Melnikov, Alexander 　著

内容

目次

FOUNDATIONS OF FINANCIAL RISK MANAGEMENTIntroductory Concepts of the Securities Market. Subject of Financial MathematicsProbabilistic Foundations of Financial Modelling and Pricing of Contingent Claims The Binomial Model of a Financial Market. Absence of Arbitrage, Uniqueness of a Risk-Neutral Probability Measure, Martingale RepresentationHedging Contingent Claims in the Binomial Market Model. The Cox-Ross-Rubinstein Formula. Forwards and Futures Pricing and Hedging American optionsUtility Functions and St. Petersburg's Paradox. The Problem of Optimal InvestmentThe Term Structure of Prices, Hedging and Investment Strategies in the Ho-Lee ModelADVANCED ANALYSIS OF FINANCIAL RISKSFundamental Theorems on Arbitrage and Completeness. Pricing and Hedging Contingent Claims in Complete and Incomplete Markets. The Structure of Options Prices in Incomplete Markets and in Markets with Constraints. Options-Based Investment Strategies .Hedging Contingent Claims in Mean SquareGaussian Model of a Financial Market and Pricing in Flexible Insurance Models. Discrete Version of the Black-Scholes Formula .The Transition from the Binomial Model of a Financial Market to a Continuous Model. The Black-Scholes Formula and Equation.The Black-Scholes Model. "Greek" Parameters in Risk Management. Hedging under Dividends and Budget Constraints. Optimal Investment Assets with Fixed Income Real options: Pricing Long-Term Investment Projects Technical Analysis in Risk Management INSURANCE RISKS. FOUNDATIONS OF ACTUARIAL ANALYSISModelling Risk in Insurance and Methodologies of Premium Calculations Probability of Bankruptcy as a Measure of Solvency of an Insurance Company Solvency of an Insurance Company and Investment PortfoliosRisks in Traditional and Innovative Methods in Life Insurance Reinsurance Risks Extended Analysis of Insurance Risks in a Generalized Cram´er-Lundberg ModelAPPENDICESSoftware Supplement: Computations in Finance And Insurance Problems and SolutionsBibliographic RemarkReferencesGlossary of NotationINDEX