Stochastic processes with applications to finance:
Gespeichert in:
1. Verfasser: | |
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Format: | Buch |
Sprache: | English |
Veröffentlicht: |
Boca Raton [u.a.]
CRC Press
2013
|
Ausgabe: | 2. ed. |
Schriftenreihe: | Chapman & hall/crc financial mathematics series
|
Schlagworte: | |
Online-Zugang: | Cover image |
Beschreibung: | "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 EditionA chapter on the change of measures and pricing of insurance productsMany examples of the change of measure technique, including its use in asset pricing theoryA section on the use of copulas, especially in the pricing of CDOs Two chapters that offer more coverage of interest rate derivatives and credit derivativesExploring 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"-- Provided by publisher. -- Includes bibliographical references and index |
Beschreibung: | XV, 327 S. graph. Darst. |
ISBN: | 9781439884829 |
Internformat
MARC
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003 | DE-604 | ||
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035 | |a (OCoLC)856807411 | ||
035 | |a (DE-599)BVBBV041103955 | ||
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041 | 0 | |a eng | |
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100 | 1 | |a Kijima, Masaaki |d 1957- |e Verfasser |0 (DE-588)124169015 |4 aut | |
245 | 1 | 0 | |a Stochastic processes with applications to finance |c Masaaki Kijima |
250 | |a 2. ed. | ||
264 | 1 | |a Boca Raton [u.a.] |b CRC Press |c 2013 | |
300 | |a XV, 327 S. |b graph. Darst. | ||
336 | |b txt |2 rdacontent | ||
337 | |b n |2 rdamedia | ||
338 | |b nc |2 rdacarrier | ||
490 | 0 | |a Chapman & hall/crc financial mathematics series | |
500 | |a "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 EditionA chapter on the change of measures and pricing of insurance productsMany examples of the change of measure technique, including its use in asset pricing theoryA section on the use of copulas, especially in the pricing of CDOs Two chapters that offer more coverage of interest rate derivatives and credit derivativesExploring 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"-- Provided by publisher. -- | ||
500 | |a Includes bibliographical references and index | ||
650 | 4 | |a Wirtschaft | |
650 | 4 | |a Financial engineering | |
650 | 4 | |a Stochastic processes | |
650 | 4 | |a Business mathematics | |
650 | 7 | |a BUSINESS & ECONOMICS / Finance |2 bisacsh | |
650 | 7 | |a MATHEMATICS / General |2 bisacsh | |
650 | 7 | |a MATHEMATICS / Probability & Statistics / General |2 bisacsh | |
650 | 0 | 7 | |a Stochastischer Prozess |0 (DE-588)4057630-9 |2 gnd |9 rswk-swf |
650 | 0 | 7 | |a Finanzmathematik |0 (DE-588)4017195-4 |2 gnd |9 rswk-swf |
655 | 7 | |8 1\p |0 (DE-588)1071861417 |a Konferenzschrift |2 gnd-content | |
689 | 0 | 0 | |a Stochastischer Prozess |0 (DE-588)4057630-9 |D s |
689 | 0 | 1 | |a Finanzmathematik |0 (DE-588)4017195-4 |D s |
689 | 0 | |5 DE-604 | |
856 | 4 | |u http://images.tandf.co.uk/common/jackets/websmall/978143988/9781439884829.jpg |3 Cover image | |
999 | |a oai:aleph.bib-bvb.de:BVB01-026080291 | ||
883 | 1 | |8 1\p |a cgwrk |d 20201028 |q DE-101 |u https://d-nb.info/provenance/plan#cgwrk |
Datensatz im Suchindex
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any_adam_object | |
author | Kijima, Masaaki 1957- |
author_GND | (DE-588)124169015 |
author_facet | Kijima, Masaaki 1957- |
author_role | aut |
author_sort | Kijima, Masaaki 1957- |
author_variant | m k mk |
building | Verbundindex |
bvnumber | BV041103955 |
callnumber-first | H - Social Science |
callnumber-label | HG176 |
callnumber-raw | HG176.7 |
callnumber-search | HG176.7 |
callnumber-sort | HG 3176.7 |
callnumber-subject | HG - Finance |
classification_rvk | SK 820 |
ctrlnum | (OCoLC)856807411 (DE-599)BVBBV041103955 |
dewey-full | 519.2 |
