Spezia Elements of Financial Mathematics

From Interest Theory to Options
Erscheinungsjahr 2020
ISBN: 978-1-77407-972-0
Verlag: Arcler Press
Format: PDF
Kopierschutz: Adobe DRM (»Systemvoraussetzungen)

E-Book, Englisch, 458 Seiten, Electronic book text, Format (B × H): 152 mm x 229 mm

This book reviews the recent studies on the origin and evolution of atomic matter in the Universe, considering early Universe, interstellar regions, and the solar system. In particular, it focuses on the study of the Universe by spectroscopic observations, it examines the chemical history of the very early universe to the formation of first atoms, it treats of the creation of the higher elements in the heart of the stars, and it reviews the interstellar chemistry from the viewpoints of theory, experiments, models and observations. Moreover, it provides some examples of laboratory-based astrochemistry, and at last, it focuses on the evolutionary history of the moon and the inner solar system, and their Silica-rich volcanism.

Autoren/Hrsg.

Spezia, Stefano

Fachgebiete

• Mathematik | Informatik Mathematik Mathematik Allgemein

Inhaltsverzeichnis

- SECTION 1 Annuities
- Chapter 1: Upper and lower bounds for annuities and life insurance from incomplete mortality data
- Chapter 2: The effect of the assumed interest rate and smoothing on variable annuities
- Chapter 3: Adverse Selection in Private Annuity Markets and the Role of Mandatory Social Annuitization
- Chapter 4: Evaluation of variable annuity guarantees with the effect of jumps in the asset price process
- Chapter 5: An empirical study on asymmetric jump diffusion for option and annuity pricing
- Chapter 6: Valuation of Large Variable Annuity Portfolios Using Linear Models with InteractionsSECTION 2 Bonds
- Chapter 7: The Analysis of Corporate Bond Valuation under an Infinite Dimensional Compound Poisson Framework
- Chapter 8: The Time Decay of Bond Premium and Discount—An Analysis of the Time Passage Effect on Bond Prices
- Chapter 9: On a New Corporate Bond Pricing Model with Potential Credit Rating Change and Stochastic Interest Rate
- Chapter 10: Forecasting Term Structure of Interest Rates in JapanSECTION 3 Portfolio Theory
- Chapter 11: Practical aspects of portfolio selection and optimisation on the capital market
- Chapter 12: A General Framework for Portfolio Theory. Part III: Multi-Period Markets and Modular Approach
- Chapter 13: Research on regularized mean–variance portfolio selection strategy with modified Roy safety first principle
- Chapter 14: Systemic risk from investment similarities
- Chapter 15: Multi-Period Investment Strategies under Cumulative Prospect Theory
- Chapter 16: Financial Crisis: A New Measure for Risk of Pension Fund Portfolios
- Chapter 17: Determining Optimal Portfolio in a Three-Asset Portfolio Mix in NigeriaSECTION 4 Valuation of Derivatives Options
- Chapter 18: The value of Monte Carlo model-based variance reduction technology in the pricing of financial derivatives
- Chapter 19: Modelling and Computation in the Valuation of Carbon Derivatives with Stochastic Convenience Yields
- Chapter 20: Variance and Dimension Reduction Monte Carlo Method for Pricing European Multi-Asset Options with Stochastic Volatilities
- Chapter 21: A Comparative Study on Barrier Option Pricing using Antithetic and Quasi Monte-Carlo Simulations
- Chapter 22: The Amnesiac Lookback Option: Selectively Monitored Lookback Options and Cryptocurrencies
- Chapter 23: Numerical Methods for Discrete Double Barrier Option Pricing Based on Merton Jump Diffusion Model
- Chapter 24: Valuation of Endowment-Insurance Equity-Linked Contracts for Stocks with Exotic Dynamics
- Chapter 25: Digital barrier options pricing: an improved Monte Carlo algorithm

Über Autor(innen)

Stefano Spezia is Ph.D. holder in Applied Physics at the University of Palermo since April 2012. His major research experience is in noise-induced effects in nonlinear systems, especially in the fields of modeling of complex biological systems and simulation of semiconductor spintronic devices. Associate member of the Italian Physical Society and European Physical Society.