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Financial engineering /
The remarkable growth of financial markets over the past decades has been accompanied by an equally remarkable explosion in financial engineering, the interdisciplinary field focusing on applications of mathematical and statistical modeling and computational technology to problems in the financial s...
| Clasificación: | Libro Electrónico |
|---|---|
| Otros Autores: | , |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Amsterdam ; London :
North-Holland,
2008.
|
| Colección: | Handbooks in operations research and management science ;
v. 15. |
| Temas: | |
| Acceso en línea: | Texto completo Texto completo Texto completo |
Tabla de Contenidos:
- Part I. Introduction. Chapter 1. An introduction to financial asset pricing
- Part II. Derivative securities: models and methods. Chapter 2. Jump-diffusion models for asset pricing in financial engineering
- Chapter 3. Modeling financial security returns using L�evy Processes
- Chapter 4. Pricing with Wishart Risk Factors
- Chapter 5. Volatility
- Chapter 6. Spectral methods in derivatives pricing
- Chapter 7. Variational methods in derivatives pricing
- Chapter 8. Discrete barrier and lookback options
- Part III. Interest rate and credit risk models and derivatives. Chapter 9. Topics in interest rate theory
- Chapter 10. Calculating portfolio credit risk
- Chapter 11. Valuation of basket credit derivatives in the credit migrations environment
- Part IV. Incomplete markets. Chapter 12. Incomplete markets
- Chapter 13. Option pricing: real and risk-neutral distributions
- Chapter 14. Total Risk minimization using Monte Carlo simulations
- Chapter 15 Queuing theoretic approaches to financial price fluctuations
- Part V. Risk management. Chapter 16. Economic credit capital allocation and risk contributions
- Chapter 17. Liquidity risk and option pricing theory
- Chapter 18. Financial engineering: applications in insurance
- Part VI. Portfolio optimization. Chapter 19. Dynamic portfolio choice and risk aversion
- Chapter 20. Optimization methods in dynamic portfolio management
- Chapter 21. Simulation methods for optimal portfolios
- Chapter 22. Duality theory and approximate dynamic programming for pricing American options and portfolio optimization
- Chapter 23. Asset allocation with multivariate non-gaussian returns
- Chapter 24. Large deviation techniques and financial applications.