TY  - BOOK
AU  - Spezia,Stefano
TI  - Elements of financial mathematics: from interest theory to options 
SN  - 9781774077696
AV  - HG4515.3 .E44 2021
U1  - 332.60151 23
PY  - 2021///
CY  - Burlington, Ontario : 
PB  - Arcler Press, 
KW  - Finance
KW  - Mathematical models
KW  - Investments
KW  - Business mathematics
N1  - 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.
ER  -