Basic Stochastic Processes e-bog
1313,81 DKK
(inkl. moms 1642,26 DKK)
This book presents basic stochastic processes, stochastic calculus including L vy 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 th...
E-bog
1313,81 DKK
Forlag
Wiley-ISTE
Udgivet
5 august 2015
Genrer
Mathematics
Sprog
English
Format
pdf
Beskyttelse
LCP
ISBN
9781119184577
This book presents basic stochastic processes, stochastic calculus including L vy 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 in mathematics or economics and people involved in Solvency II for insurance companies and in Basel II and III for banks.