Mathematics of Financial Obligations

Translations of Mathematical Monographs - volume 212

A.V. Mel'nikov, S. N. Volkov, M. L. Nechaev

196 pages, parution le 09/04/2003

Ajouter à une liste

Indisponible

Résumé

Contemporary finance and actuarial calculations have become so mathematically complex that a rigorous exposition is required for an accurate and complete presentation. This volume delivers just that. It gives a comprehensive and up-to-date methodology for financial pricing and modelling. Also included are special cases useful for practical applications.

Beyond the traditional areas of hedging and investment on complete markets (the Black-Scholes and Cox-Ross-Rubinstein models), the book includes topics that are not currently available in monograph form, such as incomplete markets, markets with constraints, imperfect forms of hedging, and the convergence of calculations in finance and insurance.

The book is geared toward specialists in finance and actuarial mathematics, practitioners in the financial and insurance business, students, and post-docs in corresponding areas of study. Readers should have a foundation in probability theory, random processes, and mathematical statistics.

Contents

Financial systems: Innovations and the risk calculus
Random processes and the stochastic calculus
Hedging and investment in complete markets
Hedging and incomplete markets
Markets with structural constraints and transaction costs
Imperfect forms of hedging
Dynamic contingent claims and American options
Analysis of "bond" contingent claims
Economics of insurance and finance: Convergence of quantitative methods of calculations
Bibliographical notes
Bibliography
Subject index

L'auteur - A.V. Mel'nikov

A. V. Mel'nikov, Steklov Institute of Mathematics, Moscow, Russia

L'auteur - S. N. Volkov

S. N. Volkov, Steklov Institute of Mathematics, Moscow, Russia

L'auteur - M. L. Nechaev

M. L. Nechaev, Steklov Institute of Mathematics, Moscow, Russia

Caractéristiques techniques

	PAPIER
Éditeur(s)	American Mathematical Society (AMS)
Auteur(s)	A.V. Mel'nikov, S. N. Volkov, M. L. Nechaev
Parution	09/04/2003
Nb. de pages	196
Format	18 x 26
Couverture	Relié
Poids	580g
Intérieur	Noir et Blanc
EAN13	9780821829455
ISBN13	978-0-8218-2945-5