Actuarial finance derivatives, quantitative models and risk management
A new textbook offering a comprehensive introduction to models and techniques for the emerging field of actuarial Finance Drs. Boudreault and Renaud answer the need for a clear, application-oriented guide to the growing field of actuarial finance with this volume, which focuses on the mathematical m...
| Otros Autores: | , |
|---|---|
| Formato: | Libro electrónico |
| Idioma: | Inglés |
| Publicado: |
Hoboken, NJ :
John Wiley
2019.
|
| Materias: | |
| Ver en Biblioteca Universitat Ramon Llull: | https://discovery.url.edu/permalink/34CSUC_URL/1im36ta/alma991009630460706719 |
Tabla de Contenidos:
- Actuaries and their environment
- Financial markets and their securities
- Forwards and futures
- Swaps
- Options
- Engineering advanced derivatives
- Equity-linked insurance and annuities
- One-period binomial tree model
- Two-period binomial tree model
- Multi-period binomial tree model
- Further topics in the binomial tree model
- Market incompleteness and one-period trinomial tree models
- Brownian motion
- Introduction to stochastic calculus
- Introduction to the Black-Scholes-Merton model
- Rigorous derivations of the Black-Scholes formula
- Applications and extensions of the Black-Scholes formula
- Simulation methods
- Hedging strategies in practice.
