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Introductory Stochastic Analysis for Finance and Insurance

2006-04-21 Mathematics
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Release : 2006-04-21
Genre : Mathematics
Kind : eBook
Book Rating : 205/5 ( reviews)

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Book Synopsis Introductory Stochastic Analysis for Finance and Insurance by : X. Sheldon Lin

Download or read book Introductory Stochastic Analysis for Finance and Insurance written by X. Sheldon Lin. This book was released on 2006-04-21. Available in PDF, EPUB and Kindle. Book excerpt: Incorporates the many tools needed for modeling and pricing infinance and insurance Introductory Stochastic Analysis for Finance and Insuranceintroduces readers to the topics needed to master and use basicstochastic analysis techniques for mathematical finance. The authorpresents the theories of stochastic processes and stochasticcalculus and provides the necessary tools for modeling and pricingin finance and insurance. Practical in focus, the book's emphasisis on application, intuition, and computation, rather thantheory. Consequently, the text is of interest to graduate students,researchers, and practitioners interested in these areas. While thetext is self-contained, an introductory course in probabilitytheory is beneficial to prospective readers. This book evolved from the author's experience as an instructor andhas been thoroughly classroom-tested. Following an introduction,the author sets forth the fundamental information and tools neededby researchers and practitioners working in the financial andinsurance industries: * Overview of Probability Theory * Discrete-Time stochastic processes * Continuous-time stochastic processes * Stochastic calculus: basic topics The final two chapters, Stochastic Calculus: Advanced Topics andApplications in Insurance, are devoted to more advanced topics.Readers learn the Feynman-Kac formula, the Girsanov's theorem, andcomplex barrier hitting times distributions. Finally, readersdiscover how stochastic analysis and principles are applied inpractice through two insurance examples: valuation of equity-linkedannuities under a stochastic interest rate environment andcalculation of reserves for universal life insurance. Throughout the text, figures and tables are used to help simplifycomplex theory and pro-cesses. An extensive bibliography opens upadditional avenues of research to specialized topics. Ideal for upper-level undergraduate and graduate students, thistext is recommended for one-semester courses in stochastic financeand calculus. It is also recommended as a study guide forprofessionals taking Causality Actuarial Society (CAS) and Societyof Actuaries (SOA) actuarial examinations.

Applied Stochastic Models and Control for Finance and Insurance

2012-12-06 Business & Economics
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Release : 2012-12-06
Genre : Business & Economics
Kind : eBook
Book Rating : 239/5 ( reviews)

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Book Synopsis Applied Stochastic Models and Control for Finance and Insurance by : Charles S. Tapiero

Download or read book Applied Stochastic Models and Control for Finance and Insurance written by Charles S. Tapiero. This book was released on 2012-12-06. Available in PDF, EPUB and Kindle. Book excerpt: Applied Stochastic Models and Control for Finance and Insurance presents at an introductory level some essential stochastic models applied in economics, finance and insurance. Markov chains, random walks, stochastic differential equations and other stochastic processes are used throughout the book and systematically applied to economic and financial applications. In addition, a dynamic programming framework is used to deal with some basic optimization problems. The book begins by introducing problems of economics, finance and insurance which involve time, uncertainty and risk. A number of cases are treated in detail, spanning risk management, volatility, memory, the time structure of preferences, interest rates and yields, etc. The second and third chapters provide an introduction to stochastic models and their application. Stochastic differential equations and stochastic calculus are presented in an intuitive manner, and numerous applications and exercises are used to facilitate their understanding and their use in Chapter 3. A number of other processes which are increasingly used in finance and insurance are introduced in Chapter 4. In the fifth chapter, ARCH and GARCH models are presented and their application to modeling volatility is emphasized. An outline of decision-making procedures is presented in Chapter 6. Furthermore, we also introduce the essentials of stochastic dynamic programming and control, and provide first steps for the student who seeks to apply these techniques. Finally, in Chapter 7, numerical techniques and approximations to stochastic processes are examined. This book can be used in business, economics, financial engineering and decision sciences schools for second year Master's students, as well as in a number of courses widely given in departments of statistics, systems and decision sciences.

Introduction to Stochastic Calculus for Finance

2006-12-02 Business & Economics
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Release : 2006-12-02
Genre : Business & Economics
Kind : eBook
Book Rating : 379/5 ( reviews)

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Book Synopsis Introduction to Stochastic Calculus for Finance by : Dieter Sondermann

Download or read book Introduction to Stochastic Calculus for Finance written by Dieter Sondermann. This book was released on 2006-12-02. Available in PDF, EPUB and Kindle. Book excerpt: Although there are many textbooks on stochastic calculus applied to finance, this volume earns its place with a pedagogical approach. The text presents a quick (but by no means "dirty") road to the tools required for advanced finance in continuous time, including option pricing by martingale methods, term structure models in a HJM-framework and the Libor market model. The reader should be familiar with elementary real analysis and basic probability theory.

Introduction to Stochastic Finance

2018-10-10 Mathematics
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Release : 2018-10-10
Genre : Mathematics
Kind : eBook
Book Rating : 570/5 ( reviews)

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Book Synopsis Introduction to Stochastic Finance by : Jia-An Yan

Download or read book Introduction to Stochastic Finance written by Jia-An Yan. This book was released on 2018-10-10. Available in PDF, EPUB and Kindle. Book excerpt: This book gives a systematic introduction to the basic theory of financial mathematics, with an emphasis on applications of martingale methods in pricing and hedging of contingent claims, interest rate term structure models, and expected utility maximization problems. The general theory of static risk measures, basic concepts and results on markets of semimartingale model, and a numeraire-free and original probability based framework for financial markets are also included. The basic theory of probability and Ito's theory of stochastic analysis, as preliminary knowledge, are presented.

Stochastic Processes for Insurance and Finance

2009-03-09 Mathematics
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Release : 2009-03-09
Genre : Mathematics
Kind : eBook
Book Rating : 638/5 ( reviews)

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Book Synopsis Stochastic Processes for Insurance and Finance by : Tomasz Rolski

Download or read book Stochastic Processes for Insurance and Finance written by Tomasz Rolski. This book was released on 2009-03-09. Available in PDF, EPUB and Kindle. Book excerpt: The Wiley Paperback Series makes valuable content more accessible to a new generation of statisticians, mathematicians and scientists. Stochastic Processes for Insurance and Finance offers a thorough yet accessible reference for researchers and practitioners of insurance mathematics. Building on recent and rapid developments in applied probability the authors describe in general terms models based on Markov processes, martingales and various types of point processes. Discussing frequently asked insurance questions, the authors present a coherent overview of this subject and specifically address: the principle concepts of insurance and finance practical examples with real life data numerical and algorithmic procedures essential for modern insurance practices Assuming competence in probability calculus, this book will provide a rigorous treatment of insurance risk theory recommended for researchers and students interested in applied probability as well as practitioners of actuarial sciences. “An excellent text” Australian & New Zealand Journal of Statistics

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