Actuarial finance : derivatives, quantitative models and risk management /
Boudreault, Mathieu,
Actuarial finance : derivatives, quantitative models and risk management / Mathieu Boudreault and Jean-François Renaud. - pages cm
Includes bibliographical references and index.
The actuary and its environment -- Financial markets and their securities -- Forwards and futures -- Swaps -- Options -- Engineering basic options -- Engineering advanced derivatives -- Equity-linked insurance and annuities -- One-period binomial tree model -- Two-period binomial tree model -- Multi-period binomial tree model -- Further topics in the binomial tree model -- Market incompleteness and one-period trinomial tree models -- Brownian motion -- Introduction to stochastic calculus -- Introduction to the black-scholes-merton model -- Rigorous derivations of the black-scholes formula -- Applications and extensions of the black-scholes formula -- Simulation methods -- Hedging strategies in practice.
9781119137009 (hardcover)
2018049407
Actuarial science.
Insurance--Mathematics.
HG8781 / .B69 2019
368/.01
Actuarial finance : derivatives, quantitative models and risk management / Mathieu Boudreault and Jean-François Renaud. - pages cm
Includes bibliographical references and index.
The actuary and its environment -- Financial markets and their securities -- Forwards and futures -- Swaps -- Options -- Engineering basic options -- Engineering advanced derivatives -- Equity-linked insurance and annuities -- One-period binomial tree model -- Two-period binomial tree model -- Multi-period binomial tree model -- Further topics in the binomial tree model -- Market incompleteness and one-period trinomial tree models -- Brownian motion -- Introduction to stochastic calculus -- Introduction to the black-scholes-merton model -- Rigorous derivations of the black-scholes formula -- Applications and extensions of the black-scholes formula -- Simulation methods -- Hedging strategies in practice.
9781119137009 (hardcover)
2018049407
Actuarial science.
Insurance--Mathematics.
HG8781 / .B69 2019
368/.01