000			05115nam a2200433 i 4500
005			20250919002727.0
008			150312t20132013flum b a001 0 eng
020			_a9781439884829 (hardback) _cRM319.99
020			_a143988482X (hardback)
039		9	_a201505191047 _basrul _c201505131559 _datika _c201505081153 _dzabidah _y03-12-2015 _zzabidah
040			_aDLC _beng _erda _cDLC _dYDX _dOCLCO _dYDXCP _dBWX _dCHVBK _dCDX _dUKM _erda
090			_aHG176.7.K535 2013
090			_aHG176.7 _b.K535 2013
100	1		_aKijima, Masaaki, _d1957-, _eauthor.
245	1	0	_aStochastic processes with applications to finance / _cMasaaki Kijima.
250			_aSecond edition.
264		1	_aBoca Raton, FL : _bCRC Press, _c[2013]
264		4	_c© 2013.
300			_axv, 327 pages : _billustrations ; _c25 cm.
336			_atext _2rdacontent
337			_aunmediated _2rdamedia
338			_avolume _2rdacarrier
490	1		_aChapman & Hall/CRC financial mathematics series.
504			_aIncludes bibliographical references and index.
520			_a'Financial engineering has been proven to be a useful tool for risk management, but using the theory in practice requires a thorough understanding of the risks and ethical standards involved. Stochastic Processes with Applications to Finance, Second Edition presents the mathematical theory of financial engineering using only basic mathematical tools that are easy to understand even for those with little mathematical expertise. This second edition covers several important developments in the financial industry.New to the Second EditionA chapter on the change of measures and pricing of insurance productsMany examples of the change of measure technique, including its use in asset pricing theoryA section on the use of copulas, especially in the pricing of CDOs Two chapters that offer more coverage of interest rate derivatives and credit derivativesExploring the merge of actuarial science and financial engineering, this edition examines how the pricing of insurance products, such as equity-linked annuities, requires knowledge of asset pricing theory since the equity index can be traded in the market. The book looks at the development of many probability transforms for pricing insurance risks, including the Esscher transform. It also describes how the copula model is used to model the joint distribution of underlying assets.By presenting significant results in discrete processes and showing how to transfer the results to their continuous counterparts, this text imparts an accessible, practical understanding of the subject. It helps readers not only grasp the theory of financial engineering, but also implement the theory in business'-- _cProvided by publisher.
520			_a'Preface to the Second Edition When I started writing the first edition of this book in 2000, financial engineering was a kind of'bubble' and people seemed to rely on the theory often too much. For example, the credit derivatives market has grown rapidly since 1992, and financial engineers have developed highly complicated derivatives such as credit default swap (CDS) and collateralized debt obligation (CDO). These financial instruments are linked to the credit characteristics of reference assets' values, and they serve to protect risky portfolios as if they were an insurance against credit risks. People in finance industry found the instruments very useful and started selling/buying them without paying attention to the systematic risks involved in those products. An extraordinary result soon appeared as the so-called Lehman shock (the credit crisis). The financial crisis affected the economies in many countries even outside the U.S. Since then, mass-media started blaming people in finance industry, in particular financial engineers, because they have cheated financial markets just for their own benefits by making highly complicated products based on the mathematical theory. Of course, while the theory is used to create such awful derivative securities, those claims are not true at all. Who made mistakes were people who used the theory of financial engineering without thorough understanding of the risks and high ethical standards I believe that financial engineering is the useful tool for risk management, and indeed sensible people acknowledge the importance of the theory for hedging such risks in our economy. For example, G20 wants to enhance the content of Basel accords; but to do that, we need advanced theory of financial engineering'-- _cProvided by publisher.
650		0	_aFinancial engineering.
650		0	_aStochastic processes.
650		0	_aBusiness mathematics.
830		0	_aChapman & Hall/CRC financial mathematics series.
907			_a.b16092211 _b2019-11-12 _c2019-11-12
942			_c01 _n0 _kHG176.7.K535 2013
914			_avtls003580672
990			_anab
991			_aFakulti Sains dan Teknologi
998			_at _b2015-12-03 _cm _da _feng _gflu _y0 _z.b16092211
999			_c588296 _d588296