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Stochastic Methods for Pension Funds
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 …
Applied Diffusion Processes from Engineering to Finance
The aim of this book is to promote interaction between engineering, finance and insurance, as these three domains have many models and methods of solution in common for solving …
Semi-Markov Migration Models for Credit Risk
Credit risk is one of the most important contemporary problems for banks and insurance companies. Indeed, for banks, more than forty percent of the equities are necessary to cover …
Basic Stochastic Processes
This book presents basic stochastic processes, stochastic calculus including Lévy processes on one hand, and Markov and Semi Markov models on the other. From the financial point of …
Asset and Liability Management for Banks and Insurance Companies
This book introduces ALM in the context of banks and insurance companies. Although this strategy has a core of fundamental frameworks, models may vary between banks and insurance …
Mathematical Finance
This book provides a detailed study of Financial Mathematics. In addition to the extraordinary depth the book provides, it offers a study of the axiomatic approach that is ideally …
VaR Methodology for Non-Gaussian Finance
With the impact of the recent financial crises, more attention must be given to new models in finance rejecting “Black-Scholes-Samuelson” assumptions leading to what is called …