- Series: Wiley Series in Probability and Statistics (Book 557)
- Hardcover: 248 pages
- Publisher: Wiley-Interscience; 1 edition (March 17, 2006)
- Language: English
- ISBN-10: 0471716421
- ISBN-13: 978-0471716426
- Product Dimensions: 6.5 x 0.8 x 9.4 inches
- Shipping Weight: 14.4 ounces (View shipping rates and policies)
- Average Customer Review: Be the first to review this item
- Amazon Best Sellers Rank: #3,644,179 in Books (See Top 100 in Books)
Enter your mobile number or email address below and we'll send you a link to download the free Kindle App. Then you can start reading Kindle books on your smartphone, tablet, or computer - no Kindle device required.
To get the free app, enter your mobile phone number.
Introductory Stochastic Analysis for Finance and Insurance (Wiley Series in Probability and Statistics) 1st Edition
Use the Amazon App to scan ISBNs and compare prices.
The Amazon Book Review
Author interviews, book reviews, editors picks, and more. Read it now
Customers who viewed this item also viewed
"…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)
From the Back Cover
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. The author presents the theories of stochastic processes and stochastic calculus and provides the necessary tools for modeling and pricing in finance and insurance. Practical in focus, the book's emphasis is on application, intuition, and computation, rather than theory.
Consequently, the text is of interest to graduate students, researchers, and practitioners interested in these areas. While the text is self-contained, an introductory course in probability theory is beneficial to prospective readers.
This book evolved from the author's experience as an instructor and has been thoroughly classroom-tested. Following an introduction, the author sets forth the fundamental information and tools needed by researchers and practitioners working in the financial and insurance industries:
- Overview of Probability Theory
- Discrete-Time stochastic processes
- Continuous-time stochastic processes
- Stochastic calculus: basic topics
The final two chapters, Stochastic Calculus: Advanced Topics and Applications in Insurance, are devoted to more advanced topics. Readers learn the Feynman-Kac formula, the Girsanov's theorem, and complex barrier hitting times distributions. Finally, readers discover how stochastic analysis and principles are applied in practice through two insurance examples: valuation of equity-linked annuities under a stochastic interest rate environment and calculation of reserves for universal life insurance.
Throughout the text, figures and tables are used to help simplify complex theory and pro-cesses. An extensive bibliography opens up additional avenues of research to specialized topics.
Ideal for upper-level undergraduate and graduate students, this text is recommended for one-semester courses in stochastic finance and calculus. It is also recommended as a study guide for professionals taking Causality Actuarial Society (CAS) and Society of Actuaries (SOA) actuarial examinations.
Browse award-winning titles. See more