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...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autores principales: Boudreault, Mathieu (Autor), Renaud, Jean-François, 1976- (Autor)
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Hoboken, NJ : John Wiley & Sons, Inc., 2019.
Temas:
Actuarial science.
Insurance > Mathematics.
Actuariat.
Assurance > Mathématiques.
BUSINESS & ECONOMICS > Industrial Management.
BUSINESS & ECONOMICS > Management.
BUSINESS & ECONOMICS > Management Science.
BUSINESS & ECONOMICS > Organizational Behavior.
Actuaries.
Finance > Mathematical models.
Financial risk management.
Acceso en línea:Texto completo (Requiere registro previo con correo institucional)
Tabla de Contenidos:
  • The actuary and its environment
  • Financial markets and their securities
  • Forwards and futures
  • Swaps
  • Options
  • Engineering basic 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.

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