Elements of Financial Mathematics: From Interest Theory to Options

Cover
Title Page
Copyright
DECLARATION
ABOUT THE EDITOR
TABLE OF CONTENTS
List of Contributors
List of Abbreviations
Preface
Section 1 Annuities
	Chapter 1 Upper and Lower Bounds for Annuities and Life Insurance from Incomplete Mortality Data
		Abstract
		Introduction
		Theoretical Framework
		Upper And Lower Bounds For Annuities And Life Insurance
		Application And Discussions
		Final Remarks
		References
	Chapter 2 The Effect of the Assumed Interest Rate and Smoothing on Variable Annuities
		Introduction
		Variable Annuities
		Smoothing Financial Returns
		Conclusion
		References
	Chapter 3 Adverse Selection in Private Annuity Markets and the Role of Mandatory Social Annuitization
		Abstract
		Introduction
		Model
		Private Annuity Markets
		Social Annuities
		Conclusion
		References
	Chapter 4 Evaluation of Variable Annuity Guarantees with the Effect of Jumps in the Asset Price Process
		Abstract
		Introduction
		Methodology
		Data Used
		Results And Discussion
		Conclusion
		Acknowledgements
		References
Section 2 Bonds
	Chapter 5 The Analysis of Corporate Bond Valuation Under an Infinite Dimensional Compound Poisson Framework
		Introduction
		The Preliminary Of Valuation Model
		Valuing Defaultable Bond
		Valuing Callable Defaultable Bond
		Conclusion
		Acknowledgments
		References
	Chapter 6 The Time Decay of Bond Premium and Discount—An Analysis of the Time Passage Effect on Bond Prices
		Abstract
		Introduction
		Mathematical Model
		Numerical Illustrations
		Implications Of The Findings
		Conclusion
		References
	Chapter 7 On a New Corporate Bond Pricing Model with Potential Credit Rating Change and Stochastic Interest Rate
		Abstract
		Introduction
		The Derivation Of The New Model
		The Mathematical Model
		Stochastic Interest Rate In Vasicek Model
		Simulation
		Conclusions
		Acknowledgments
		References
	Chapter 8 Forecasting Term Structure of Interest Rates in Japan
		Abstract
		Introduction
		Theoretical Model
		Empirical Models
		Estimation
		Results
		Conclusions
		References
Section 3 Portfolio Theory
	Chapter 9 Practical Aspects of Portfolio Selection and Optimisation on the Capital Market
		Abstract
		Introduction
		Literature Review
		Research Methodology
		Results And Discussions
		Conclusion
		References
	Chapter 10 A General Framework for Portfolio Theory. Part III: Multi-Period Markets and Modular Approach
		Abstract
		Introduction
		Multi-Period Market And Trading Strategies
		Efficient Portfolios
		Application
		Conclusions And Outlook
		References
	Chapter 11 Research on Regularized Mean–Variance Portfolio Selection strategy with Modified Roy Safetyfirst Principle
		Abstract
		Background
		Proposed Portfolio Selection Strategies
		Empirical Application
		Conclusion
		Acknowledgements
		References
	Chapter 12 Systemic Risk from Investment Similarities
		Abstract
		Introduction
		Materials And Methods
		Results And Discussion
		Conclusion
		Acknowledgments
		References
Section 4 Valuation of Derivatives Options
	Chapter 13 The Value of Monte Carlo Model-Based Variance Reduction Technology in the Pricing of Financial Derivatives
		Abstract
		Introduction
		Literature Review
		Methods
		Results And Discussions
		Conclusions
		References
	Chapter 14 Modelling and Computation in the Valuation of Carbon Derivatives with Stochastic Convenience Yields
		Abstract
		Introduction
		The Pricing Model Of Co2 Contingent Claims
		The Power Penalty Approach
		The Fitted Finite Volume Method
		Numerical Results
		Discussions
		Concluding Remarks
		References
	Chapter 15 Variance and Dimension Reduction Monte Carlo Method for Pricing European Multi-Asset Options with Stochastic Volatilities
		Abstract
		Introduction
		Pricing Model
		Dimension And Variance Reduction
		Numerical Tests
		Conclusions
		Abbreviations
		References
	Chapter 16 A Comparative Study on Barrier Option Pricing using Antithetic and Quasi Monte-Carlo Simulations
		Abstract
		Introduction
		Valuation Of Zero-Rebate Knock-Out Barrier Options
		Numerical Approximations
		Computational Results And Analysis
		Conclusion
		Acknowledgement
		References
Index
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