Basic stochastic processes / Pierre Devolder, Jacques Janssen, Raimondo Manca.

Format:

Book

Author/Creator:

Devolder, Pierre, author.

Janssen, Jacques, author.

Manca, Raimondo, author.

Series:

Mathematics and Statistics Series

Language:

English

Subjects (All):

Stochastic processes.

Physical Description:

1 online resource (327 pages)

Edition:

First edition.

Place of Publication:

London, England : Wiley, 2015.

Summary:

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 view, essential concepts such as the Black and Scholes model, VaR indicators, actuarial evaluation, market values, fair pricing play a central role and will be presented. The authors also present basic concepts so that this series is relatively self-contained for the main audience formed by actuaries and particularly with ERM (enterprise risk management) certificates, insurance risk managers, students in Master i

Contents:

Chapter 1. Basic Probabilistic Tools for Stochastic Modeling / Pierre Devolder, Jacques Janssen, Raimondo Manca

Chapter 2. Homogeneous and Non-Homogeneous Renewal Models / Pierre Devolder, Jacques Janssen, Raimondo Manca

Chapter 3. Markov Chains / Pierre Devolder, Jacques Janssen, Raimondo Manca

Chapter 4. Homogeneous and Non-Homogeneous Semi-Markov Models / Pierre Devolder, Jacques Janssen, Raimondo Manca

Chapter 5. Stochastic Calculus / Pierre Devolder, Jacques Janssen, Raimondo Manca

Chapter 6. Lévy Processes / Pierre Devolder, Jacques Janssen, Raimondo

Chapter 7. Actuarial Evaluation, VaR and Stochastic Interest Rate Models.

Notes:

Description based upon print version of record.

Includes bibliographical references and index.

Description based on online resource; title from PDF title page (ebrary, viewed August 24, 2015).

ISBN:

9781119184546

1119184541

9781119184577

1119184576

9781119184584

1119184584

OCLC:

918624123