Mathematics of financial obligations

By: Melnikov,V.A. and OthersMaterial type: TextTextPublication details: AMS 2013ISBN: 9780821891841DDC classification: HG4515.3
Contents:
1. Financial systems: Innovations and the risk calculus 2. Random processes and the stochastic calculus 3. Hedging and investment in complete markets 4. Hedging and incomplete markets 5. Markets with structural constraints and transaction costs 6. Imperfect forms of hedging 7. Dynamic contingent claims and American options 8. Analysis of “bond” contingent claims 9. Economics of insurance and finance: Convergence of quantitative methods of calculations
Summary: 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.
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Item type Current library Collection Shelving location Call number Status Notes Date due Barcode Item holds
Book Book ICTS
Finance Rack No 01 HG4515.3 (Browse shelf (Opens below)) Available Billno:IN 003 582; Billdate: 2018-01-11 00954
Total holds: 0

1. Financial systems: Innovations and the risk calculus
2. Random processes and the stochastic calculus
3. Hedging and investment in complete markets
4. Hedging and incomplete markets
5. Markets with structural constraints and transaction costs
6. Imperfect forms of hedging
7. Dynamic contingent claims and American options
8. Analysis of “bond” contingent claims
9. Economics of insurance and finance: Convergence of quantitative methods of calculations

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.

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