{"product_id":"actuarial-finance-9781119137009","title":"Actuarial Finance","description":"\u003cb\u003eBook Synopsis\u003c\/b\u003e\u003cbr\u003e\u003cp\u003e\u003cb\u003eA new textbook offering a comprehensive introduction to models and techniques forthe emerging field of actuarial Finance\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eDrs. Boudreault and Renaud answer the need for a clear, application-oriented guide to the growing field of actuarial finance with this volume, which focuses on the mathematical models and techniques used in actuarial finance for the pricing and hedging of actuarial liabilities exposed to financial markets and other contingencies. With roots in modern financial mathematics, actuarial finance presents unique challenges due to the long-term nature of insurance liabilities, the presence of mortality or other contingencies and the structure and regulations of the insurance and pension markets.\u003c\/p\u003e \u003cp\u003eMotivated, designed and written for and by actuaries, this book puts actuarial applications at the forefront in addition to balancing mathematics and finance at an adequate level to actuarial undergraduates. While the classical theory of financial mathematics\u003cbr\u003e\u003cbr\u003e\u003cb\u003eTable of Contents\u003c\/b\u003e\u003cbr\u003e\u003c\/p\u003e\u003cp\u003eAcknowledgments xvii\u003c\/p\u003e \u003cp\u003ePreface xix\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart I Introduction to actuarial finance \u003c\/b\u003e\u003cb\u003e1\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003e1 Actuaries and their environment \u003c\/b\u003e\u003cb\u003e3\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e1.1 Key concepts 3\u003c\/p\u003e \u003cp\u003e1.2 Insurance and financial markets 6\u003c\/p\u003e \u003cp\u003e1.3 Actuarial and financial risks 8\u003c\/p\u003e \u003cp\u003e1.4 Diversifiable and systematic risks 9\u003c\/p\u003e \u003cp\u003e1.5 Risk management approaches 15\u003c\/p\u003e \u003cp\u003e1.6 Summary 16\u003c\/p\u003e \u003cp\u003e1.7 Exercises 17\u003c\/p\u003e \u003cp\u003e\u003cb\u003e2 Financial markets and their securities \u003c\/b\u003e\u003cb\u003e21\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e2.1 Bonds and interest rates 21\u003c\/p\u003e \u003cp\u003e2.2 Stocks 29\u003c\/p\u003e \u003cp\u003e2.3 Derivatives 32\u003c\/p\u003e \u003cp\u003e2.4 Structure of financial markets 35\u003c\/p\u003e \u003cp\u003e2.5 Mispricing and arbitrage opportunities 38\u003c\/p\u003e \u003cp\u003e2.6 Summary 42\u003c\/p\u003e \u003cp\u003e2.7 Exercises 44\u003c\/p\u003e \u003cp\u003e\u003cb\u003e3 Forwards and futures \u003c\/b\u003e\u003cb\u003e49\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e3.1 Framework 49\u003c\/p\u003e \u003cp\u003e3.2 Equity forwards 52\u003c\/p\u003e \u003cp\u003e3.3 Currency forwards 59\u003c\/p\u003e \u003cp\u003e3.4 Commodity forwards 61\u003c\/p\u003e \u003cp\u003e3.5 Futures contracts 62\u003c\/p\u003e \u003cp\u003e3.6 Summary 70\u003c\/p\u003e \u003cp\u003e3.7 Exercises 72\u003c\/p\u003e \u003cp\u003e\u003cb\u003e4 Swaps \u003c\/b\u003e\u003cb\u003e75\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e4.1 Framework 76\u003c\/p\u003e \u003cp\u003e4.2 Interest rate swaps 77\u003c\/p\u003e \u003cp\u003e4.3 Currency swaps 87\u003c\/p\u003e \u003cp\u003e4.4 Credit default swaps 90\u003c\/p\u003e \u003cp\u003e4.5 Commodity swaps 93\u003c\/p\u003e \u003cp\u003e4.6 Summary 95\u003c\/p\u003e \u003cp\u003e4.7 Exercises 96\u003c\/p\u003e \u003cp\u003e\u003cb\u003e5 Options \u003c\/b\u003e\u003cb\u003e99\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e5.1 Framework 100\u003c\/p\u003e \u003cp\u003e5.2 Basic options 102\u003c\/p\u003e \u003cp\u003e5.3 Main uses of options 107\u003c\/p\u003e \u003cp\u003e5.4 Investment strategies with basic options 110\u003c\/p\u003e \u003cp\u003e5.5 Summary 114\u003c\/p\u003e \u003cp\u003e5.6 Exercises 116\u003c\/p\u003e \u003cp\u003e\u003cb\u003e6 Engineering