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Applied diffusion processes from engineering to finance [[electronic resource] /] / Jacques Janssen, Oronzio Manca, Raimando Manca
| Applied diffusion processes from engineering to finance [[electronic resource] /] / Jacques Janssen, Oronzio Manca, Raimando Manca |
| Autore | Janssen Jacques |
| Pubbl/distr/stampa | London, : Wiley, 2013 |
| Descrizione fisica | 1 online resource (411 p.) |
| Disciplina | 519.233 |
| Altri autori (Persone) |
MancaOronzio
MancaRaimondo |
| Collana | ISTE |
| Soggetto topico |
Business mathematics
Differential equations, Partial Diffusion processes Engineering mathematics |
| ISBN |
1-118-57833-3
1-118-57834-1 1-299-47558-2 1-118-57668-3 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Title Page; Contents; Introduction; Chapter 1. Diffusion Phenomena and Models; 1.1. General presentation of diffusion process; 1.2. General balance equations; 1.3. Heat conduction equation; 1.4. Initial and boundary conditions; Chapter 2. Probabilistic Models of Diffusion Processes; 2.1. Stochastic differentiation; 2.1.1. Definition; 2.1.2. Examples; 2.2. Itô's formula; 2.2.1. Stochastic differential of a product; 2.2.2. Itô's formula with time dependence; 2.2.3. Interpretation of Itô's formula; 2.2.4. Other extensions of Itô's formula; 2.3. Stochastic differential equations (SDE)
2.3.1. Existence and unicity general theorem (Gikhman and Skorokhod [GIK 68])2.3.2. Solution of SDE under the canonical form; 2.4. Itô and diffusion processes; 2.4.1. Itô processes; 2.4.2. Diffusion processes; 2.4.3. Kolmogorov equations; 2.5. Some particular cases of diffusion processes; 2.5.1. Reduced form; 2.5.2. The OUV (Ornstein-Uhlenbeck-Vasicek) SDE; 2.5.3. Solution of the SDE of Black-Scholes-Samuelson; 2.6. Multidimensional diffusion processes; 2.6.1. Multidimensional SDE; 2.6.2. Multidimensional Itô and diffusion processes; 2.6.3. Properties of multidimensional diffusion processes 2.6.4. Kolmogorov equations2.7. The Stroock-Varadhan martingale characterization of diffusions (Karlin and Taylor [KAR 81]); 2.8. The Feynman-Kac formula (Platen and Heath); 2.8.1. Terminal condition; 2.8.2. Discounted payoff function; 2.8.3. Discounted payoff function and payoff rate; Chapter 3. Solving Partial Differential Equations of Second Order; 3.1. Basic definitions on PDE of second order; 3.1.1. Notation; 3.1.2. Characteristics; 3.1.3. Canonical form of PDE; 3.2. Solving the heat equation; 3.2.1. Separation of variables 3.2.2. Separation of variables in the rectangular Cartesian coordinates3.2.3. Orthogonality of functions; 3.2.4. Fourier series; 3.2.5. Sturm-Liouville problem; 3.2.6. One-dimensional homogeneous problem in a finite medium; 3.3. Solution by the method of Laplace transform; 3.3.1. Definition of the Laplace transform; 3.3.2. Properties of the Laplace transform; 3.4. Green's functions; 3.4.1. Green's function as auxiliary problem to solve diffusive problems; 3.4.2. Analysis for determination of Green's function; Chapter 4. Problems in Finance; 4.1. Basic stochastic models for stock prices 4.1.1. The Black, Scholes and Samuelson model4.1.2. BSS model with deterministic variation of μ and s; 4.2. The bond investments; 4.2.1. Introduction; 4.2.2. Yield curve; 4.2.3. Yield to maturity for a financial investment and for a bond; 4.3. Dynamic deterministic continuous time model for instantaneous interest rate; 4.3.1. Instantaneous interest rate; 4.3.2. Particular cases; 4.3.3. Yield curve associated with instantaneous interest rate; 4.3.4. Examples of theoretical models; 4.4. Stochastic continuous time dynamic model for instantaneous interest rate; 4.4.1. The OUV stochastic model 4.4.2. The CIR model (1985) |
| Record Nr. | UNINA-9910139005203321 |
Janssen Jacques
|
||
| London, : Wiley, 2013 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Applied diffusion processes from engineering to finance / / Jacques Janssen, Oronzio Manca, Raimando Manca
| Applied diffusion processes from engineering to finance / / Jacques Janssen, Oronzio Manca, Raimando Manca |
| Autore | Janssen Jacques |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | London, : Wiley, 2013 |
