LEADER 05339nam 22006734a 450 001 9911019822603321 005 20200520144314.0 010 $a9780470020350 010 $a9786610541577 010 $a9781280541575 010 $a1280541571 010 $a9780470020357 010 $a0470020350 010 $a9780470020364 010 $a0470020369 035 $a(CKB)111090529060250 035 $a(EBL)189369 035 $a(OCoLC)173260066 035 $a(SSID)ssj0000238574 035 $a(PQKBManifestationID)11197993 035 $a(PQKBTitleCode)TC0000238574 035 $a(PQKBWorkID)10233471 035 $a(PQKB)10139593 035 $a(MiAaPQ)EBC189369 035 $a(Perlego)2774487 035 $a(EXLCZ)99111090529060250 100 $a20031121d2004 uy 0 101 0 $aeng 135 $aurcn||||||||| 181 $ctxt 182 $cc 183 $acr 200 10$aRisk and financial management $emathematical and computational methods /$fCharles Tapiero 210 $aChichester, West Sussex ;$aHoboken, NJ $cJohn Wiley$dc2004 215 $a1 online resource (359 p.) 300 $aDescription based upon print version of record. 311 0 $a9780470849088 311 0 $a0470849088 320 $aIncludes bibliographical references and index. 327 $aRisk and Financial Management; Contents; Preface; Part I: Finance and Risk Management; Chapter 1 Potpourri; 1.1 Introduction; 1.2 Theoretical finance and decision making; 1.3 Insurance and actuarial science; 1.4 Uncertainty and risk in finance; 1.4.1 Foreign exchange risk; 1.4.2 Currency risk; 1.4.3 Credit risk; 1.4.4 Other risks; 1.5 Financial physics; Selected introductory reading; Chapter 2 Making Economic Decisions under Uncertainty; 2.1 Decision makers and rationality; 2.1.1 The principles of rationality and bounded rationality; 2.2 Bayes decision making; 2.2.1 Risk management 327 $a2.3 Decision criteria 2.3.1 The expected value (or Bayes) criterion; 2.3.2 Principle of (Laplace) insufficient reason; 2.3.3 The minimax (maximin) criterion; 2.3.4 The maximax (minimin) criterion; 2.3.5 The minimax regret or Savage's regret criterion; 2.4 Decision tables and scenario analysis; 2.4.1 The opportunity loss table; 2.5 EMV, EOL, EPPI, EVPI; 2.5.1 The deterministic analysis; 2.5.2 The probabilistic analysis; Selected references and readings; Chapter 3 Expected Utility; 3.1 The concept of utility; 3.1.1 Lotteries and utility functions; 3.2 Utility and risk behaviour 327 $a3.2.1 Risk aversion 3.2.2 Expected utility bounds; 3.2.3 Some utility functions; 3.2.4 Risk sharing; 3.3 Insurance, risk management and expected utility; 3.3.1 Insurance and premium payments; 3.4 Critiques of expected utility theory; 3.4.1 Bernoulli, Buffon, Cramer and Feller; 3.4.2 Allais Paradox; 3.5 Expected utility and finance; 3.5.1 Traditional valuation; 3.5.2 Individual investment and consumption; 3.5.3 Investment and the CAPM; 3.5.4 Portfolio and utility maximization in practice; 3.5.5 Capital markets and the CAPM again 327 $a3.5.6 Stochastic discount factor, assets pricing and the Euler equation 3.6 Information asymmetry; 3.6.1 'The lemon phenomenon' or adverse selection; 3.6.2 'The moral hazard problem'; 3.6.3 Examples of moral hazard; 3.6.4 Signalling and screening; 3.6.5 The principal-agent problem; References and further reading; Chapter 4 Probability and Finance; 4.1 Introduction; 4.2 Uncertainty, games of chance and martingales; 4.3 Uncertainty, random walks and stochastic processes; 4.3.1 The random walk; 4.3.2 Properties of stochastic processes; 4.4 Stochastic calculus; 4.4.1 Ito's Lemma 327 $a4.5 Applications of Ito's Lemma 4.5.1 Applications; 4.5.2 Time discretization of continuous-time finance models; 4.5.3 The Girsanov Theorem and martingales*; References and further reading; Chapter 5 Derivatives Finance; 5.1 Equilibrium valuation and rational expectations; 5.2 Financial instruments; 5.2.1 Forward and futures contracts; 5.2.2 Options; 5.3 Hedging and institutions; 5.3.1 Hedging and hedge funds; 5.3.2 Other hedge funds and investment strategies; 5.3.3 Investor protection rules; References and additional reading; Part II: Mathematical and Computational Finance 327 $aChapter 6 Options and Derivatives Finance Mathematics 330 $aFinancial risk management has become a popular practice amongst financial institutions to protect against the adverse effects of uncertainty caused by fluctuations in interest rates, exchange rates, commodity prices, and equity prices. New financial instruments and mathematical techniques are continuously developed and introduced in financial practice. These techniques are being used by an increasing number of firms, traders and financial risk managers across various industries. Risk and Financial Management: Mathematical and Computational Methods confronts the many issues and controver 606 $aFinance$xMathematical models 606 $aRisk management 615 0$aFinance$xMathematical models. 615 0$aRisk management. 676 $a658.15/5/015192 700 $aTapiero$b Charles S$025194 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9911019822603321 996 $aRisk and financial management$9998792 997 $aUNINA