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Devolder, Pierre

Stochastic Methods for Pension Funds

Devolder, Pierre - Stochastic Methods for Pension Funds, ebook

168,10€

Ebook, ePUB with Adobe DRM
ISBN: 9781118566268
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Printing30 pages with an additional page accrued every day, capped at 30 pages
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Quantitative finance has become these last years a extraordinary field of research and interest as well from an academic point of view as for practical applications.

At the same time, pension issue is clearly a major economical and financial topic for the next decades in the context of the well-known longevity risk. Surprisingly few books are devoted to application of modern stochastic calculus to pension analysis.

The aim of this book is to fill this gap and to show how recent methods of stochastic finance can be useful for to the risk management of pension funds. Methods of optimal control will be especially developed and applied to fundamental problems such as the optimal asset allocation of the fund or the cost spreading of a pension scheme.  In these various problems, financial as well as demographic risks will be addressed and modelled.

Keywords: Applied Mathematics

Author(s)
 
 
Publisher
John Wiley and Sons, Inc.
Publication year
2010
Language
en
Edition
1
Series
ISTE
Category
Technology, Energy, Traffic
Format
Ebook
eISBN (ePUB)
9781118566268
Printed ISBN
9781848212046

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