Jacques Janssen

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VaR Methodology for Non-Gaussian Finance

by Marine Habart-Corlosquet, Jacques Janssen & Raimondo Manca

With the impact of the recent financial crises, more attention must be given to new models in finance rejecting “Black-Scholes-Samuelson” assumptions leading to what is called non-Gaussian finance. With...


Applied Diffusion Processes from Engineering to Finance

by Jacques Janssen, Oronzio Manca & Raimondo Manca

The aim of this book is to promote interaction between engineering, finance and insurance, as these three domains have many models and methods of solution in common for solving real-life problems. The authors...


Mathematical Finance: Deterministic and Stochastic Models

by Jacques Janssen, Raimondo Manca & Ernesto Volpe

This book provides a detailed study of Financial Mathematics.  In addition to the extraordinary depth the book provides, it offers a study of the axiomatic approach that is ideally suited for analyzing financial...


Stochastic Methods for Pension Funds

by Pierre Devolder, Jacques Janssen & Raimondo Manca

Quantitative finance has become these last years a extraordinary field of research and interest as well from an academic point of view as for practical applications.

At the same time, pension issue is clearly...