Basic stochastic processes /
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...
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| Other Authors: | , |
| Format: | eBook |
| Language: | English |
| Published: |
London :
ISTE,
2015.
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| Series: | Oregon State monographs. Mathematics and statistics series.
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| Subjects: | |
| Online Access: | Connect to the full text of this electronic book |
| Summary: | 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 i. |
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| Physical Description: | 1 online resource |
| Bibliography: | Includes bibliographical references and index. |
| ISBN: | 9781119184584 1119184584 9781119184577 1119184576 1848218826 9781848218826 9781119184546 1119184541 |