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Devolder, Pierre

Basic Stochastic Processes

Devolder, Pierre - Basic Stochastic Processes, e-bok

122,30€

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ISBN: 9781119184546
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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.

Nyckelord: stochastic; markov chains; semi markov; chains; actuarial mathematics; Lévy processes, Numerical Methods, Mathematical Modeling, Numerical Methods, Mathematical Modeling

Författare
 
 
Utgivare
John Wiley and Sons, Inc.
Utgivningsår
2015
Språk
en
Utgåva
1
Sidantal
326 sidor
Kategori
Teknologi, energi, trafik
Format
E-bok
eISBN (ePUB)
9781119184546
Tryckt ISBN
9781848218826

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