| Descrizione fisica | 1 online resource (411 p.) |
| Disciplina | 519.233 |
| Altri autori (Persone) |
MancaOronzio
MancaRaimondo |
| Collana | ISTE |
| Soggetto topico |
Business mathematics
Differential equations, Partial Diffusion processes Engineering mathematics |
| ISBN |
9781118578339
1118578333 9781118578346 1118578341 9781299475588 1299475582 9781118576687 1118576683 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Title Page; Contents; Introduction; Chapter 1. Diffusion Phenomena and Models; 1.1. General presentation of diffusion process; 1.2. General balance equations; 1.3. Heat conduction equation; 1.4. Initial and boundary conditions; Chapter 2. Probabilistic Models of Diffusion Processes; 2.1. Stochastic differentiation; 2.1.1. Definition; 2.1.2. Examples; 2.2. Itô's formula; 2.2.1. Stochastic differential of a product; 2.2.2. Itô's formula with time dependence; 2.2.3. Interpretation of Itô's formula; 2.2.4. Other extensions of Itô's formula; 2.3. Stochastic differential equations (SDE)
2.3.1. Existence and unicity general theorem (Gikhman and Skorokhod [GIK 68])2.3.2. Solution of SDE under the canonical form; 2.4. Itô and diffusion processes; 2.4.1. Itô processes; 2.4.2. Diffusion processes; 2.4.3. Kolmogorov equations; 2.5. Some particular cases of diffusion processes; 2.5.1. Reduced form; 2.5.2. The OUV (Ornstein-Uhlenbeck-Vasicek) SDE; 2.5.3. Solution of the SDE of Black-Scholes-Samuelson; 2.6. Multidimensional diffusion processes; 2.6.1. Multidimensional SDE; 2.6.2. Multidimensional Itô and diffusion processes; 2.6.3. Properties of multidimensional diffusion processes 2.6.4. Kolmogorov equations2.7. The Stroock-Varadhan martingale characterization of diffusions (Karlin and Taylor [KAR 81]); 2.8. The Feynman-Kac formula (Platen and Heath); 2.8.1. Terminal condition; 2.8.2. Discounted payoff function; 2.8.3. Discounted payoff function and payoff rate; Chapter 3. Solving Partial Differential Equations of Second Order; 3.1. Basic definitions on PDE of second order; 3.1.1. Notation; 3.1.2. Characteristics; 3.1.3. Canonical form of PDE; 3.2. Solving the heat equation; 3.2.1. Separation of variables 3.2.2. Separation of variables in the rectangular Cartesian coordinates3.2.3. Orthogonality of functions; 3.2.4. Fourier series; 3.2.5. Sturm-Liouville problem; 3.2.6. One-dimensional homogeneous problem in a finite medium; 3.3. Solution by the method of Laplace transform; 3.3.1. Definition of the Laplace transform; 3.3.2. Properties of the Laplace transform; 3.4. Green's functions; 3.4.1. Green's function as auxiliary problem to solve diffusive problems; 3.4.2. Analysis for determination of Green's function; Chapter 4. Problems in Finance; 4.1. Basic stochastic models for stock prices 4.1.1. The Black, Scholes and Samuelson model4.1.2. BSS model with deterministic variation of μ and s; 4.2. The bond investments; 4.2.1. Introduction; 4.2.2. Yield curve; 4.2.3. Yield to maturity for a financial investment and for a bond; 4.3. Dynamic deterministic continuous time model for instantaneous interest rate; 4.3.1. Instantaneous interest rate; 4.3.2. Particular cases; 4.3.3. Yield curve associated with instantaneous interest rate; 4.3.4. Examples of theoretical models; 4.4. Stochastic continuous time dynamic model for instantaneous interest rate; 4.4.1. The OUV stochastic model 4.4.2. The CIR model (1985) |
| Record Nr. | UNINA-9910812555803321 |
|
Janssen Jacques
|
||
| London, : Wiley, 2013 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Basic stochastic processes / / Pierre Devolder, Jacques Janssen, Raimondo Manca
| Basic stochastic processes / / Pierre Devolder, Jacques Janssen, Raimondo Manca |
| Autore | Devolder Pierre |
| Edizione | [First edition.] |
| Pubbl/distr/stampa | London, England : , : Wiley, , 2015 |
| Descrizione fisica | 1 online resource (327 pages) |
| Disciplina | 519.2 |
| Collana | Mathematics and Statistics Series |
| Soggetto topico | Stochastic processes |
| ISBN |
1-119-18454-1
