Introductory Stochastic Analysis for Finance and Insurance.pdf

Introductory Stochastic Analysis for Finance and Insurance PDF

X. Sheldon Lin

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 books 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 authors 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 Girsanovs 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.

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.

9.91 MB DATEIGRÖSSE
9780471793205 ISBN
Englisch SPRACHE
Introductory Stochastic Analysis for Finance and Insurance.pdf

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Introductory Stochastic Analysis for Finance and … Introductory Stochastic Analysis for Finance and Insurance - Ebook written by X. Sheldon Lin, Society of Actuaries. Read this book using Google Play Books app on your PC, android, iOS devices. Download for offline reading, highlight, bookmark or take notes while you read Introductory Stochastic Analysis for Finance and Insurance.

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[(Introductory Stochastic Analysis for Finance and Insurance )] [Author: X.Sheldon Lin] [Mar-2006] | X.Sheldon Lin | ISBN: | Kostenloser Versand für alle Bücher mit Versand und Verkauf duch Amazon. Introductory Stochastic Analysis for Finance and …