Financial mathematics for actuaries (second edition), Chan Wai-Sum Et Al
Автор: Gueant, Olivier Название: Financial mathematics of market liquidity ISBN: 1498725473 ISBN-13(EAN): 9781498725477 Издательство: Taylor&Francis Рейтинг: Цена: 13473.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание:
This book is among the first to present the mathematical models most commonly used to solve optimal execution problems and market making problems in finance. The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making presents a general modeling framework for optimal execution problems-inspired from the Almgren-Chriss approach-and then demonstrates the use of that framework across a wide range of areas.
The book introduces the classical tools of optimal execution and market making, along with their practical use. It also demonstrates how the tools used in the optimal execution literature can be used to solve classical and new issues where accounting for liquidity is important. In particular, it presents cutting-edge research on the pricing of block trades, the pricing and hedging of options when liquidity matters, and the management of complex share buy-back contracts. What sets this book apart from others is that it focuses on specific topics that are rarely, or only briefly, tackled in books dealing with market microstructure. It goes far beyond existing books in terms of mathematical modeling-bridging the gap between optimal execution and other fields of Quantitative Finance. The book includes two appendices dedicated to the mathematical notions used throughout the book. Appendix A recalls classical concepts of mathematical economics. Appendix B recalls classical tools of convex analysis and optimization, along with central ideas and results of the calculus of variations. This self-contained book is accessible to anyone with a minimal background in mathematical analysis, dynamic optimization, and stochastic calculus. Covering post-electronification financial markets and liquidity issues for pricing, this book is an ideal resource to help investment banks and asset managers optimize trading strategies and improve overall risk management.
Автор: Sweeting Название: Financial Enterprise Risk Management ISBN: 1107184614 ISBN-13(EAN): 9781107184619 Издательство: Cambridge Academ Рейтинг: Цена: 17107.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: An accessible guide to enterprise risk management for financial institutions, containing all the tools needed to build and maintain an ERM framework. This new expanded edition has been thoroughly updated to reflect new legislation and the creation of the Financial Conduct Authority and the Prudential Regulation Authority.
Автор: Ravindran Kannoo Название: Mathematics of Financial Models + Website ISBN: 1118004612 ISBN-13(EAN): 9781118004616 Издательство: Wiley Рейтинг: Цена: 11880.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: Learn how quantitative models can help fight client problems head-on Before financial problems can be solved, they need to be fully understood.
Автор: Tse Yiu-Kuen Название: Financial Mathematics For Actuaries ISBN: 9813224665 ISBN-13(EAN): 9789813224667 Издательство: World Scientific Publishing Рейтинг: Цена: 19166.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: Financial Mathematics for Actuaries is a textbook for students in actuarial science, quantitative finance, financial engineering and quantitative risk management and is designed for a one-semester undergraduate course.Covering the theories of interest rates, with applications to the evaluation of cash flows, the pricing of fixed income securities and the management of bonds, this textbook also contains numerous examples and exercises and extensive coverage of various Excel functions for financial calculation. Discussions are linked to real financial market data, such as historical term structure, and traded financial securities.The topics discussed in this book are essential for actuarial science students. They are also useful for students in financial markets, investments and quantitative finance. Students preparing for examinations in financial mathematics with various professional actuarial bodies will also find this book useful for self-study.In this second edition, the recent additions in the learning objectives of the Society of Actuaries Exam FM have been covered.
Автор: Michel Denuit; Donatien Hainaut; Julien Trufin Название: Effective Statistical Learning Methods for Actuaries I ISBN: 303025819X ISBN-13(EAN): 9783030258191 Издательство: Springer Рейтинг: Цена: 6288.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: This book summarizes the state of the art in generalized linear models (GLMs) and their various extensions: GAMs, mixed models and credibility, and some nonlinear variants (GNMs). Going beyond mean modeling, it considers volatility modeling (double GLMs) and the general modeling of location, scale and shape parameters (GAMLSS).
Автор: Michel Denuit; Donatien Hainaut; Julien Trufin Название: Effective Statistical Learning Methods for Actuaries III ISBN: 3030258262 ISBN-13(EAN): 9783030258269 Издательство: Springer Рейтинг: Цена: 6986.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: This book reviews some of the most recent developments in neural networks, with a focus on applications in actuarial sciences and finance. It simultaneously introduces the relevant tools for developing and analyzing neural networks, in a style that is mathematically rigorous yet accessible.Artificial intelligence and neural networks offer a powerful alternative to statistical methods for analyzing data. Various topics are covered from feed-forward networks to deep learning, such as Bayesian learning, boosting methods and Long Short Term Memory models. All methods are applied to claims, mortality or time-series forecasting.Requiring only a basic knowledge of statistics, this book is written for masters students in the actuarial sciences and for actuaries wishing to update their skills in machine learning.This is the third of three volumes entitled Effective Statistical Learning Methods for Actuaries. Written by actuaries for actuaries, this series offers a comprehensive overview of insurance data analytics with applications to P&C, life and health insurance. Although closely related to the other two volumes, this volume can be read independently.
