Actuarial finance [electronic resource] : derivatives, quantitative models and risk management / Mathieu Boudreault and Jean-François Renaud Universit́e du Quebec a Montreal, Canada.
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| Language: | English |
| Published: |
Hoboken, NJ :
John Wiley & Sons,
2019.
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| Online Access: | |
| Variant Title: |
Actuarial Finance - Derivatives, Quantitative Models and Risk Management |
| Format: | Electronic eBook |
Contents:
- The actuary and its environment
- Financial markets and their securities
- Forwards and futures
- Swaps
- Options
- Engineering basic options
- Engineering advanced derivatives
- Equity-linked insurance and annuities
- One-period binomial tree model
- Two-period binomial tree model
- Multi-period binomial tree model
- Further topics in the binomial tree model
- Market incompleteness and one-period trinomial tree models
- Brownian motion
- Introduction to stochastic calculus
- Introduction to the black-scholes-merton model
- Rigorous derivations of the black-scholes formula
- Applications and extensions of the black-scholes formula
- Simulation methods
- Hedging strategies in practice.