Neuware - This book presents basic stochastic processes, stochastic calculus including L�vy processes on one hand, and Markov and Semi Markov models on the other.

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Bibliographic Details

Title: Basic Stochastic Processes
Publisher: Wiley Aug 2015
Publication Date: 2015
Language: English
ISBN 10: 1848218826
ISBN 13: 9781848218826
Binding: Buch
Condition: Neu
Dimensions: 240 millimeters width by 161 millimeters height by 22 millimeters depth
Weight: 657 grams

About this title

Synopsis

This book presents basic stochastic processes, stochastic calculus including L�vy 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.

About the Author

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.

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