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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 |
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-9910877138103321 |
|
Janssen Jacques <1939->
|
||
| London, : ISTE | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Problems and solutions in mathematical finance . Volume 1 Stochastic calculus / / Eric Chin, Dian Nel and Sverrir Olafsson
| Problems and solutions in mathematical finance . Volume 1 Stochastic calculus / / Eric Chin, Dian Nel and Sverrir Olafsson |
| Autore | Chin Eric <1971-> |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Hoboken : , : Wiley, , 2014 |
| Descrizione fisica | 1 online resource (439 pages) |
| Disciplina | 332.01/51922 |
| Collana | Wiley finance series |
| Soggetto topico |
Finance - Mathematical models
Stochastic analysis |
| ISBN |
1-118-84514-5
1-322-33487-0 1-119-96607-8 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Preface -- General probability theory -- Wiener process -- Stochastic di?erential equations -- Change of measure -- Poisson process -- A Mathematics formulae -- B Probability theory formulae -- C Differential equations formulae -- Bibliography -- Notation. |
| Record Nr. | UNINA-9910208959103321 |
|
Chin Eric <1971->
|
||
| Hoboken : , : Wiley, , 2014 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Stochastic filtering with applications in finance [[electronic resource] /] / Ramaprasad Bhar
| Stochastic filtering with applications in finance [[electronic resource] /] / Ramaprasad Bhar |
| Autore | Bhar Ramaprasad |
| Pubbl/distr/stampa | Singapore ; ; Hackensack, N.J., : World Scientific, c2010 |
| Descrizione fisica | 1 online resource (400 p.) |
| Disciplina | 332.01/51922 |
| Soggetto topico |
Finance - Mathematical models
Stochastic analysis |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-283-14452-2
9786613144522 981-4304-86-7 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Preface; Contents; 1. Introduction: Stochastic Filtering in Finance; 2. Foreign Exchange Market - Filtering Applications; 3. Equity Market - Filtering Applications; 4. Filtering Application - Inflation and the Macroeconomy; 5. Interest Rate Model and Non-Linear Filtering; 6. Filtering and Hedging using Interest Rate Futures; 7. A Multifactor Model of Credit Spreads; 8. Credit Default Swaps - Filtering the Components; 9. CDS Options, Implied Volatility and Unscented Kalman Filter; 10. Stochastic Volatility Model and Non-Linear Filtering Application; 11. Applications for Filtering with Jumps
BibliographyIndex |
| Record Nr. | UNINA-9910461629703321 |
|
Bhar Ramaprasad
|
||
| Singapore ; ; Hackensack, N.J., : World Scientific, c2010 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Stochastic filtering with applications in finance [[electronic resource] /] / Ramaprasad Bhar
| Stochastic filtering with applications in finance [[electronic resource] /] / Ramaprasad Bhar |
| Autore | Bhar Ramaprasad |
| Pubbl/distr/stampa | Singapore ; ; Hackensack, N.J., : World Scientific, c2010 |
| Descrizione fisica | 1 online resource (400 p.) |
| Disciplina | 332.01/51922 |
| Soggetto topico |
Finance - Mathematical models
Stochastic analysis |
| ISBN |
1-283-14452-2
9786613144522 981-4304-86-7 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Preface; Contents; 1. Introduction: Stochastic Filtering in Finance; 2. Foreign Exchange Market - Filtering Applications; 3. Equity Market - Filtering Applications; 4. Filtering Application - Inflation and the Macroeconomy; 5. Interest Rate Model and Non-Linear Filtering; 6. Filtering and Hedging using Interest Rate Futures; 7. A Multifactor Model of Credit Spreads; 8. Credit Default Swaps - Filtering the Components; 9. CDS Options, Implied Volatility and Unscented Kalman Filter; 10. Stochastic Volatility Model and Non-Linear Filtering Application; 11. Applications for Filtering with Jumps
BibliographyIndex |
| Record Nr. | UNINA-9910789406403321 |
|
Bhar Ramaprasad
|
||
| Singapore ; ; Hackensack, N.J., : World Scientific, c2010 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Stochastic filtering with applications in finance / / Ramaprasad Bhar
| Stochastic filtering with applications in finance / / Ramaprasad Bhar |
| Autore | Bhar Ramaprasad |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Singapore ; ; Hackensack, N.J., : World Scientific, c2010 |
| Descrizione fisica | 1 online resource (400 p.) |
| Disciplina | 332.01/51922 |
| Soggetto topico |
Finance - Mathematical models
Stochastic analysis |
| ISBN |
1-283-14452-2
