ENGLISH

Applied Probabilistic Calculus for Financial Engineering. An Introduction using R

By Bertram K.C. Chan

Book information

Publisher
Wiley
Year
2017
ISBN
9781119388081
Language
english
Format
PDF
Filesize
14 MB (14564237 bytes)
Pages
521\521
Time added
2018-08-29 12:27:15

Description

Contents......Page 3 Preface......Page 8 Website......Page 10 What Is Financial Engineering?......Page 11 The Meaning of the Title of This Book......Page 12 The Continuing Challenge in Financial Engineering......Page 13 : Modern Portfolio Theory......Page 16 Asset Class Assumptions Modeling......Page 21 Some Typical Examples of Proprietary Investment Funds......Page 24 ation......Page 25 Some Less Commendable Stock Investment Approaches......Page 27 Review Questions......Page 28 Mathematical Modeling in Financial Engineering......Page 29 Building an Effective Financial Model from GBM via Probabilistic Calculus......Page 34 A Continuous Financial Model Using Probabilistic Calculus: Stochastic Calculus, Ito Calculus......Page 36 A Numerical Study of the Geometric Brownian Motion (GBM) Model and the Random Walk Model Using......Page 43 Review Questions and Exercises......Page 62 An Introduction to the Cost of Money in the Financial Market......Page 64 Modern Theories of Portfolio Optimization......Page 66 Litterman Model......Page 132 Scholes Option Pricing Model......Page 134 Litterman Model......Page 137 Litterman Model......Page 189 Scholes Option Pricing Model......Page 203 Some Worked Examples......Page 218 Review Questions and Exercises......Page 230 Scholes Equation......Page 240 Data Analysis......Page 244 Data and Data Processing......Page 245 Beginning......Page 251 as a Calculator......Page 269 in Data Analysis in Financial Engineering......Page 295 Univariate, Bivariate, and Multivariate Data Analysis......Page 334 Risk Aversion and the Assets Allocation Process......Page 378 Classical Assets Allocation Approaches......Page 379 Allocation with Time Varying Risk Aversion......Page 387 Variable Risk Preference Bias......Page 391 ed Approach for Time Varying Risk Aversion......Page 393 Assets Allocation Worked Examples......Page 394 Review Questions and Exercises......Page 403 Introduction to the Optimization Process......Page 409 Optimization Methodologies in Probabilistic Calculus for Financial Engineering......Page 411 Financial Risk Modeling and Portfolio Optimization......Page 413 Portfolio Optimization Using......Page 417 Review Questions and Exercises......Page 473 Refs......Page 504 Index......Page 512

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