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 in mathematics or economics and people involved in Solvency II for insurance companies and in Basel II and III for banks.

Basic Stochastic Processes / Devolder, Pierre; Janssen, Jacques; Manca, Raimondo. - STAMPA. - (2015), pp. 1-310. [0.1002/9781119184584]

Basic Stochastic Processes

MANCA, Raimondo
2015

Abstract

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 in mathematics or economics and people involved in Solvency II for insurance companies and in Basel II and III for banks.
2015
978-1-84821-882-6
Probability; Stochastic Processes; Renewal; Markov,; Semi-Markov; Stochastic CalculusLevy Processes
03 Monografia::03a Saggio, Trattato Scientifico
Basic Stochastic Processes / Devolder, Pierre; Janssen, Jacques; Manca, Raimondo. - STAMPA. - (2015), pp. 1-310. [0.1002/9781119184584]
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11573/839768
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