ENGLISH

Basic Stochastic Processes

By Devolder , Pierre; Janssen , Jacques; Manca , Raimondo

Book information

Publisher
Wiley-ISTE
Year
2015
ISBN
9781119184577, 1119184576, 9781119184584, 1119184584, 1848218826, 978-1-84821-882-6
Language
english
Format
PDF
Filesize
4 MB (4049727 bytes)
Series
Oregon State monographs. Mathematics and statistics series
Edition
1
Pages
326\327
Time added
2016-01-18 05:00:00
Математика;Теория вероятностей и математическая ст

Description

This book presents basic stochastic processes, stochastic calculus including Lévy 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.

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