Basic Stochastic Processes

Name: Basic Stochastic Processes
ISBN: 9781848218826

Devolder, Pierre, Janssen, Jacques, Manca, Raimondo

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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.

Категорії:

Mathematics
Mathematics - Mathematical Statistics

Рік:

2015

Видання:

Видавництво:

Wiley-ISTE

Мова:

english

Сторінки:

326

ISBN 10: