Mathematical Finance

DOI10.1002/9780470611692zbMath1173.91004OpenAlexW4253003588MaRDI QIDQ5902116

Jacques Janssen, Raimondo Manca, Ernesto Volpe di Prignano

Publication date: 25 June 2009

Full work available at URL: https://doi.org/10.1002/9780470611692

zbMATH Keywords

option pricingbond pricinginvestmentsfinancial marketItô calculussubjective preferencesfinancial lawsannuity operationcredit and default riskdiscrete time financial operationinterest and discount rateMarkov and semi-Markov process

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Martingales with continuous parameter (60G44) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01) Credit risk (91G40)

Related Items (4)

Optimal selection of project portfolios using reinvestment strategy within a flexible time horizon ⋮ Modeling and pricing of variance and volatility swaps for local semi-Markov volatilities in financial engineering ⋮ Discrete time homogeneous Markov processes for the study of the basic risk processes ⋮ Semi-Markov Disability Insurance Models

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