1-119-18457-6 1-119-18458-4 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Chapter 1. Basic Probabilistic Tools for Stochastic Modeling / Pierre Devolder, Jacques Janssen, Raimondo Manca -- Chapter 2. Homogeneous and Non-Homogeneous Renewal Models / Pierre Devolder, Jacques Janssen, Raimondo Manca -- Chapter 3. Markov Chains / Pierre Devolder, Jacques Janssen, Raimondo Manca -- Chapter 4. Homogeneous and Non-Homogeneous Semi-Markov Models / Pierre Devolder, Jacques Janssen, Raimondo Manca -- Chapter 5. Stochastic Calculus / Pierre Devolder, Jacques Janssen, Raimondo Manca -- Chapter 6. Lévy Processes / Pierre Devolder, Jacques Janssen, Raimondo -- Chapter 7. Actuarial Evaluation, VaR and Stochastic Interest Rate Models. |
| Record Nr. | UNINA-9910131640803321 |
|
Devolder Pierre
|
||
| London, England : , : Wiley, , 2015 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Basic stochastic processes / / Pierre Devolder, Jacques Janssen, Raimondo Manca
| Basic stochastic processes / / Pierre Devolder, Jacques Janssen, Raimondo Manca |
| Autore | Devolder Pierre |
| Edizione | [First edition.] |
| Pubbl/distr/stampa | London, England : , : Wiley, , 2015 |
| Descrizione fisica | 1 online resource (327 pages) |
| Disciplina | 519.2 |
| Collana | Mathematics and Statistics Series |
| Soggetto topico | Stochastic processes |
| ISBN |
1-119-18454-1
1-119-18457-6 1-119-18458-4 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Chapter 1. Basic Probabilistic Tools for Stochastic Modeling / Pierre Devolder, Jacques Janssen, Raimondo Manca -- Chapter 2. Homogeneous and Non-Homogeneous Renewal Models / Pierre Devolder, Jacques Janssen, Raimondo Manca -- Chapter 3. Markov Chains / Pierre Devolder, Jacques Janssen, Raimondo Manca -- Chapter 4. Homogeneous and Non-Homogeneous Semi-Markov Models / Pierre Devolder, Jacques Janssen, Raimondo Manca -- Chapter 5. Stochastic Calculus / Pierre Devolder, Jacques Janssen, Raimondo Manca -- Chapter 6. Lévy Processes / Pierre Devolder, Jacques Janssen, Raimondo -- Chapter 7. Actuarial Evaluation, VaR and Stochastic Interest Rate Models. |
| Record Nr. | UNINA-9910816655903321 |
|
Devolder Pierre
|
||
| London, England : , : Wiley, , 2015 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Mathematical fianance [[electronic resource] ] : deterministic and stochastic models / / Jacques Janssen, Raimondo Manca, Ernesto Volpe di Prignano
| Mathematical fianance [[electronic resource] ] : deterministic and stochastic models / / Jacques Janssen, Raimondo Manca, Ernesto Volpe di Prignano |
| Autore | Janssen Jacques <1939-> |
| Pubbl/distr/stampa | London, : ISTE |
| Descrizione fisica | 1 online resource (874 p.) |
| Disciplina |
332.01/51922
332.0151 |
| Altri autori (Persone) |
MancaRaimondo
Volpe di PrignanoErnesto |
| Collana | ISTE |
| Soggetto topico |
Finance - Mathematical models
Stochastic processes Investments - Mathematics |
| ISBN |
1-118-62241-3
1-282-16539-9 9786612165399 0-470-61169-3 0-470-39432-3 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Mathematical Finance: Deterministic and Stochastic Models; Table of Contents; Preface; Part I. Deterministic Models; Chapter 1. Introductory Elements to Financial Mathematics; 1.1. The object of traditional financial mathematics; 1.2. Financial supplies. Preference and indifference relations; 1.2.1. The subjective aspect of preferences; 1.2.2. Objective aspects of financial laws. The equivalence principle; 1.3. The dimensional viewpoint of financial quantities; Chapter 2. Theory of Financial Laws; 2.1. Indifference relations and exchange laws for simple financial operations
2.2. Two variable laws and exchange factors2.3. Derived quantities in the accumulation and discount laws; 2.3.1. Accumulation; 2.3.2. Discounting; 2.4. Decomposable financial lawas; 2.4.1. Weak and strong decomposability properties: equivalence relations; 2.4.2. Equivalence classes: characteristic properties of decomposable laws; 2.5. Uniform financial laws: mean evaluations; 2.5.1. Theory of uniform exchange laws; 2.5.2. An outline of associative averages; 2.5.3. Average duration and average maturity; 2.5.4. Average index of return: average rate 2.6. Uniform decomposable financial laws: exponential regimeChapter 3. Uniform Regimes in Financial Practice; 