Screen LibraryActuarial 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...
Saved in:
| Main Authors: | |
|---|---|
| Group Author: | |
| Published: |
John Wiley & Sons, Inc.,
|
| Publisher Address: | Hoboken, NJ : |
| Publication Dates: | 2019. |
| Literature type: | Book |
| Language: | English |
| Subjects: | |
| Summary: |
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 models and techniques used in actuarial finance for the pricing and hedging of actuarial liabilities exposed to financial markets and other contingencies. With roots in modern financial mathematics, actuarial finance presents unique challenges due to the long-term nature of insurance liabilities, t |
| Carrier Form: | xxiv, 564 pages : illustrations ; 26 cm |
| Bibliography: | Includes bibliographical references (pages 555-556) and index. |
| ISBN: |
9781119137009 1119137004 |
| Index Number: | HG8781 |
| CLC: |
F840 F224.0 |
| Call Number: | F224.0/B756 |
| Contents: | 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 -- |