Risk and financial management : mathematical and computational methods /
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| Author / Creator: | Tapiero, Charles S. |
|---|---|
| Imprint: | Chichester, West Sussex ; Hoboken, NJ : John Wiley, c2004. |
| Description: | xv, 341 p. : ill. ; 23 cm. |
| Language: | English |
| Subject: | |
| Format: | Print Book |
| URL for this record: | http://pi.lib.uchicago.edu/1001/cat/bib/5544397 |
Table of Contents:
- Preface
- Part I. Finance and Risk Management
- Chapter 1. Potpourri
- 1.1. Introduction
- 1.2. Theoretical finance and decision making
- 1.3. Insurance and actuarial science
- 1.4. Uncertainty and risk in finance
- 1.4.1. Foreign exchange risk
- 1.4.2. Currency risk
- 1.4.3. Credit risk
- 1.4.4. Other risks
- 1.5. Financial physics
- Selected introductory reading
- Chapter 2. Making Economic Decisions under Uncertainty
- 2.1. Decision makers and rationality
- 2.1.1. The principles of rationality and bounded rationality
- 2.2. Bayes decision making
- 2.2.1. Risk management
- 2.3. Decision criteria
- 2.3.1. The expected value (or Bayes) criterion
- 2.3.2. Principle of (Laplace) insufficient reason
- 2.3.3. The minimax (maximin) criterion
- 2.3.4. The maximax (minimin) criterion
- 2.3.5. The minimax regret or Savage''s regret criterion
- 2.4. Decision tables and scenario analysis
- 2.4.1. The opportunity loss table
- 2.5. EMV, EOL, EPPI, EVPI
- 2.5.1. The deterministic analysis
- 2.5.2. The probabilistic analysis
- Selected references and readings
- Chapter 3. Expected Utility
- 3.1. The concept of utility
- 3.1.1. Lotteries and utility functions
- 3.2. Utility and risk behaviour
- 3.2.1. Risk aversion
- 3.2.2. Expected utility bounds
- 3.2.3. Some utility functions
- 3.2.4. Risk sharing
- 3.3. Insurance, risk management and expected utility
- 3.3.1. Insurance and premium payments
- 3.4. Critiques of expected utility theory
- 3.4.1. Bernoulli, Buffon, Cramer and Feller
- 3.4.2. Allais Paradox
- 3.5. Expected utility and finance
- 3.5.1. Traditional valuation
- 3.5.2. Individual investment and consumption
- 3.5.3. Investment and the CAPM
- 3.5.4. Portfolio and utility maximization in practice
- 3.5.5. Capital markets and the CAPM again
- 3.5.6. Stochastic discount factor, assets pricing and the Euler equation
- 3.6. Information asymmetry
- 3.6.1. ''The lemon phenomenon'' or adverse selection
- 3.6.2. ''The moral hazard problem''
- 3.6.3. Examples of moral hazard
- 3.6.4. Signalling and screening
- 3.6.5. The principal-agent problem
- References and further reading
- Chapter 4. Probability and Finance
- 4.1. Introduction
- 4.2. Uncertainty, games of chance and martingales
- 4.3. Uncertainty, random walks and stochastic processes
- 4.3.1. The random walk
- 4.3.2. Properties of stochastic processes
- 4.4. Stochastic calculus
- 4.4.1. Ito''s Lemma
- 4.5. Applications of Ito''s Lemma
- 4.5.1. Applications
- 4.5.2. Time discretization of continuous-time finance models
- 4.5.3. The Girsanov Theorem and martingales
- References and further reading
- Chapter 5. Derivatives Finance
- 5.1. Equilibrium valuation and rational expectations
- 5.2. Financial instruments
- 5.2.1. Forward and futures contracts
- 5.2.2. Options
- 5.3. Hedging and institutions
- 5.3.1. Hedging and hedge funds
- 5.3.2. Other hedge funds and investment strategies
- 5.3.3. Investor protection rules
- References and additional reading
- Part II. Mathematical and Computational Finance
- Chapter 6. Options and Derivatives Finance Mathematics
- 6.1. Introduction to call options valuation
- 6.1.1. Option valuation and rational expectations
- 6.1.2. Risk-neutral pricing
- 6.1.3. Multiple periods with binomial trees
- 6.2. Forward and futures contracts
- 6.3. Risk-neutral probabilities again
- 6.3.1. Rational expectations and optimal forecasts
- 6.4. The Black-Scholes options formula
- 6.4.1. Options, their sensitivity and hedging parameters
- 6.4.2. Option bounds and put-call parity
- 6.4.3. American put options
- References and additional reading
- Chapter 7. Options and Practice
- 7.1. Introduction
- 7.2. Packaged options
- 7.3. Compound options and stock options
- 7.3.1. Warrants
- 7.3.2. Other options
- 7.4. Options and practice
- 7.4.1. Plain vanilla strategies
- 7.4.2. Covered call strategies: selling a call and a share
- 7.4.3. Put and protective put strategies: buying a put and a stock
- 7.4.4. Spread strategies
- 7.4.5. Straddle and strangle strategies
- 7.4.6. Strip and strap strategies
- 7.4.7. Butterfly and condor spread strategies
- 7.4.8. Dynamic strategies and the Greeks
- 7.5. Stopping time strategies
- 7.5.1. Stopping time sell and buy strategies
- 7.6. Specific application areas
- 7.7. Option misses
- References and additional reading
- Appendix: First passage time
- Chapter 8. Fixe
