Mathematics for Finance

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Mathematics for Finance

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Pricing in General Insurance

Pricing in General Insurance

Pietro Parodi

October 15, 2014

Based on the syllabus of the actuarial industry course on general insurance pricing — with additional material inspired by the author’s own experience as a practitioner and lecturer — Pricing in General Insurance presents pricing as a formalised process that starts with collecting information about...

Computational Actuarial Science with R

Computational Actuarial Science with R

Arthur Charpentier

August 26, 2014

A Hands-On Approach to Understanding and Using Actuarial Models Computational Actuarial Science with R provides an introduction to the computational aspects of actuarial science. Using simple R code, the book helps you understand the algorithms involved in actuarial computations. It also covers...

Actuarial Models: The Mathematics of Insurance, Second Edition

Actuarial Models: The Mathematics of Insurance, Second Edition

Vladimir I. Rotar

August 13, 2014

Actuarial Models: The Mathematics of Insurance, Second Edition thoroughly covers the basic models of insurance processes. It also presents the mathematical frameworks and methods used in actuarial modeling. This second edition provides an even smoother, more robust account of the main ideas and...

Counterparty Risk and Funding: A Tale of Two Puzzles

Counterparty Risk and Funding: A Tale of Two Puzzles

Stéphane Crépey, Tomasz R. Bielecki, Damiano Brigo

June 23, 2014

Solve the DVA/FVA Overlap Issue and Effectively Manage Portfolio Credit Risk Counterparty Risk and Funding: A Tale of Two Puzzles explains how to study risk embedded in financial transactions between the bank and its counterparty. The authors provide an analytical basis for the quantitative...

Quantitative Finance: A Simulation-Based Introduction Using Excel

Quantitative Finance: A Simulation-Based Introduction Using Excel

Matt Davison

May 08, 2014

Teach Your Students How to Become Successful Working Quants Quantitative Finance: A Simulation-Based Introduction Using Excel provides an introduction to financial mathematics for students in applied mathematics, financial engineering, actuarial science, and business administration. The text not...

Financial Mathematics: A Comprehensive Treatment

Financial Mathematics: A Comprehensive Treatment

Giuseppe Campolieti, Roman N. Makarov

March 12, 2014

Versatile for Several Interrelated Courses at the Undergraduate and Graduate Levels Financial Mathematics: A Comprehensive Treatment provides a unified, self-contained account of the main theory and application of methods behind modern-day financial mathematics. Tested and refined through years of...

Stochastic Finance: An Introduction with Market Examples

Stochastic Finance: An Introduction with Market Examples

Nicolas Privault

December 20, 2013

Stochastic Finance: An Introduction with Market Examples presents an introduction to pricing and hedging in discrete and continuous time financial models without friction, emphasizing the complementarity of analytical and probabilistic methods. It demonstrates both the power and limitations of...

Nonlinear Option Pricing

Nonlinear Option Pricing

Julien Guyon, Pierre Henry-Labordere

December 19, 2013

New Tools to Solve Your Option Pricing Problems For nonlinear PDEs encountered in quantitative finance, advanced probabilistic methods are needed to address dimensionality issues. Written by two leaders in quantitative research—including Risk magazine’s 2013 Quant of the Year—Nonlinear Option...

Economic-Mathematical Methods and Models under Uncertainty

Economic-Mathematical Methods and Models under Uncertainty

A. G. Aliyev

December 07, 2013

In this book on mathematical programming, the postulate spacial-time certainty of economic process at uncertainty conditions in finite-dimensional vector space and the principle piecewise-linear homogeneity of economic process at uncertainty conditions in finite-dimensional vector space are first...

Quantitative Finance: An Object-Oriented Approach in C++

Quantitative Finance: An Object-Oriented Approach in C++

Erik Schlogl

November 19, 2013

Quantitative Finance: An Object-Oriented Approach in C++ provides readers with a foundation in the key methods and models of quantitative finance. Keeping the material as self-contained as possible, the author introduces computational finance with a focus on practical implementation in C++....

Financial and Actuarial Statistics: An Introduction, Second Edition

Financial and Actuarial Statistics: An Introduction, Second Edition

Dale S. Borowiak, Arnold F. Shapiro

November 12, 2013

Understand Up-to-Date Statistical Techniques for Financial and Actuarial Applications Since the first edition was published, statistical techniques, such as reliability measurement, simulation, regression, and Markov chain modeling, have become more prominent in the financial and actuarial...

Introduction to Risk Parity and Budgeting

Introduction to Risk Parity and Budgeting

Thierry Roncalli

July 16, 2013

Although portfolio management didn’t change much during the 40 years after the seminal works of Markowitz and Sharpe, the development of risk budgeting techniques marked an important milestone in the deepening of the relationship between risk and asset management. Risk parity then became a popular...