Mendeley出力
Financial engineering / edited by John R. Birge, Vadim Linetsky
(Handbooks in operations research and management science ; v. 15)
| データ種別 | 電子ブック |
|---|---|
| 著者標目 | Birge, John R Linetsky, Vadim |
| 出版者 | Amsterdam ; London : North-Holland |
| 出版年 | 2008 |
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| 巻次 | ISBN:9780080553252 ISBN:0080553257 XISBN:9780444517814 XISBN:0444517812 |
|---|---|
| 大きさ | 1 online resource (xii, 1014 pages) : illustrations |
| 一般注記 | Includes bibliographical references and index 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 Print version record 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 services industry. The goals of financial engineering research are to develop empirically realistic stochastic models describing dynamics of financial risk variables, such as asset prices, foreign exchange rates, and interest rates, and to develop analytical, computational and statistical methods and tools to implement the models and employ them to design and evaluate financial products and processes to manage risk and to meet financial goals. This handbook describes the latest developments in this rapidly evolving field in the areas of modeling and pricing financial derivatives, building models of interest rates and credit risk, pricing and hedging in incomplete markets, risk management, and portfolio optimization. Leading researchers in each of these areas provide their perspective on the state of the art in terms of analysis, computation, and practical relevance. The authors describe essential results to date, fundamental methods and tools, as well as new views of the existing literature, opportunities, and challenges for future research Elsevier ScienceDirect All Books HTTP:URL=https://www.sciencedirect.com/science/handbooks/09270507/15 |
| 件 名 | LCSH:Financial engineering FREE:BUSINESS & ECONOMICS -- Investments & Securities -- General 全ての件名で検索 FREE:Financial engineering FREE:Operations research FREE:Hedging FREE:Financieel management FREE:Risk management FREE:Financial Engineering FREE:Electronic books FREE:Electronic books |
| 分 類 | LCC:HG176.7 DC22:658.15224 |
| 書誌ID | OB00007446 |
| ISBN | 9780080553252 |