Actuarial Sciences and Quantitative Finance
ICASQF, Bogotá, Colombia, June 2014
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Artikelnummer:
9783319182384
Veröffentlichungsdatum:
2015
Einband:
Buch
Erscheinungsdatum:
13.08.2015
Seiten:
112
Autor:
Jaime A. Londoño
Gewicht:
363 g
Format:
241x160x12 mm
Sprache:
Englisch
Langbeschreibung
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. Developed from the First International Congress on Actuarial Science and Quantitative Finance, held at the Universidad Nacional de Colombia in Bogotá in June 2014, this volume highlights different approaches to issues arising from industries in the Andean and Carribean regions. Contributions address topics such as Reverse mortgage schemes and urban dynamics, modeling spot price dynamics in the electricity market, and optimizing calibration and pricing with SABR models.
Hauptbeschreibung
Showcases recent research on topics in actuarial science and quantitative finance
Inhaltsverzeichnis
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.