Actuarial Sciences and Quantitative Finance

ICASQF, Bogotá, Colombia, June 2014

Jaime A. Londoño, José Garrido, Daniel Hernández-Hernández (Herausgeber)

Buch | Softcover

XI, 98 Seiten

2016 | 1. Softcover reprint of the original 1st ed. 2015
Springer International Publishing (Verlag)
978-3-319-35667-9 (ISBN)

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Featuring contributions from industry and academia, this volume includes chapters covering a diverse range of theoretical and empirical aspects of actuarial science and quantitative finance, including portfolio management, derivative valuation, risk theory and the economics of insurance. Developed from the First International Congress on Actuarial Science and Quantitative Finance, held at the Universidad Nacional de Colombia in Bogotá in June 2014, this volume highlights different approaches to issues arising from industries in the Andean and Carribean regions. Contributions address topics such as Reverse mortgage schemes and urban dynamics, modeling spot price dynamics in the electricity market, and optimizing calibration and pricing with SABR models.

Modeling Electricity Spot Price Dynamics by Using Levy-Type Cox Processes: An Application to the Colombian Market.- Using Value-at-Risk (VaR) to Measure Market Risk of the Equity Inventory of a Market Maker.- Reverse mortgage schemes financing urban dynamics using the multiple decrement approach.- Speedup of Calibration and Pricing with SABR models: from equities to interest rates derivatives.- Bergman, Piterbarg and Beyond: Pricing Derivatives under Collateralization and Differential Rates.

Erscheint lt. Verlag	22.10.2016
Reihe/Serie	Springer Proceedings in Mathematics & Statistics
Zusatzinfo	XI, 98 p. 27 illus., 25 illus. in color.
Verlagsort	Cham
Sprache	englisch
Maße	155 x 235 mm
Gewicht	223 g
Themenwelt	Mathematik / Informatik ► Mathematik ► Angewandte Mathematik
Themenwelt	Betriebswirtschaft / Management ► Spezielle Betriebswirtschaftslehre ► Versicherungsbetriebslehre
Schlagworte	actuarial science • applied probability • derivative valuation • Quantitative Finance • risk theory • Statistics
ISBN-10	3-319-35667-4 / 3319356674
ISBN-13	978-3-319-35667-9 / 9783319356679
Zustand	Neuware