9786613144522 981-4304-86-7 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Preface; Contents; 1. Introduction: Stochastic Filtering in Finance; 2. Foreign Exchange Market - Filtering Applications; 3. Equity Market - Filtering Applications; 4. Filtering Application - Inflation and the Macroeconomy; 5. Interest Rate Model and Non-Linear Filtering; 6. Filtering and Hedging using Interest Rate Futures; 7. A Multifactor Model of Credit Spreads; 8. Credit Default Swaps - Filtering the Components; 9. CDS Options, Implied Volatility and Unscented Kalman Filter; 10. Stochastic Volatility Model and Non-Linear Filtering Application; 11. Applications for Filtering with Jumps
BibliographyIndex |
| Record Nr. | UNINA-9910819618303321 |
|
Bhar Ramaprasad
|
||
| Singapore ; ; Hackensack, N.J., : World Scientific, c2010 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Stochastic finance : a numeraire approach / / by Jan Vecer
| Stochastic finance : a numeraire approach / / by Jan Vecer |
| Autore | Vecer Jan |
| Edizione | [First edition.] |
| Pubbl/distr/stampa | Boca Raton, FL : , : CRC Press, an imprint of Taylor and Francis, , 2011 |
| Descrizione fisica | 1 online resource (339 p.) |
| Disciplina | 332.01/51922 |
| Collana | Chapman and Hall/CRC Financial Mathematics Series |
| Soggetto topico |
Finance
Stochastic analysis |
| Soggetto genere / forma | Electronic books. |
| ISBN |
0-429-09240-7
1-4398-1250-0 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Cover; Title; Copyright; Contents; Introduction; Chapter 1: Elements of Finance; Chapter 2: Binomial Models; Chapter 3: Diffusion Models; Chapter 4: Interest Rate Contracts; Chapter 5: Barrier Options; Chapter 6: Lookback Options; Chapter 7: American Options; Chapter 8: Contracts on Three or More Assets: Quantos, Rainbows and "Friends"; Chapter 9: Asian Options; Chapter 10: Jump Models; Appendix A: Elements of Probability Theory; Solutions to Selected Exercises; References |
| Record Nr. | UNINA-9910465183503321 |
|
Vecer Jan
|
||
| Boca Raton, FL : , : CRC Press, an imprint of Taylor and Francis, , 2011 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Stochastic finance : a numeraire approach / / by Jan Vecer
| Stochastic finance : a numeraire approach / / by Jan Vecer |
| Autore | Vecer Jan |
| Edizione | [First edition.] |
| Pubbl/distr/stampa | Boca Raton, FL : , : CRC Press, an imprint of Taylor and Francis, , 2011 |
| Descrizione fisica | 1 online resource (339 p.) |
| Disciplina | 332.01/51922 |
| Collana | Chapman and Hall/CRC Financial Mathematics Series |
| Soggetto topico |
Finance
Stochastic analysis |
| ISBN |
0-429-09240-7
1-4398-1250-0 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Cover; Title; Copyright; Contents; Introduction; Chapter 1: Elements of Finance; Chapter 2: Binomial Models; Chapter 3: Diffusion Models; Chapter 4: Interest Rate Contracts; Chapter 5: Barrier Options; Chapter 6: Lookback Options; Chapter 7: American Options; Chapter 8: Contracts on Three or More Assets: Quantos, Rainbows and "Friends"; Chapter 9: Asian Options; Chapter 10: Jump Models; Appendix A: Elements of Probability Theory; Solutions to Selected Exercises; References |
| Record Nr. | UNINA-9910792139003321 |
|
Vecer Jan
|
||
| Boca Raton, FL : , : CRC Press, an imprint of Taylor and Francis, , 2011 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Stochastic finance : a numeraire approach / / by Jan Vecer
| Stochastic finance : a numeraire approach / / by Jan Vecer |
| Autore | Vecer Jan |
| Edizione | [First edition.] |
| Pubbl/distr/stampa | Boca Raton, FL : , : CRC Press, an imprint of Taylor and Francis, , 2011 |
| Descrizione fisica | 1 online resource (339 p.) |
| Disciplina | 332.01/51922 |
| Collana | Chapman and Hall/CRC Financial Mathematics Series |
| Soggetto topico |
Finance
Stochastic analysis |
| ISBN |
1-04-005633-4
0-429-09240-7 1-4398-1250-0 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Cover; Title; Copyright; Contents; Introduction; Chapter 1: Elements of Finance; Chapter 2: Binomial Models; Chapter 3: Diffusion Models; Chapter 4: Interest Rate Contracts; Chapter 5: Barrier Options; Chapter 6: Lookback Options; Chapter 7: American Options; Chapter 8: Contracts on Three or More Assets: Quantos, Rainbows and "Friends"; Chapter 9: Asian Options; Chapter 10: Jump Models; Appendix A: Elements of Probability Theory; Solutions to Selected Exercises; References |
| Record Nr. | UNINA-9910807670003321 |
|
Vecer Jan
|
||
| Boca Raton, FL : , : CRC Press, an imprint of Taylor and Francis, , 2011 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