3.1. Preliminary comments; 3.1.1. Equivalent rates and intensities; 3.2. The regime of simple delayed interest (SDI); 3.3. The regime of rational discount (RD); 3.4. The regime of simple discount (SD); 3.5. The regime of simple advance interest (SAI); 3.6. Comments on the SDI, RD, SD and SAI uniform regimes; 3.6.1. Exchange factors (EF); 3.6.2. Corrective operations; 3.6.3. Initial averaged intensities and instantaneous intensity 3.6.4. Average length in the linear law and their conjugates3.6.5. Average rates in linear law and their conjugated laws; 3.7. The compound interest regime; 3.7.1. Conversion of interests; 3.7.2. The regime of discretely compound interest (DCI); 3.7.3. The regime of continuously compound interest (CCI); 3.8. The regime of continuously comound discount (CCD); 3.9. Complements and exercises on compound regimes; 3.10. Comparison of laws of different regimes; Chapter 4. Financial Operations and their Evaluation: Decisional Criteria; 4.1. Calculation of capital values: fairness 4.2. Retrospective and prospective reserve4.3. Usufruct and bare ownership in "discrete" and "continuous" cases; 4.4. Methods and models for financial decisions and choices; 4.4.1. Internal rate as return index; 4.4.2. Outline on GDCF and "internal financial law"; 4.4.3. Classifications and propert of financial projects; 4.4.4. Decisional criteria for financial projects; 4.4.5. Choice criteria for mutually exclusive financial projects; 4.4.6. Mixed projects: the TRM method; 4.4.7. Dicisional criteria on mixed projects; 4.5. Appendix: outline on numberical methods for the solution of equations 4.5.1. General aspects |
| Record Nr. | UNINA-9910139467903321 |
|
Janssen Jacques <1939->
|
||
| London, : ISTE | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Mathematical fianance [[electronic resource] ] : deterministic and stochastic models / / Jacques Janssen, Raimondo Manca, Ernesto Volpe di Prignano
| Mathematical fianance [[electronic resource] ] : deterministic and stochastic models / / Jacques Janssen, Raimondo Manca, Ernesto Volpe di Prignano |
| Autore | Janssen Jacques <1939-> |
| Pubbl/distr/stampa | London, : ISTE |
| Descrizione fisica | 1 online resource (874 p.) |
| Disciplina |
332.01/51922
332.0151 |
| Altri autori (Persone) |
MancaRaimondo
Volpe di PrignanoErnesto |
| Collana | ISTE |
| Soggetto topico |
Finance - Mathematical models
Stochastic processes Investments - Mathematics |
| ISBN |
1-118-62241-3
1-282-16539-9 9786612165399 0-470-61169-3 0-470-39432-3 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Mathematical Finance: Deterministic and Stochastic Models; Table of Contents; Preface; Part I. Deterministic Models; Chapter 1. Introductory Elements to Financial Mathematics; 1.1. The object of traditional financial mathematics; 1.2. Financial supplies. Preference and indifference relations; 1.2.1. The subjective aspect of preferences; 1.2.2. Objective aspects of financial laws. The equivalence principle; 1.3. The dimensional viewpoint of financial quantities; Chapter 2. Theory of Financial Laws; 2.1. Indifference relations and exchange laws for simple financial operations
2.2. Two variable laws and exchange factors2.3. Derived quantities in the accumulation and discount laws; 2.3.1. Accumulation; 2.3.2. Discounting; 2.4. Decomposable financial lawas; 2.4.1. Weak and strong decomposability properties: equivalence relations; 2.4.2. Equivalence classes: characteristic properties of decomposable laws; 2.5. Uniform financial laws: mean evaluations; 2.5.1. Theory of uniform exchange laws; 2.5.2. An outline of associative averages; 2.5.3. Average duration and average maturity; 2.5.4. Average index of return: average rate 2.6. Uniform decomposable financial laws: exponential regimeChapter 3. Uniform Regimes in Financial Practice; 3.1. Preliminary comments; 3.1.1. Equivalent rates and intensities; 3.2. The regime of simple delayed interest (SDI); 3.3. The regime of rational discount (RD); 3.4. The regime of simple discount (SD); 3.5. The regime of simple advance interest (SAI); 3.6. Comments on the SDI, RD, SD and SAI uniform regimes; 3.6.1. Exchange factors (EF); 