Stochastic processes with applications to finance
著者
書誌事項
Stochastic processes with applications to finance
（Chapman & Hall/CRC financial mathematics series）（A Chapman & Hall book）
CRC Press, c2013
2nd ed
- : hardback
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注記
Includes bibliographical references (p. 311-316) and index
内容説明・目次
内容説明
Financial engineering has been proven to be a useful tool for risk management, but using the theory in practice requires a thorough understanding of the risks and ethical standards involved. Stochastic Processes with Applications to Finance, Second Edition presents the mathematical theory of financial engineering using only basic mathematical tools that are easy to understand even for those with little mathematical expertise. This second edition covers several important developments in the financial industry.
New to the Second Edition
A chapter on the change of measures and pricing of insurance products
Many examples of the change of measure technique, including its use in asset pricing theory
A section on the use of copulas, especially in the pricing of CDOs
Two chapters that offer more coverage of interest rate derivatives and credit derivatives
Exploring the merge of actuarial science and financial engineering, this edition examines how the pricing of insurance products, such as equity-linked annuities, requires knowledge of asset pricing theory since the equity index can be traded in the market. The book looks at the development of many probability transforms for pricing insurance risks, including the Esscher transform. It also describes how the copula model is used to model the joint distribution of underlying assets.
By presenting significant results in discrete processes and showing how to transfer the results to their continuous counterparts, this text imparts an accessible, practical understanding of the subject. It helps readers not only grasp the theory of financial engineering, but also implement the theory in business.
目次
Elementary Calculus: Towards Ito's Formula. Elements in Probability. Useful Distributions in Finance. Derivative Securities. Change of Measures and the Pricing of Insurance Products. A Discrete-Time Model for Securities Market. Random Walks. The Binomial Model. A Discrete-Time Model for Defaultable Securities. Markov Chains. Monte Carlo Simulation. From Discrete to Continuous: Towards the Black-Scholes. Basic Stochastic Processes in Continuous Time. A Continuous-Time Model for Securities Market. Term-Structure Models and Interest-Rate Derivatives. A Continuous-Time Model for Defaultable Securities. References. Index.
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