basic options \u003c\/b\u003e\u003cb\u003e119\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e6.1 Simple mathematical functions for financial engineering 119\u003c\/p\u003e \u003cp\u003e6.2 Parity relationships 122\u003c\/p\u003e \u003cp\u003e6.3 Additional payoff design with calls and puts 126\u003c\/p\u003e \u003cp\u003e6.4 More on the put-call parity 129\u003c\/p\u003e \u003cp\u003e6.5 American options 133\u003c\/p\u003e \u003cp\u003e6.6 Summary 136\u003c\/p\u003e \u003cp\u003e6.7 Exercises 137\u003c\/p\u003e \u003cp\u003e\u003cb\u003e7 Engineering advanced derivatives \u003c\/b\u003e\u003cb\u003e141\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e7.1 Exotic options 141\u003c\/p\u003e \u003cp\u003e7.2 Event-triggered derivatives 150\u003c\/p\u003e \u003cp\u003e7.3 Summary 154\u003c\/p\u003e \u003cp\u003e7.4 Exercises 156\u003c\/p\u003e \u003cp\u003e\u003cb\u003e8 Equity-linked insurance and annuities \u003c\/b\u003e\u003cb\u003e159\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e8.1 Definitions and notations 160\u003c\/p\u003e \u003cp\u003e8.2 Equity-indexed annuities 161\u003c\/p\u003e \u003cp\u003e8.3 Variable annuities 165\u003c\/p\u003e \u003cp\u003e8.4 Insurer’s loss 171\u003c\/p\u003e \u003cp\u003e8.5 Mortality risk 173\u003c\/p\u003e \u003cp\u003e8.6 Summary 177\u003c\/p\u003e \u003cp\u003e8.7 Exercises 179\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart II Binomial and trinomial tree models \u003c\/b\u003e\u003cb\u003e183\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003e9 One-period binomial tree model \u003c\/b\u003e\u003cb\u003e185\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e9.1 Model 185\u003c\/p\u003e \u003cp\u003e9.2 Pricing by replication 190\u003c\/p\u003e \u003cp\u003e9.3 Pricing with risk-neutral probabilities 195\u003c\/p\u003e \u003cp\u003e9.4 Summary 198\u003c\/p\u003e \u003cp\u003e9.5 Exercises 199\u003c\/p\u003e \u003cp\u003e\u003cb\u003e10 Two-period binomial tree model \u003c\/b\u003e\u003cb\u003e201\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e10.1 Model 201\u003c\/p\u003e \u003cp\u003e10.2 Pricing by replication 212\u003c\/p\u003e \u003cp\u003e10.3 Pricing with risk-neutral probabilities 220\u003c\/p\u003e \u003cp\u003e10.4 Advanced actuarial and financial examples 225\u003c\/p\u003e \u003cp\u003e10.5 Summary 233\u003c\/p\u003e \u003cp\u003e10.6 Exercises 236\u003c\/p\u003e \u003cp\u003e\u003cb\u003e11 Multi-period binomial tree model \u003c\/b\u003e\u003cb\u003e239\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e11.1 Model 239\u003c\/p\u003e \u003cp\u003e11.2 Pricing by replication 250\u003c\/p\u003e \u003cp\u003e11.3 Pricing with risk-neutral probabilities 259\u003c\/p\u003e \u003cp\u003e11.4 Summary 263\u003c\/p\u003e \u003cp\u003e11.5 Exercises 265\u003c\/p\u003e \u003cp\u003e\u003cb\u003e12 Further topics in the binomial tree model \u003c\/b\u003e\u003cb\u003e269\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e12.1 American options 269\u003c\/p\u003e \u003cp\u003e12.2 Options on dividend-paying stocks 276\u003c\/p\u003e \u003cp\u003e12.3 Currency options 279\u003c\/p\u003e \u003cp\u003e12.4 Options on futures 282\u003c\/p\u003e \u003cp\u003e12.5 Summary 287\u003c\/p\u003e \u003cp\u003e12.6 Exercises 289\u003c\/p\u003e \u003cp\u003e\u003cb\u003e13 Market incompleteness and one-period trinomial tree models \u003c\/b\u003e\u003cb\u003e291\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e13.1 Model 292\u003c\/p\u003e \u003cp\u003e13.2 Pricing by replication 296\u003c\/p\u003e \u003cp\u003e13.3 Pricing with risk-neutral probabilities 306\u003c\/p\u003e \u003cp\u003e13.4 Completion of a trinomial tree 313\u003c\/p\u003e \u003cp\u003e13.5 Incompleteness of insurance markets 316\u003c\/p\u003e \u003cp\u003e13.6 Summary 319\u003c\/p\u003e \u003cp\u003e13.7 Exercises 321\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart III Black-Scholes-Mertonmodel \u003c\/b\u003e\u003cb\u003e325\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003e14 