3.6.2. Corrective operations; 3.6.3. Initial averaged intensities and instantaneous intensity 3.6.4. Average length in the linear law and their conjugates3.6.5. Average rates in linear law and their conjugated laws; 3.7. The compound interest regime; 3.7.1. Conversion of interests; 3.7.2. The regime of discretely compound interest (DCI); 3.7.3. The regime of continuously compound interest (CCI); 3.8. The regime of continuously comound discount (CCD); 3.9. Complements and exercises on compound regimes; 3.10. Comparison of laws of different regimes; Chapter 4. Financial Operations and their Evaluation: Decisional Criteria; 4.1. Calculation of capital values: fairness 4.2. Retrospective and prospective reserve4.3. Usufruct and bare ownership in "discrete" and "continuous" cases; 4.4. Methods and models for financial decisions and choices; 4.4.1. Internal rate as return index; 4.4.2. Outline on GDCF and "internal financial law"; 4.4.3. Classifications and propert of financial projects; 4.4.4. Decisional criteria for financial projects; 4.4.5. Choice criteria for mutually exclusive financial projects; 4.4.6. Mixed projects: the TRM method; 4.4.7. Dicisional criteria on mixed projects; 4.5. Appendix: outline on numberical methods for the solution of equations 4.5.1. General aspects |
| Record Nr. | UNINA-9910677466003321 |
|
Janssen Jacques <1939->
|
||
| London, : ISTE | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Mathematical fianance : deterministic and stochastic models / / Jacques Janssen, Raimondo Manca, Ernesto Volpe di Prignano
| Mathematical fianance : deterministic and stochastic models / / Jacques Janssen, Raimondo Manca, Ernesto Volpe di Prignano |
| Autore | Janssen Jacques <1939-> |
| Pubbl/distr/stampa | London, : ISTE |
| Descrizione fisica | 1 online resource (874 p.) |
| Disciplina | 332.01/51922 |
| Altri autori (Persone) |
MancaRaimondo
Volpe di PrignanoErnesto |
| Collana | ISTE |
| Soggetto topico |
Finance - Mathematical models
Stochastic processes Investments - Mathematics |
| ISBN |
9786612165399
9781118622414 1118622413 9781282165397 1282165399 9780470611692 0470611693 9780470394328 0470394323 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Mathematical Finance: Deterministic and Stochastic Models; Table of Contents; Preface; Part I. Deterministic Models; Chapter 1. Introductory Elements to Financial Mathematics; 1.1. The object of traditional financial mathematics; 1.2. Financial supplies. Preference and indifference relations; 1.2.1. The subjective aspect of preferences; 1.2.2. Objective aspects of financial laws. The equivalence principle; 1.3. The dimensional viewpoint of financial quantities; Chapter 2. Theory of Financial Laws; 2.1. Indifference relations and exchange laws for simple financial operations
2.2. Two variable laws and exchange factors2.3. Derived quantities in the accumulation and discount laws; 2.3.1. Accumulation; 2.3.2. Discounting; 2.4. Decomposable financial lawas; 2.4.1. Weak and strong decomposability properties: equivalence relations; 2.4.2. Equivalence classes: characteristic properties of decomposable laws; 2.5. Uniform financial laws: mean evaluations; 2.5.1. Theory of uniform exchange laws; 2.5.2. An outline of associative averages; 2.5.3. Average duration and average maturity; 2.5.4. Average index of return: average rate 2.6. Uniform decomposable financial laws: exponential regimeChapter 3. Uniform Regimes in Financial Practice; 3.1. Preliminary comments; 3.1.1. Equivalent rates and intensities; 3.2. The regime of simple delayed interest (SDI); 3.3. The regime of rational discount (RD); 3.4. The regime of simple discount (SD); 3.5. The regime of simple advance interest (SAI); 3.6. Comments on the SDI, RD, SD and SAI uniform regimes; 3.6.1. Exchange factors (EF); 3.6.2. Corrective operations; 3.6.3. Initial averaged intensities and instantaneous intensity 3.6.4. Average length in the linear law and their conjugates3.6.5. Average rates in linear law and their conjugated laws; 3.7. The compound interest regime; 3.7.1. Conversion of interests; 3.7.2. The regime of discretely compound interest (DCI); 3.7.3. The regime of continuously