ENGLISH

Actuarial finance : derivatives, quantitative models and risk management

By Jean-François , Boudreault , Mathieu; Renaud

Book information

Publisher
John Wiley & Sons
Year
2019
ISBN
9781119137009, 1119137004
Language
english
Format
PDF
Filesize
10 MB (10540828 bytes)
Pages
564\591
Time added
2020-02-15 03:35:35
Actuarial science.;Insurance -- Mathematics.

Description

Content: The actuary and its environment -- Financial markets and their securities -- Forwards and futures -- Swaps -- Options -- Engineering basic options -- Engineering advanced derivatives -- Equity-linked insurance and annuities -- One-period binomial tree model -- Two-period binomial tree model -- Multi-period binomial tree model -- Further topics in the binomial tree model -- Market incompleteness and one-period trinomial tree models -- Brownian motion -- Introduction to stochastic calculus -- Introduction to the black-scholes-merton model -- Rigorous derivations of the black-scholes formula -- Applications and extensions of the black-scholes formula -- Simulation methods -- Hedging strategies in practice.

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