Basic Stochastic Processes - Couverture rigide

Devolder, Pierre; Janssen, Jacques; Manca, Raimondo

Couverture rigide

ISBN 10 : 1848218826 ISBN 13 : 9781848218826

Editeur : ISTE Ltd and John Wiley & Sons Inc, 2015

Synopsis

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.

A propos du livre

À propos de l?auteur

Pierre Devolder is Professor of quantitative finance and actuarial sciences.

Jacques Janssen is Honorary Professor at the Solvay Business School in Brussels, Belgium and a member of Belgian, Swiss and French actuarial associations. His main research interests include stochastic processes, financial and actuarial mathematics, operations research and data mining.

Raimondo Manca is Professor of mathematical methods applied to economics, finance and actuarial science.

Détails de l'édition

• Éditeur: ISTE Ltd and John Wiley & Sons Inc
• Date d'édition: 2015
• Langue: anglais
• ISBN 10: 1848218826
• ISBN 13: 9781848218826
• Reliure: Relié
• Nombre de pages: 326
• Coordonnées du fabricant: non disponible
• Personne responsable: non disponible