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Risk and financial management [[electronic resource] ] : mathematical and computational methods / / Charles Tapiero
| Risk and financial management [[electronic resource] ] : mathematical and computational methods / / Charles Tapiero |
| Autore | Tapiero Charles S |
| Pubbl/distr/stampa | Chichester, West Sussex ; ; Hoboken, NJ, : John Wiley, c2004 |
| Descrizione fisica | 1 online resource (359 p.) |
| Disciplina |
658.15/5/015192
658.155015192 |
| Soggetto topico |
Finance - Mathematical models
Risk management |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-280-54157-1
9780470020350 9786610541577 0-470-02035-0 0-470-02036-9 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Risk 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
2.3 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 3.2.1 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 3.5.6 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 4.5 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 Chapter 6 Options and Derivatives Finance Mathematics |
| Record Nr. | UNINA-9910143481903321 |
Tapiero Charles S
|
||
| Chichester, West Sussex ; ; Hoboken, NJ, : John Wiley, c2004 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Risk and financial management [[electronic resource] ] : mathematical and computational methods / / Charles Tapiero
| Risk and financial management [[electronic resource] ] : mathematical and computational methods / / Charles Tapiero |
| Autore | Tapiero Charles S |
| Pubbl/distr/stampa | Chichester, West Sussex ; ; Hoboken, NJ, : John Wiley, c2004 |
| Descrizione fisica | 1 online resource (359 p.) |
| Disciplina |
658.15/5/015192
658.155015192 |
| Soggetto topico |
Finance - Mathematical models
Risk management |
| ISBN |
1-280-54157-1
9780470020350 9786610541577 0-470-02035-0 0-470-02036-9 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Risk 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
2.3 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 3.2.1 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 3.5.6 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 4.5 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 Chapter 6 Options and Derivatives Finance Mathematics |
| Record Nr. | UNISA-996206813603316 |
|
Tapiero Charles S
|
||
| Chichester, West Sussex ; ; Hoboken, NJ, : John Wiley, c2004 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. di Salerno | ||
| ||
Risk and financial management [[electronic resource] ] : mathematical and computational methods / / Charles Tapiero
| Risk and financial management [[electronic resource] ] : mathematical and computational methods / / Charles Tapiero |
| Autore | Tapiero Charles S |
| Pubbl/distr/stampa | Chichester, West Sussex ; ; Hoboken, NJ, : John Wiley, c2004 |
| Descrizione fisica | 1 online resource (359 p.) |
| Disciplina |
658.15/5/015192
658.155015192 |
| Soggetto topico |
Finance - Mathematical models
Risk management |
| ISBN |
1-280-54157-1
9780470020350 9786610541577 0-470-02035-0 0-470-02036-9 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Risk 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
2.3 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 3.2.1 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 3.5.6 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 4.5 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 Chapter 6 Options and Derivatives Finance Mathematics |
| Record Nr. | UNINA-9910830677003321 |
|
Tapiero Charles S
|
||
| Chichester, West Sussex ; ; Hoboken, NJ, : John Wiley, c2004 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Risk and financial management : mathematical and computational methods / / Charles Tapiero
| Risk and financial management : mathematical and computational methods / / Charles Tapiero |
| Autore | Tapiero Charles S |
| Pubbl/distr/stampa | Chichester, West Sussex ; ; Hoboken, NJ, : John Wiley, c2004 |
| Descrizione fisica | 1 online resource (359 p.) |
| Disciplina | 658.15/5/015192 |
| Soggetto topico |
Finance - Mathematical models
Risk management |
| ISBN |
9780470020350
9786610541577 9781280541575 1280541571 9780470020357 0470020350 9780470020364 0470020369 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Risk 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
2.3 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 3.2.1 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 3.5.6 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 4.5 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 Chapter 6 Options and Derivatives Finance Mathematics |
| Record Nr. | UNINA-9911019822603321 |
|
Tapiero Charles S
|
||
| Chichester, West Sussex ; ; Hoboken, NJ, : John Wiley, c2004 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||