دانلود کتاب Elements of Financial Mathematics: From Interest Theory to Options

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Cover
Title Page
Copyright
DECLARATION
ABOUT THE EDITOR
TABLE OF CONTENTS
List of Contributors
List of Abbreviations
Preface
Section 1 Annuities
Chapter 1 Upper and Lower Bounds for Annuities and Life Insurance from Incomplete Mortality Data
Abstract
Introduction
Theoretical Framework
Upper And Lower Bounds For Annuities And Life Insurance
Application And Discussions
Final Remarks
References
Chapter 2 The Effect of the Assumed Interest Rate and Smoothing on Variable Annuities
Introduction
Variable Annuities
Smoothing Financial Returns
Conclusion
References
Chapter 3 Adverse Selection in Private Annuity Markets and the Role of Mandatory Social Annuitization
Abstract
Introduction
Model
Private Annuity Markets
Social Annuities
Conclusion
References
Chapter 4 Evaluation of Variable Annuity Guarantees with the Effect of Jumps in the Asset Price Process
Abstract
Introduction
Methodology
Data Used
Results And Discussion
Conclusion
Acknowledgements
References
Section 2 Bonds
Chapter 5 The Analysis of Corporate Bond Valuation Under an Infinite Dimensional Compound Poisson Framework
Introduction
The Preliminary Of Valuation Model
Valuing Defaultable Bond
Valuing Callable Defaultable Bond
Conclusion
Acknowledgments
References
Chapter 6 The Time Decay of Bond Premium and Discount—An Analysis of the Time Passage Effect on Bond Prices
Abstract
Introduction
Mathematical Model
Numerical Illustrations
Implications Of The Findings
Conclusion
References
Chapter 7 On a New Corporate Bond Pricing Model with Potential Credit Rating Change and Stochastic Interest Rate
Abstract
Introduction
The Derivation Of The New Model
The Mathematical Model
Stochastic Interest Rate In Vasicek Model
Simulation
Conclusions
Acknowledgments
References
Chapter 8 Forecasting Term Structure of Interest Rates in Japan
Abstract
Introduction
Theoretical Model
Empirical Models
Estimation
Results
Conclusions
References
Section 3 Portfolio Theory
Chapter 9 Practical Aspects of Portfolio Selection and Optimisation on the Capital Market
Abstract
Introduction
Literature Review
Research Methodology
Results And Discussions
Conclusion
References
Chapter 10 A General Framework for Portfolio Theory. Part III: Multi-Period Markets and Modular Approach
Abstract
Introduction
Multi-Period Market And Trading Strategies
Efficient Portfolios
Application
Conclusions And Outlook
References
Chapter 11 Research on Regularized Mean–Variance Portfolio Selection strategy with Modified Roy Safetyfirst Principle
Abstract
Background
Proposed Portfolio Selection Strategies
Empirical Application
Conclusion
Acknowledgements
References
Chapter 12 Systemic Risk from Investment Similarities
Abstract
Introduction
Materials And Methods
Results And Discussion
Conclusion
Acknowledgments
References
Section 4 Valuation of Derivatives Options
Chapter 13 The Value of Monte Carlo Model-Based Variance Reduction Technology in the Pricing of Financial Derivatives
Abstract
Introduction
Literature Review
Methods
Results And Discussions
Conclusions
References
Chapter 14 Modelling and Computation in the Valuation of Carbon Derivatives with Stochastic Convenience Yields
Abstract
Introduction
The Pricing Model Of Co2 Contingent Claims
The Power Penalty Approach
The Fitted Finite Volume Method
Numerical Results
Discussions
Concluding Remarks
References
Chapter 15 Variance and Dimension Reduction Monte Carlo Method for Pricing European Multi-Asset Options with Stochastic Volatilities
Abstract
Introduction
Pricing Model
Dimension And Variance Reduction
Numerical Tests
Conclusions
Abbreviations
References
Chapter 16 A Comparative Study on Barrier Option Pricing using Antithetic and Quasi Monte-Carlo Simulations
Abstract
Introduction
Valuation Of Zero-Rebate Knock-Out Barrier Options
Numerical Approximations
Computational Results And Analysis
Conclusion
Acknowledgement
References
Index
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