Автор: Olivier Le Courtois, Christian Walter Название: Extreme Financial Risks and Asset Allocation ISBN: 1783263083 ISBN-13(EAN): 9781783263080 Издательство: World Scientific Publishing Рейтинг: Цена: 19008.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: Each financial crisis calls for -- by its novelty and the mechanisms it shares with preceding crises -- appropriate means to analyze financial risks. In Extreme Financial Risks and Asset Allocation, the authors present in an accessible and timely manner the concepts, methods, and techniques that are essential for an understanding of these risks in an environment where asset prices are subject to sudden, rough, and unpredictable changes. These phenomena, mathematically known as "jumps," play an important role in practice. Their quantitative treatment is generally tricky and is sparsely tackled in similar books. One of the main appeals of this book lies in its approachable and concise presentation of the ad hoc mathematical tools without sacrificing the necessary rigor and precision.This book contains theories and methods which are usually found in highly technical mathematics books or in scattered, often very recent, research articles. It is a remarkable pedagogical work that makes these difficult results accessible to a large readership. Researchers, Masters and PhD students, and financial engineers alike will find this book highly useful.
Автор: Tintle, Nathan Название: A Spiral Approach to Financial Mathematics ISBN: 0128015802 ISBN-13(EAN): 9780128015803 Издательство: Elsevier Science Рейтинг: Цена: 11957.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание:
A Spiral Approach to Financial Mathematics lays a foundation of intuitive analysis of financial concepts early in the course, followed by a more detailed and nuanced treatment in later chapters. It introduces major financial concepts through real situations, integrates active learning, student focused explorations and examples with Excel spreadsheets and straightforward financial calculations. It is organized so sections can be read independently or through in-class guided-discovery activities and/or interactive lectures. Focusing on conceptual understanding to maximize comprehension and retention, using modern financial analysis tools and utilizing active learning, the book offers a modern approach that eliminates tedious and time-consuming calculations initially without underestimating the ability of readers.
Covers FM Exam topics
Includes Excel spreadsheets that enable the execution of financial transactions
Presents a spiral, active learning pedagogical strategy that accentuates key concepts and reinforces intuitive learning
Автор: Lee, Cheng-Few, Chen, Hong-Yi, Lee, John Название: Financial Econometrics, Mathematics and Statistics ISBN: 1493994271 ISBN-13(EAN): 9781493994274 Издательство: Springer Рейтинг: Цена: 25155.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: This rigorous textbook introduces graduate students to the principles of econometrics and statistics with a focus on methods and applications in financial research.
Technical analysis is defined as the tracking and prediction of asset price movements using charts and graphs in combination with various mathematical and statistical methods. More precisely, it is the quantitative criteria used in predicting the relative strength of buying and selling forces within a market to determine what to buy, what to sell, and when to execute trades.
This book introduces simple technical analysis tools like moving averages and Bollinger bands, and also advanced techniques such as wavelets and empirical mode decomposition. It first discusses some traditional tools in technical analysis, such as trend, trend Line, trend channel, Gann's Theory, moving averages, and Bollinger bands. It then introduces a recent indicator developed for stock market and two recent techniques used in the technical analysis field: wavelets and the empirical mode decomposition in financial time series. The book also discusses the theory to test the performance of the indicators and introduces the MATLAB Financial Toolbox, some of the functions/codes of which are used in our numerical experiments.
Автор: Hastings Название: Introduction to Financial Mathematics ISBN: 149872390X ISBN-13(EAN): 9781498723909 Издательство: Taylor&Francis Рейтинг: Цена: 14851.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание:
Introduction to Financial Mathematics is ideal for an introductory undergraduate course. Unlike most textbooks aimed at more advanced courses, the textmotivates students through a discussion of personal finances and portfolio management. The author then goes on to covervaluation of financial derivatives in discrete time, using all of closed form, recursive, and simulation methods.
The text covers nearly all of the syllabus topics of the Financial Mathematics Actuarial examination, providing students with the foundation they require for future studies and throughout their careers. It begins by covering standard material on the mathematics of interest, including compound interest, present value, annuities, loans, several versions of the rate of return on an investment, and interest in continuous time. The text explains how to value bonds at their issue dates, at coupon times, between coupon times, and in cases where the bonds are terminated early. Next, it supplies a rapid-fire overview of the main ideas and techniques of discrete probability, including sample spaces and probability measures, random variables and distributions, expectation, conditional probability, and independence. The author introduces the basic terminology of stocks and stock trading. He also explains how to derive the rate of return on a portfolio and how to use the idea of risk aversion to model the investor tradeoff between risk and return. The text also discusses the estimation of parameters of asset models from real data. The text closes with a detailed discussion of how to value financial derivatives using anti-arbitrage assumptions. The one-step and multi-step cases are covered, and exotic options such as barrier options are also introduced, to which simulation methods are applied. Many of the examples in the book involve numerical solution of complicated non-linear equations; others ask students to produce algorithms which beg to be implemented as programs. For maximum flexibility, the author has produced the text without adhering to any particular computational platform. A digital version of this text is also available in the form of Mathematica notebooks that contain additional content.
Автор: Miller Michael B Название: Mathematics and Statistics for Financial Risk Management ISBN: 1118750292 ISBN-13(EAN): 9781118750292 Издательство: Wiley Рейтинг: Цена: 13306.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: Mathematics and Statistics for Financial Risk Management is a practical guide to modern financial risk management for both practitioners and academics.
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