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.