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Actuarial Sciences and Quantitative Finance: ICASQF, Bogotá, Colombia, June 2014 de Jaime A. Londoño

Actuarial Sciences and Quantitative Finance: ICASQF, Bogotá, Colombia, June 2014: Springer Proceedings in Mathematics & Statistics, cartea 135

Editat de Jaime A. Londoño, José Garrido, Daniel Hernández-Hernández
en Limba Engleză Hardback – 13 aug 2015
Featuring contributions from industry and academia, this volume includes chapters covering a diverse range of theoretical and empirical aspects of actuarial science and quantitative finance, including portfolio management, derivative valuation, risk theory and the economics of insurance. Developed from the First International Congress on Actuarial Science and Quantitative Finance, held at the Universidad Nacional de Colombia in Bogotá in June 2014, this volume highlights different approaches to issues arising from industries in the Andean and Carribean regions. Contributions address topics such as Reverse mortgage schemes and urban dynamics, modeling spot price dynamics in the electricity market, and optimizing calibration and pricing with SABR models.
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Specificații

ISBN-13: 9783319182384
ISBN-10: 3319182382
Pagini: 98
Ilustrații: XI, 98 p. 27 illus., 25 illus. in color.
Dimensiuni: 155 x 235 x 12 mm
Greutate: 0.36 kg
Ediția:1st ed. 2015
Editura: Springer International Publishing
Colecția Springer
Seria Springer Proceedings in Mathematics & Statistics

Locul publicării:Cham, Switzerland

Public țintă

Research

Cuprins

Modeling Electricity Spot Price Dynamics by Using Levy-Type Cox Processes: An Application to the Colombian Market.- Using Value-at-Risk (VaR) to Measure Market Risk of the Equity Inventory of a Market Maker.- Reverse mortgage schemes financing urban dynamics using the multiple decrement approach.- Speedup of Calibration and Pricing with SABR models: from equities to interest rates derivatives.- Bergman, Piterbarg and Beyond: Pricing Derivatives under Collateralization and Differential Rates.

Textul de pe ultima copertă

Featuring contributions from industry and academia, this volume includes chapters covering a diverse range of theoretical and empirical aspects of actuarial science and quantitative finance, including portfolio management, derivative valuation, risk theory and the economics of insurance. Developed from the First International Congress on Actuarial Science and Quantitative Finance, held at the Universidad Nacional de Colombia in Bogotá in June 2014, this volume highlights different approaches to issues arising from industries in the Andean and Carribean regions. Contributions address topics such as Reverse mortgage schemes and urban dynamics, modeling spot price dynamics in the electricity market, and optimizing calibration and pricing with SABR models.

Caracteristici

Showcases recent research on topics in actuarial science and quantitative finance Spotlights research originating in and focusing on the Andean and Caribbean regions Covers a wide variety of subtopics, including statistical techniques in finance, derivative valuation, risk theory and the economics of insurance