عنوان

Stochastic processes with applications to finance /

(Number (ISBN

143988482X

(Number (ISBN

9781439884829

Title Proper

Stochastic processes with applications to finance /

General Material Designation

[Book]

First Statement of Responsibility

Masaaki Kijima.

Edition Statement

Second edition.

Place of Publication, Distribution, etc.

Boca Raton, FL :

Name of Publisher, Distributor, etc.

CRC Press,

Date of Publication, Distribution, etc.

[2013]

Specific Material Designation and Extent of Item

xv, 327 pages :

Other Physical Details

illustrations ;

Dimensions

25 cm.

Series Title

Chapman & Hall/CRC financial mathematics series

Text of Note

Includes bibliographical references and index.

Text of Note

1 Elementary Calculus: Toward Ito's Formula -- 2 Elements in Probability -- 3 Useful Distributions in Finance -- 4 Derivative Securities -- 5 Change of Measures and the Pricing of Insurance Products -- 6 A Discrete-Time Model for the Securities Market -- 7 Random Walks -- 8 The Binomial Model -- 9 A Discrete-Time Model for Defaultable Securities -- 10 Markov Chains -- 11 Monte Carlo Simulation -- 12 From Discrete to Continuous: Toward the Black-Scholes -- 13 Basic Stochastic Processes in Continuous Time -- 14 A Continuous-Time Model for the Securities Market -- 15 Term-Structure Models and Interest-Rate Derivatives -- 16 A Continuous-Time Model for Defaultable Securities.

0

Text of Note

"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"--

Text of Note

"Preface to the Second Edition When I started writing the first edition of this book in 2000, financial engineering was a kind of 'bubble' and people seemed to rely on the theory often too much. For example, the credit derivatives market has grown rapidly since 1992, and financial engineers have developed highly complicated derivatives such as credit default swap (CDS) and collateralized debt obligation (CDO). These financial instruments are linked to the credit characteristics of reference assets' values, and they serve to protect risky portfolios as if they were an insurance against credit risks. People in finance industry found the instruments very useful and started selling/buying them without paying attention to the systematic risks involved in those products. An extraordinary result soon appeared as the so-called Lehman shock (the credit crisis). The financial crisis affected the economies in many countries even outside the U.S. Since then, mass-media started blaming people in finance industry, in particular financial engineers, because they have cheated financial markets just for their own benefits by making highly complicated products based on the mathematical theory. Of course, while the theory is used to create such awful derivative securities, those claims are not true at all. Who made mistakes were people who used the theory of financial engineering without thorough understanding of the risks and high ethical standards I believe that financial engineering is the useful tool for risk management, and indeed sensible people acknowledge the importance of the theory for hedging such risks in our economy. For example, G20 wants to enhance the content of Basel accords; but to do that, we need advanced theory of financial engineering"--

Business mathematics.

Financial engineering.

Stochastic processes.

BUSINESS & ECONOMICS-- Finance.

Business mathematics.

Financial engineering.

Finanzmathematik.

MATHEMATICS-- General.

MATHEMATICS-- Probability & Statistics-- General.

Stochastic processes.

Stochastischer Prozess.

Number

Edition

Class number

Book number

Class number

System Code

Kijima, Masaaki,1957-

Date of Transaction

20200822183238.0

Cataloguing Rules (Descriptive Conventions))

rda

Electronic name

[Book]

Y