Introductory Stochastic Analysis for Finance and Insurance

Introductory Stochastic Analysis for Finance and Insurance
Author :
Publisher : John Wiley & Sons
Total Pages : 224
Release :
ISBN-10 : 9780471793205
ISBN-13 : 0471793205
Rating : 4/5 (05 Downloads)

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 and published by John Wiley & Sons. This book was released on 2006-04-21 with total page 224 pages. 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.


Introductory Stochastic Analysis for Finance and Insurance Related Books

Introductory Stochastic Analysis for Finance and Insurance
Language: en
Pages: 224
Authors: X. Sheldon Lin
Categories: Mathematics
Type: BOOK - Published: 2006-04-21 - Publisher: John Wiley & Sons

DOWNLOAD EBOOK

Incorporates the many tools needed for modeling and pricing infinance and insurance Introductory Stochastic Analysis for Finance and Insuranceintroduces readers
Stochastic Processes for Insurance and Finance
Language: en
Pages: 0
Authors: Tomasz Rolski
Categories: Mathematics
Type: BOOK - Published: 2009-03-09 - Publisher: Wiley

DOWNLOAD EBOOK

The Wiley Paperback Series makes valuable content more accessible to a new generation of statisticians, mathematicians and scientists. Stochastic Processes for
Option Theory with Stochastic Analysis
Language: en
Pages: 172
Authors: Fred Espen Benth
Categories: Business & Economics
Type: BOOK - Published: 2012-12-06 - Publisher: Springer Science & Business Media

DOWNLOAD EBOOK

This is a very basic and accessible introduction to option pricing, invoking a minimum of stochastic analysis and requiring only basic mathematical skills. It c
Introduction to Stochastic Finance
Language: en
Pages: 406
Authors: Jia-An Yan
Categories: Mathematics
Type: BOOK - Published: 2018-10-10 - Publisher: Springer

DOWNLOAD EBOOK

This book gives a systematic introduction to the basic theory of financial mathematics, with an emphasis on applications of martingale methods in pricing and he
Computation and Modelling in Insurance and Finance
Language: en
Pages: 713
Authors: Erik Bølviken
Categories: Business & Economics
Type: BOOK - Published: 2014-04-10 - Publisher: Cambridge University Press

DOWNLOAD EBOOK

This practical introduction outlines methods for analysing actuarial and financial risk at a fairly elementary mathematical level suitable for graduate students