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Introductory Stochastic Analysis for Finance and Insurance: Wiley Series in Probability and Statistics

Autor XS Lin
en Limba Engleză Hardback – 30 mar 2006
Incorporates the many tools needed for modeling and pricing in finance and insurance Introductory Stochastic Analysis for Finance and Insurance introduces readers to the topics needed to master and use basic stochastic analysis techniques for mathematical finance. The author presents the theories of stochastic processes and stochastic calculus and provides the necessary tools for modeling and pricing in finance and insurance. Practical in focus, the book's emphasis is on application, intuition, and computation, rather than theory. Consequently, the text is of interest to graduate students, researchers, and practitioners interested in these areas. While the text is self-contained, an introductory course in probability theory is beneficial to prospective readers. This book evolved from the author's experience as an instructor and has been thoroughly classroom-tested. Following an introduction, the author sets forth the fundamental information and tools needed by researchers and practitioners working in the financial and insurance 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 and Applications in Insurance, are devoted to more advanced topics. Readers learn the Feynman-Kac formula, the Girsanov's theorem, and complex barrier hitting times distributions. Finally, readers discover how stochastic analysis and principles are applied in practice through two insurance examples: valuation of equity-linked annuities under a stochastic interest rate environment and calculation of reserves for universal life insurance. Throughout the text, figures and tables are used to help simplify complex theory and pro-cesses. An extensive bibliography opens up additional avenues of research to specialized topics. Ideal for upper-level undergraduate and graduate students, this text is recommended for one-semester courses in stochastic finance and calculus. It is also recommended as a study guide for professionals taking Causality Actuarial Society (CAS) and Society of Actuaries (SOA) actuarial examinations.
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Specificații

ISBN-13: 9780471716426
ISBN-10: 0471716421
Pagini: 248
Dimensiuni: 156 x 234 x 15 mm
Greutate: 0.53 kg
Editura: Wiley
Seria Wiley Series in Probability and Statistics

Locul publicării:Hoboken, United States

Public țintă

A highly informative read as a textbook for a one–term course at the upper undergraduate level or beginning graduate level in stochastic finance/calculus; as supplemental reading for finance courses, in general; as a reference book for applied statisticians with an interest in the subject matter; as recommended reading for actuaries taking Examination 8 (Investment Track) of the Society of Actuaries™ GRE test.

Cuprins

List of Figures. List of Tables. Preface. 1. Introduction. 2. Overview of Probability Theory. 3. Discrete-Time Stochastic Processes. 4. Continuous-Time Stochastic Processes. 5. Stochastic Calculus: Basic Topics. 6. Stochastic Calculus: Advanced Topics. 7. Applications in Insurance. References. Topic Index.

Descriere

Incorporates the many tools needed for modeling and pricing in finance and insurance Introductory Stochastic Analysis for Finance and Insurance introduces readers to the topics needed to master and use basic stochastic analysis techniques for mathematical finance.