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Basic Stochastic Processes.
This book presents basic stochastic processes, stochastic calculus including Lévy processes on one hand, and Markov and Semi Markov models on the other. From the financial point of view, essential concepts such as the Black and Scholes model, VaR indicators, actuarial evaluation, market values, fai...
| Clasificación: | Libro Electrónico |
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| Autor principal: | |
| Otros Autores: | , |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Hoboken :
Wiley,
2015.
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| Colección: | Mathematics and statistics series (ISTE)
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| Temas: | |
| Acceso en línea: | Texto completo |
| Sumario: | This book presents basic stochastic processes, stochastic calculus including Lévy processes on one hand, and Markov and Semi Markov models on the other. From the financial point of view, essential concepts such as the Black and Scholes model, VaR indicators, actuarial evaluation, market values, fair pricing play a central role and will be presented. The authors also present basic concepts so that this series is relatively self-contained for the main audience formed by actuaries and particularly with ERM (enterprise risk management) certificates, insurance risk managers, students in Master i. |
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| Notas: | 4.4. Initial backward recurrence times. |
| Descripción Física: | 1 online resource (327 pages) |
| Bibliografía: | Includes bibliographical references and index. |
| ISBN: | 9781119184577 1119184576 |