Francesco Menoncin – författare

This book presents a consistent and complete framework for studying the risk management of a pension fund. It gives the reader the opportunity to understand, replicate and widen the analysis. To this aim, the book provides all the tools for computing the optimal asset allocation in a dynamic framework where the financial horizon is stochastic (longevity risk) and the investor's wealth is not self-financed. This tutorial enables the reader to replicate all the results presented. The R codes are provided alongside the presentation of the theoretical framework. The book explains and discusses the problem of hedging longevity risk even in an incomplete market, though strong theoretical results about an incomplete framework are still lacking and the problem is still being discussed in most recent literature.

This book presents a consistent and complete framework for studying the risk management of a pension fund. It gives the reader the opportunity to understand, replicate and widen the analysis. To this aim, the book provides all the tools for computing the optimal asset allocation in a dynamic framework where the financial horizon is stochastic (longevity risk) and the investor's wealth is not self-financed. This tutorial enables the reader to replicate all the results presented. The R codes are provided alongside the presentation of the theoretical framework. The book explains and discusses the problem of hedging longevity risk even in an incomplete market, though strong theoretical results about an incomplete framework are still lacking and the problem is still being discussed in most recent literature.

This textbook covers essential topics in quantitative finance, including stochastic calculus, portfolio optimization (static and dynamic), and risk-neutral pricing. Combining financial theory with real-world applications, the book presents a step-by-step guide to modelling financial data in continuous time using R and Python. The side-by-side presentation of the two software languages allows readers to grasp the similarities and differences between the two codes, while guiding them through models calibrated with actual market data that illustrate the quantitative characteristics of optimal portfolios.Reinforced with pedagogical features including accompanying online datasets and numerical exercises to understand stochastic processes, this textbook will be a valuable resource for postgraduate students on corporate finance, quantitative finance, portfolio and investment management, risk management and actuarial courses, as well as finance professionals undertaking quantitative modelling.

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 (attraverso dati liberamente disponibili su internet). Nel volume si trovano numerosi listati di programma che consentono di avere a disposizione una libreria piuttosto articolata di strumenti per la misurazione e la gestione del rischio. Ogni lettore, poi, potrà creare delle funzioni personalizzate, in base alle sue esigenze, modificando opportunamente quanto già impostato nel volume.