Description

Book Synopsis
Incorporates the many tools needed for modeling and pricing in finance and insurance Introductory Stochastic Analysis for Finance and Insurance introduces readers to the topics needed to master and use basic stochastic analysis techniques for mathematical finance.

Trade Review
"…a positive addition to the introductory textbooks on stochastic calculus for financial applications." (Journal of the American Statistical Association, June 2007)

"The actuarial topics discussed by the author are absolutely nonstandard and provide a strong point in favor of this book compared to its competitors…" (Mathematical Reviews, Issue 2007a)

"…very suitable for practitioners who just need to understand the main connections between some financial concepts and stochastic analysis." (MAA Reviews, April 30, 2006)



Table of Contents
List of Figures.

List of Tables.

Preface.

1. Introduction.

2. Overview of Probability Theory.

3. Discrete-Time Stochastic Processes.

4. Continuous-Time Stochastic Processes.

5. Stochastic Calculus: Basic Topics.

6. Stochastic Calculus: Advanced Topics.

7. Applications in Insurance.

References.

Topic Index.

Introductory Stochastic Analysis for Finance and

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    A Hardback by X. Sheldon Lin, Society of Actuaries

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      Publisher: John Wiley & Sons Inc
      Publication Date: 31/03/2006
      ISBN13: 9780471716426, 978-0471716426
      ISBN10: 0471716421
      Also in:
      Mathematics

      Description

      Book Synopsis
      Incorporates the many tools needed for modeling and pricing in finance and insurance Introductory Stochastic Analysis for Finance and Insurance introduces readers to the topics needed to master and use basic stochastic analysis techniques for mathematical finance.

      Trade Review
      "…a positive addition to the introductory textbooks on stochastic calculus for financial applications." (Journal of the American Statistical Association, June 2007)

      "The actuarial topics discussed by the author are absolutely nonstandard and provide a strong point in favor of this book compared to its competitors…" (Mathematical Reviews, Issue 2007a)

      "…very suitable for practitioners who just need to understand the main connections between some financial concepts and stochastic analysis." (MAA Reviews, April 30, 2006)



      Table of Contents
      List of Figures.

      List of Tables.

      Preface.

      1. Introduction.

      2. Overview of Probability Theory.

      3. Discrete-Time Stochastic Processes.

      4. Continuous-Time Stochastic Processes.

      5. Stochastic Calculus: Basic Topics.

      6. Stochastic Calculus: Advanced Topics.

      7. Applications in Insurance.

      References.

      Topic Index.

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