compound interest (CCI); 3.8. The regime of continuously comound discount (CCD); 3.9. Complements and exercises on compound regimes; 3.10. Comparison of laws of different regimes; Chapter 4. Financial Operations and their Evaluation: Decisional Criteria; 4.1. Calculation of capital values: fairness 4.2. Retrospective and prospective reserve4.3. Usufruct and bare ownership in "discrete" and "continuous" cases; 4.4. Methods and models for financial decisions and choices; 4.4.1. Internal rate as return index; 4.4.2. Outline on GDCF and "internal financial law"; 4.4.3. Classifications and propert of financial projects; 4.4.4. Decisional criteria for financial projects; 4.4.5. Choice criteria for mutually exclusive financial projects; 4.4.6. Mixed projects: the TRM method; 4.4.7. Dicisional criteria on mixed projects; 4.5. Appendix: outline on numberical methods for the solution of equations 4.5.1. General aspects |
| Record Nr. | UNINA-9911019439703321 |
|
Janssen Jacques <1939->
|
||
| London, : ISTE | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Stochastic methods for pension funds [[electronic resource] /] / Pierre Devolder, Jacques Janssen, Raimondo Manca
| Stochastic methods for pension funds [[electronic resource] /] / Pierre Devolder, Jacques Janssen, Raimondo Manca |
| Autore | Devolder Pierre |
| Pubbl/distr/stampa | London, : ISTE Ltd. |
| Descrizione fisica | 1 online resource (476 p.) |
| Disciplina |
332.67/2540151923
332.672540151923 |
| Altri autori (Persone) |
JanssenJacques <1939->
MancaRaimondo |
| Collana | Applied stochastic methods series |
| Soggetto topico |
Pension trusts - Management
Pension trusts - Mathematics Financial risk management - Mathematical models Stochastic models |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-118-56203-8
1-299-31580-1 1-118-56593-2 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Cover; Stochastic Methods for Pension Funds; Title Page; Copyright Page; Table of Contents; Preface; Chapter 1. Introduction: Pensions in Perspective; 1.1. Pension issues; 1.1.1. The challenge; 1.1.2. Some figures; 1.2. Pension scheme; 1.2.1. Definition; 1.2.2. The four dimensions of a pension scheme; 1.3. Pension and risks; 1.3.1. Demographic risks; 1.3.2. Financial risks; 1.3.3. Impact of the risks on various kinds of pension schemes; 1.3.4. The time horizon of a pension scheme; 1.4. The multi-pillar philosophy; Chapter 2. Classical Actuarial Theory of Pension Funding
2.1. General equilibrium equation of a pension scheme2.1.1. Principles; 2.1.2. The retrospective reserve; 2.1.3. The prospective reserve; 2.1.4. Equilibrated pension funding; 2.1.5. Decomposition of the reserve; 2.1.6. Classification of the methods; 2.2. General principles of funding mechanisms for DB Schemes; 2.3. Particular funding methods; 2.3.1. Unit credit cost methods; 2.3.2. Level premium methods; 2.3.3. Aggregate cost methods; Chapter 3. Deterministic and Stochastic Optimal Control; 3.1. Introduction; 3.2. Deterministic optimal control 3.2.1. Formulation of the optimal control problem3.3. Necessary conditions for optimality; 3.3.1. Bellman function; 3.3.2. Bellman optimality equation; 3.3.3. Hamilton-Jacobi equation; 3.3.4. The synthesis function; 3.3.5. Other types of optimal controls; 3.3.6. Example: the classical quadratic/linear control problem; 3.4. The maximum principle; 3.4.1. The maximum principle from the dynamic programming approach; 3.5. Extension to the one-dimensional stochastic optimal control; 3.5.1. Formulation of the one-dimensional stochastic optimal control problem 3.5.2. Necessary conditions for one-dimensional stochastic optimality3.5.3. Extension to the multi-dimensional stochastic optimal control; 3.5.4. Dynamic programming principle; 3.5.5. The Hamilton-Jacobi-Bellman equation; 3.6. Examples; 3.6.1. Merton portfolio allocation problem; Chapter 4. Defined Contribution and Defined Benefit Pension Plans; 4.1. Introduction; 4.2. The defined benefit method; 4.3. The defined contribution method; 4.3.1. The model; 4.3.2. The capitalization system; 4.4. The notional defined contribution (NDC) method; 4.4.1. Historical preliminaries 4.4.2. The