dewey-hundreds | 500 - Natural sciences and mathematics |
dewey-ones | 519 - Probabilities and applied mathematics |
dewey-raw | 519.2 |
dewey-search | 519.2 |
dewey-sort | 3519.2 |
dewey-tens | 510 - Mathematics |
discipline | Mathematik |
edition | 2. ed. |
format | Book |
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illustrated | Illustrated |
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institution | BVB |
isbn | 9781439884829 |
language | English |
lccn | 2013007327 |
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physical | XV, 327 S. graph. Darst. |
publishDate | 2013 |
publishDateSearch | 2013 |
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publisher | CRC Press |
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series2 | Chapman & hall/crc financial mathematics series |
spelling | Kijima, Masaaki 1957- Verfasser (DE-588)124169015 aut Stochastic processes with applications to finance Masaaki Kijima 2. ed. Boca Raton [u.a.] CRC Press 2013 XV, 327 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Chapman & hall/crc financial mathematics series "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 EditionA chapter on the change of measures and pricing of insurance productsMany examples of the change of measure technique, including its use in asset pricing theoryA section on the use of copulas, especially in the pricing of CDOs Two chapters that offer more coverage of interest rate derivatives and credit derivativesExploring 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"-- Provided by publisher. -- Includes bibliographical references and index Wirtschaft Financial engineering Stochastic processes Business mathematics BUSINESS & ECONOMICS / Finance bisacsh MATHEMATICS / General bisacsh MATHEMATICS / Probability & Statistics / General bisacsh Stochastischer Prozess (DE-588)4057630-9 gnd rswk-swf Finanzmathematik (DE-588)4017195-4 gnd rswk-swf 1\p (DE-588)1071861417 Konferenzschrift gnd-content Stochastischer Prozess (DE-588)4057630-9 s Finanzmathematik (DE-588)4017195-4 s DE-604 http://images.tandf.co.uk/common/jackets/websmall/978143988/9781439884829.jpg Cover image 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
spellingShingle | Kijima, Masaaki 1957- Stochastic processes with applications to finance Wirtschaft Financial engineering Stochastic processes Business mathematics BUSINESS & ECONOMICS / Finance bisacsh MATHEMATICS / General bisacsh MATHEMATICS / Probability & Statistics / General bisacsh Stochastischer Prozess (DE-588)4057630-9 gnd Finanzmathematik (DE-588)4017195-4 gnd |
subject_GND | (DE-588)4057630-9 (DE-588)4017195-4 (DE-588)1071861417 |
title | Stochastic processes with applications to finance |
title_auth | Stochastic processes with applications to finance |
title_exact_search | Stochastic processes with applications to finance |
title_full | Stochastic processes with applications to finance Masaaki Kijima |
title_fullStr | Stochastic processes with applications to finance Masaaki Kijima |
title_full_unstemmed | Stochastic processes with applications to finance Masaaki Kijima |
title_short | Stochastic processes with applications to finance |
title_sort | stochastic processes with applications to finance |
topic | Wirtschaft Financial engineering Stochastic processes Business mathematics BUSINESS & ECONOMICS / Finance bisacsh MATHEMATICS / General bisacsh MATHEMATICS / Probability & Statistics / General bisacsh Stochastischer Prozess (DE-588)4057630-9 gnd Finanzmathematik (DE-588)4017195-4 gnd |
topic_facet | Wirtschaft Financial engineering Stochastic processes Business mathematics BUSINESS & ECONOMICS / Finance MATHEMATICS / General MATHEMATICS / Probability & Statistics / General Stochastischer Prozess Finanzmathematik Konferenzschrift |
url | http://images.tandf.co.uk/common/jackets/websmall/978143988/9781439884829.jpg |
work_keys_str_mv | AT kijimamasaaki stochasticprocesseswithapplicationstofinance |