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Mathematical fianance : deterministic and stochastic models /

by Janssen, Jacques,
Authors: Manca, Raimondo.%joint author | Volpe, Ernesto.%joint author Published by : ISTE/Wiley, (Hoboken, N.J. :) Physical details: xx, 852 p. ; 25 cm. ISBN: 1848210817 Subject(s): Finance %Mathematical models. | Stochastic processes. | Investments %Mathematics. Year: 2008
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Item type Location Call Number Status Notes Date Due
Book Book AUM Main Library 332.0151922 J352 (Browse Shelf) Available JBC/2011/11264

Includes bibliographical references and index.

Introductive elements -- Theory of financial laws -- Uniform regimes in financial practice -- Financial operations and their evaluation -- Annuities-certain and their value at fixed rate -- Loans amortization and funding methods -- Exchanges and prices on the financial market -- Annuities, amortizations and funding in the case of term structures -- Time and variability indicators -- Basic probabilistic tools for finance -- Markov Chains -- Semi-Markov processes -- Stochastic or ito calculus -- Option theory -- Markov and semi-Markov option models -- Interest rate Stochastic models -- Portfolio theory -- Value at risk (VaR) methods and simulation -- Credit risk or default risk -- Markov and semi-Markov reward processes and Stochastic annuities.

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