Description

Quantitative finance has become these last years a extraordinary field of research and interest as well from an academic point of view as for practical applications.

At the same time, pension issue is clearly a major economical and financial topic for the next decades in the context of the well-known longevity risk. Surprisingly few books are devoted to application of modern stochastic calculus to pension analysis.

The aim of this book is to fill this gap and to show how recent methods of stochastic finance can be useful for to the risk management of pension funds. Methods of optimal control will be especially developed and applied to fundamental problems such as the optimal asset allocation of the fund or the cost spreading of a pension scheme. In these various problems, financial as well as demographic risks will be addressed and modelled.

Stochastic Methods for Pension Funds

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£166.95

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Hardback by Pierre Devolder , Jacques Janssen

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Quantitative finance has become these last years a extraordinary field of research and interest as well from an academic point... Read more

    Publisher: ISTE Ltd and John Wiley & Sons Inc
    Publication Date: 27/01/2012
    ISBN13: 9781848212046, 978-1848212046
    ISBN10: 1848212046

    Number of Pages: 320

    Non Fiction , Business, Finance & Law

    Description

    Quantitative finance has become these last years a extraordinary field of research and interest as well from an academic point of view as for practical applications.

    At the same time, pension issue is clearly a major economical and financial topic for the next decades in the context of the well-known longevity risk. Surprisingly few books are devoted to application of modern stochastic calculus to pension analysis.

    The aim of this book is to fill this gap and to show how recent methods of stochastic finance can be useful for to the risk management of pension funds. Methods of optimal control will be especially developed and applied to fundamental problems such as the optimal asset allocation of the fund or the cost spreading of a pension scheme. In these various problems, financial as well as demographic risks will be addressed and modelled.

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