowork for portfolio theory. Part III: Multi-period markets and modular approach -- Research and regularized mean-variance portfolio selection strategy with modified roy safetyfirst principle -- Systematic risk from investment similarities -- The value of Monte Carlo model-based variance reduction technology in the pricing of financial derivatives -- Modelling and computation in the valuation of carbon derivatives with stochastic convenience yields -- Variance and dimension reduction monte Carlo method for pricing European multi-asset options with stochastic volatilities -- A comparative study on barrier option pricing using antithetic and quasi Monte-Carlo simulations.
9781774077696
Finance--Mathematical models
Investments--Mathematical models
Business mathematics
HG4515.3 / .E44 2021
332.60151 / El266