Dini reform transformation coefficients4.4.3. Theoretical preliminaries; 4.4.4. The construction of a unitary pension present value; 4.4.5. Numerical example and results comparison; 4.5. Conclusions; Chapter 5. Fair and Market Values and Interest Rate Stochastic Models; 5.1. Fair value; 5.2. Market value of financial flows; 5.3. Yield curve; 5.4. Yield to maturity for a financial investment and for a bond; 5.5. Dynamic deterministic continuous time model for an instantaneous interest rate; 5.5.1. Instantaneous interest rate; 5.5.2. Particular cases 5.5.3. Yield curve associated with an instantaneous interest rate |
| Record Nr. | UNINA-9910139239203321 |
|
Devolder Pierre
|
||
| London, : ISTE Ltd. | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Stochastic methods for pension funds [[electronic resource] /] / Pierre Devolder, Jacques Janssen, Raimondo Manca
| Stochastic methods for pension funds [[electronic resource] /] / Pierre Devolder, Jacques Janssen, Raimondo Manca |
| Autore | Devolder Pierre |
| Pubbl/distr/stampa | London, : ISTE Ltd. |
| Descrizione fisica | 1 online resource (476 p.) |
| Disciplina |
332.67/2540151923
332.672540151923 |
| Altri autori (Persone) |
JanssenJacques <1939->
MancaRaimondo |
| Collana | Applied stochastic methods series |
| Soggetto topico |
Pension trusts - Management
Pension trusts - Mathematics Financial risk management - Mathematical models Stochastic models |
| ISBN |
1-118-56203-8
1-299-31580-1 1-118-56593-2 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Cover; Stochastic Methods for Pension Funds; Title Page; Copyright Page; Table of Contents; Preface; Chapter 1. Introduction: Pensions in Perspective; 1.1. Pension issues; 1.1.1. The challenge; 1.1.2. Some figures; 1.2. Pension scheme; 1.2.1. Definition; 1.2.2. The four dimensions of a pension scheme; 1.3. Pension and risks; 1.3.1. Demographic risks; 1.3.2. Financial risks; 1.3.3. Impact of the risks on various kinds of pension schemes; 1.3.4. The time horizon of a pension scheme; 1.4. The multi-pillar philosophy; Chapter 2. Classical Actuarial Theory of Pension Funding
2.1. General equilibrium equation of a pension scheme2.1.1. Principles; 2.1.2. The retrospective reserve; 2.1.3. The prospective reserve; 2.1.4. Equilibrated pension funding; 2.1.5. Decomposition of the reserve; 2.1.6. Classification of the methods; 2.2. General principles of funding mechanisms for DB Schemes; 2.3. Particular funding methods; 2.3.1. Unit credit cost methods; 2.3.2. Level premium methods; 2.3.3. Aggregate cost methods; Chapter 3. Deterministic and Stochastic Optimal Control; 3.1. Introduction; 3.2. Deterministic optimal control 3.2.1. Formulation of the optimal control problem3.3. Necessary conditions for optimality; 3.3.1. Bellman function; 3.3.2. Bellman optimality equation; 3.3.3. Hamilton-Jacobi equation; 3.3.4. The synthesis function; 3.3.5. Other types of optimal controls; 3.3.6. Example: the classical quadratic/linear control problem; 3.4. The maximum principle; 3.4.1. The maximum principle from the dynamic programming approach; 3.5. Extension to the one-dimensional stochastic optimal control; 3.5.1. Formulation of the one-dimensional stochastic optimal control problem 3.5.2. Necessary conditions for one-dimensional stochastic optimality3.5.3. Extension to the multi-dimensional stochastic optimal control; 3.5.4. Dynamic programming principle; 3.5.5. The Hamilton-Jacobi-Bellman equation; 3.6. Examples; 3.6.1. Merton portfolio allocation problem; Chapter 4. Defined Contribution and Defined Benefit Pension Plans; 4.1. Introduction; 4.2. The defined benefit method; 4.3. The defined contribution method; 4.3.1. The model; 4.3.2. The capitalization system; 4.4. The notional defined contribution (NDC) method; 4.4.1. Historical preliminaries 4.4.2. The Dini reform transformation coefficients4.4.3. Theoretical preliminaries; 4.4.4. The construction of a unitary pension present value; 4.4.5. Numerical example and results comparison; 4.5. Conclusions; Chapter 5. Fair and Market Values and Interest Rate Stochastic Models; 5.1. Fair value; 5.2. Market value of financial flows; 5.3. Yield curve; 5.4. Yield to maturity for a financial investment and for a bond; 5.5. Dynamic deterministic continuous time model for an instantaneous interest rate; 5.5.1. Instantaneous interest rate; 5.5.2. Particular cases 5.5.3. Yield curve associated with an instantaneous interest rate |
