Электронная книга: Jacques Janssen «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, fair pricing play a central role and will be presented. The authors also presentbasic 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 in mathematics or economics and people involved in Solvency II for insurance companies and in Basel II and III for banks. Издательство: "John Wiley&Sons Limited"
ISBN: 9781119184577 электронная книга Купить за 10038.89 руб и скачать на Litres |
Другие книги автора:
| Книга | Описание | Год | Цена | Тип книги |
|---|---|---|---|---|
| VaR Methodology for Non-Gaussian Finance | 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… — John Wiley&Sons Limited, электронная книга Подробнее... | электронная книга | ||
| Stochastic Methods for Pension Funds | 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… — John Wiley&Sons Limited, электронная книга Подробнее... | электронная книга | ||
| Applied Diffusion Processes from Engineering to Finance | 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… — John Wiley&Sons Limited, электронная книга Подробнее... | электронная книга | ||
| Asset and Liability Management for Banks and Insurance Companies | This book introduces ALM in the context of banks and insurance companies. Although this strategy has a core of fundamental frameworks, models may vary between banks and insurance companies because of… — John Wiley&Sons Limited, электронная книга Подробнее... | электронная книга | ||
| Semi-Markov Migration Models for Credit Risk | Credit risk is one of the most important contemporary problems for banks and insurance companies. Indeed, for banks, more than forty percent of the equities are necessary to cover this risk. Though… — John Wiley&Sons Limited, электронная книга Подробнее... | электронная книга |
См. также в других словарях:
Filtering problem (stochastic processes) — In the theory of stochastic processes, the filtering problem is a mathematical model for a number of filtering problems in signal processing and the like. The general idea is to form some kind of best estimate for the true value of some system,… … Wikipedia
Stochastic modelling (insurance) — This page is concerned with the stochastic modelling as applied to the insurance industry. For other stochastic modelling applications, please see Monte Carlo method. For mathematical definition, please see Stochastic process.tochastic model… … Wikipedia
Stochastic calculus — is a branch of mathematics that operates on stochastic processes. It allows a consistent theory of integration to be defined for integrals of stochastic processes with respect to stochastic processes. It is used to model systems that behave… … Wikipedia
Stochastic process — A stochastic process, or sometimes random process, is the counterpart to a deterministic process (or deterministic system) in probability theory. Instead of dealing with only one possible reality of how the process might evolve under time (as is… … Wikipedia
stochastic process — In probability theory, a family of random variables indexed to some other set and having the property that for each finite subset of the index set, the collection of random variables indexed to it has a joint probability distribution. It is one… … Universalium
Stochastic volatility — models are used in the field of quantitative finance to evaluate derivative securities, such as options. The name derives from the models treatment of the underlying security s volatility as a random process, governed by state variables such as… … Wikipedia
