Elements of financial mathematics : from interest theory to options / edited by Stefano Spezia.
Material type: TextPublisher: Burlington, Ontario : Arcler Press, 2021Description: xxii, 434 pages : illustrations ; 24 cmContent type:- text
- unmediated
- volume
- 9781774077696
- 23 332.60151 El266
- HG4515.3 .E44 2021
Item type | Current library | Shelving location | Call number | Copy number | Status | Date due | Barcode | |
---|---|---|---|---|---|---|---|---|
Books | Main Library-Nabua | Circulation Section | CIR 332.60151 El266 2021 (Browse shelf(Opens below)) | 1-1 | Available | 027825 |
Includes bibliographical references and index
Upper and lower bounds for Annuities and life insurance from incomplete mortality data -- The effect of the assumed interest rate and smoothing on variable annuities -- Adverse selection in private annuity markets and the role of mandatory social annuitization -- Evaluation of variable annuity guarantees with the effect of jumps in the asset price process -- The analysis of corporate bond valuation under an infinite dimensional compound poisson framework -- The time decay of bond premium and discount- ana nalysis of the time passage effect on bond prices -- On a new corporate bond pricing model with potential credit. Rating change and stochastic interest rate -- Forecasting term structure of interest rates in Japan -- Practical aspects of portfolio selection and optimisation on the capital market -- A general frameowork for portfolio theory. Part III: Multi-period markets and modular approach -- Research and regularized mean-variance portfolio selection strategy with modified roy safetyfirst principle -- Systematic risk from investment similarities -- The value of Monte Carlo model-based variance reduction technology in the pricing of financial derivatives -- Modelling and computation in the valuation of carbon derivatives with stochastic convenience yields -- Variance and dimension reduction monte Carlo method for pricing European multi-asset options with stochastic volatilities -- A comparative study on barrier option pricing using antithetic and quasi Monte-Carlo simulations.
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