| Record Nr. | UNINA-9910830121303321 |
|
Devolder Pierre
|
||
| London, : ISTE Ltd. | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Stochastic methods for pension funds / / Pierre Devolder, Jacques Janssen, Raimondo Manca
| Stochastic methods for pension funds / / Pierre Devolder, Jacques Janssen, Raimondo Manca |
| Autore | Devolder Pierre |
| Pubbl/distr/stampa | London, : ISTE Ltd. |
| Descrizione fisica | 1 online resource (476 p.) |
| Disciplina | 332.67/2540151923 |
| Altri autori (Persone) |
JanssenJacques <1939->
MancaRaimondo |
| Collana | Applied stochastic methods series |
| Soggetto topico |
Pension trusts - Management
Pension trusts - Mathematics Financial risk management - Mathematical models Stochastic models |
| ISBN |
1-118-56203-8
1-299-31580-1 1-118-56593-2 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Cover; Stochastic Methods for Pension Funds; Title Page; Copyright Page; Table of Contents; Preface; Chapter 1. Introduction: Pensions in Perspective; 1.1. Pension issues; 1.1.1. The challenge; 1.1.2. Some figures; 1.2. Pension scheme; 1.2.1. Definition; 1.2.2. The four dimensions of a pension scheme; 1.3. Pension and risks; 1.3.1. Demographic risks; 1.3.2. Financial risks; 1.3.3. Impact of the risks on various kinds of pension schemes; 1.3.4. The time horizon of a pension scheme; 1.4. The multi-pillar philosophy; Chapter 2. Classical Actuarial Theory of Pension Funding
2.1. General equilibrium equation of a pension scheme2.1.1. Principles; 2.1.2. The retrospective reserve; 2.1.3. The prospective reserve; 2.1.4. Equilibrated pension funding; 2.1.5. Decomposition of the reserve; 2.1.6. Classification of the methods; 2.2. General principles of funding mechanisms for DB Schemes; 2.3. Particular funding methods; 2.3.1. Unit credit cost methods; 2.3.2. Level premium methods; 2.3.3. Aggregate cost methods; Chapter 3. Deterministic and Stochastic Optimal Control; 3.1. Introduction; 3.2. Deterministic optimal control 3.2.1. Formulation of the optimal control problem3.3. Necessary conditions for optimality; 3.3.1. Bellman function; 3.3.2. Bellman optimality equation; 3.3.3. Hamilton-Jacobi equation; 3.3.4. The synthesis function; 3.3.5. Other types of optimal controls; 3.3.6. Example: the classical quadratic/linear control problem; 3.4. The maximum principle; 3.4.1. The maximum principle from the dynamic programming approach; 3.5. Extension to the one-dimensional stochastic optimal control; 3.5.1. Formulation of the one-dimensional stochastic optimal control problem 3.5.2. Necessary conditions for one-dimensional stochastic optimality3.5.3. Extension to the multi-dimensional stochastic optimal control; 3.5.4. Dynamic programming principle; 3.5.5. The Hamilton-Jacobi-Bellman equation; 3.6. Examples; 3.6.1. Merton portfolio allocation problem; Chapter 4. Defined Contribution and Defined Benefit Pension Plans; 4.1. Introduction; 4.2. The defined benefit method; 4.3. The defined contribution method; 4.3.1. The model; 4.3.2. The capitalization system; 4.4. The notional defined contribution (NDC) method; 4.4.1. Historical preliminaries 4.4.2. The Dini reform transformation coefficients4.4.3. Theoretical preliminaries; 4.4.4. The construction of a unitary pension present value; 4.4.5. Numerical example and results comparison; 4.5. Conclusions; Chapter 5. Fair and Market Values and Interest Rate Stochastic Models; 5.1. Fair value; 5.2. Market value of financial flows; 5.3. Yield curve; 5.4. Yield to maturity for a financial investment and for a bond; 5.5. Dynamic deterministic continuous time model for an instantaneous interest rate; 5.5.1. Instantaneous interest rate; 5.5.2. Particular cases 5.5.3. Yield curve associated with an instantaneous interest rate |
| Record Nr. | UNINA-9911019283403321 |
|
Devolder Pierre
|
||
| London, : ISTE Ltd. | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
