Actuarial Sciences and Quantitative Finance

ICASQF, Bogotá, Colombia, June 2014

AvJaime A. Londoño,José Garrido

Häftad, Engelska, 2016

Del 135 i serien Springer Proceedings in Mathematics & Statistics

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Beskrivning

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.

Produktinformation

Utgivningsdatum:2016-10-22
Mått:155 x 235 x 7 mm
Vikt:204 g
Format:Häftad
Språk:Engelska
Serie:Springer Proceedings in Mathematics & Statistics
Antal sidor:98
Förlag:Springer International Publishing AG
ISBN:9783319356679

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Innehållsförteckning

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.