Francesco Menoncin Livres

The book explores the historical significance and application of stochastic processes in finance, highlighting Bachelier's pioneering use of Brownian motions to model asset prices on the Paris stock exchange. It delves into the evolution of financial modeling, particularly the rise of jump processes following the 2007/2008 financial crisis, which account for sudden changes in asset behavior. Theoretical properties of both diffusion and jump processes are presented, alongside practical numerical applications using R, making it a valuable resource for understanding modern financial dynamics.

Focusing on the risk management of pension funds, this book offers a comprehensive framework for understanding and analyzing optimal asset allocation in a dynamic, stochastic environment, particularly addressing longevity risk. It equips readers with the necessary tools and R codes to replicate findings and deepen their analysis. The text also explores the complexities of hedging longevity risk within incomplete markets, engaging with ongoing discussions in contemporary literature despite the lack of strong theoretical results in this area.

La finanza moderna presenta problemi sempre diversi in seguito al continuo sviluppo di nuovi strumenti finanziari. Attraverso l’utilizzo del software libero Scilab, nel volume si applicano le moderne teorie economico-finanziarie allo studio di casi concreti sui mercati finanziari