Brownian motion \u003c\/b\u003e\u003cb\u003e327\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e14.1 Normal and lognormal distributions 327\u003c\/p\u003e \u003cp\u003e14.2 Symmetric random walks 333\u003c\/p\u003e \u003cp\u003e14.3 Standard Brownian motion 336\u003c\/p\u003e \u003cp\u003e14.4 Linear Brownian motion 347\u003c\/p\u003e \u003cp\u003e14.5 Geometric Brownian motion 351\u003c\/p\u003e \u003cp\u003e14.6 Summary 359\u003c\/p\u003e \u003cp\u003e14.7 Exercises 362\u003c\/p\u003e \u003cp\u003e\u003cb\u003e15 Introduction to stochastic calculus*** \u003c\/b\u003e\u003cb\u003e365\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e15.1 Stochastic Riemann integrals 366\u003c\/p\u003e \u003cp\u003e15.2 Ito’s stochastic integrals 368\u003c\/p\u003e \u003cp\u003e15.3 Ito’s lemma for Brownian motion 380\u003c\/p\u003e \u003cp\u003e15.4 Diffusion processes 382\u003c\/p\u003e \u003cp\u003e15.5 Summary 389\u003c\/p\u003e \u003cp\u003e15.6 Exercises 391\u003c\/p\u003e \u003cp\u003e\u003cb\u003e16 Introduction to the Black-Scholes-Mertonmodel \u003c\/b\u003e\u003cb\u003e393\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e16.1 Model 394\u003c\/p\u003e \u003cp\u003e16.2 Relationship between the binomial and BSM models 397\u003c\/p\u003e \u003cp\u003e16.3 Black-Scholes formula 403\u003c\/p\u003e \u003cp\u003e16.4 Pricing simple derivatives 410\u003c\/p\u003e \u003cp\u003e16.5 Determinants of call and put prices 414\u003c\/p\u003e \u003cp\u003e16.6 Replication and hedging 417\u003c\/p\u003e \u003cp\u003e16.7 Summary 428\u003c\/p\u003e \u003cp\u003e16.8 Exercises 430\u003c\/p\u003e \u003cp\u003e\u003cb\u003e17 Rigorous derivations of the Black-Scholes formula*** \u003c\/b\u003e\u003cb\u003e433\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e17.1 PDE approach to option pricing and hedging 433\u003c\/p\u003e \u003cp\u003e17.2 Risk-neutral approach to option pricing 440\u003c\/p\u003e \u003cp\u003e17.3 Summary 451\u003c\/p\u003e \u003cp\u003e17.4 Exercises 452\u003c\/p\u003e \u003cp\u003e\u003cb\u003e18 Applications and extensions of the Black-Scholes formula \u003c\/b\u003e\u003cb\u003e455\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e18.1 Options on other assets 455\u003c\/p\u003e \u003cp\u003e18.2 Equity-linked insurance and annuities 463\u003c\/p\u003e \u003cp\u003e18.3 Exotic options 473\u003c\/p\u003e \u003cp\u003e18.4 Summary 484\u003c\/p\u003e \u003cp\u003e18.5 Exercises 485\u003c\/p\u003e \u003cp\u003e\u003cb\u003e19 Simulation methods \u003c\/b\u003e\u003cb\u003e487\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e19.1 Primer on random numbers 488\u003c\/p\u003e \u003cp\u003e19.2 Monte Carlo simulations for option pricing 490\u003c\/p\u003e \u003cp\u003e19.3 Variance reduction techniques 497\u003c\/p\u003e \u003cp\u003e19.4 Summary 513\u003c\/p\u003e \u003cp\u003e19.5 Exercises 516\u003c\/p\u003e \u003cp\u003e\u003cb\u003e20 Hedging strategies in practice \u003c\/b\u003e\u003cb\u003e519\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e20.1 Introduction 520\u003c\/p\u003e \u003cp\u003e20.2 Cash-flow matching and replication 521\u003c\/p\u003e \u003cp\u003e20.3 Hedging strategies 523\u003c\/p\u003e \u003cp\u003e20.4 Interest rate risk management 527\u003c\/p\u003e \u003cp\u003e20.5 Equity risk management 533\u003c\/p\u003e \u003cp\u003e20.6 Rebalancing the hedging portfolio 546\u003c\/p\u003e \u003cp\u003e20.7 Summary 548\u003c\/p\u003e \u003cp\u003e20.8 Exercises 551\u003c\/p\u003e \u003cp\u003eReferences 555\u003c\/p\u003e \u003cp\u003eIndex 557\u003c\/p\u003e","brand":"John Wiley \u0026 Sons Inc","offers":[{"title":"Default Title","offer_id":49406995005783,"sku":"9781119137009","price":93.56,"currency_code":"GBP","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0817\/1739\/5799\/files\/9781119137009.jpg?v=1730497823","url":"https:\/\/bookcurl.com\/products\/actuarial-finance-9781119137009","provider":"Book Curl","version":"1.0","type":"link"}