Introductory stochastic analysis for finance and insurance:
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Hoboken, NJ
Wiley-Interscience
2006
|
| Series: | Wiley series in probability and statistics
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | XVI, 224 S. graph. Darst. |
| ISBN: | 0471716421 9780471716426 |
Staff View
MARC
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| 245 | 1 | 0 | |a Introductory stochastic analysis for finance and insurance |c X. Sheldon Lin |
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| 650 | 4 | |a Insurance |x Mathematical models | |
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Record in the Search Index
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|---|---|
| adam_text | CONTENTS
List of Figures
xi
List of Tables
xiii
Preface
xv
1
Introduction
1
2
Overview of Probability Theory
5
2.
1 Probability Spaces and Information Structures
6
2.2
Random Variables, Moments and Transforms 1
1
2.3
Multivariate Distributions
20
2.4
Conditional Probability and Conditional Distributions
24
2.5
Conditional Expectation
34
2.6
The Central Limit Theorem
43
3
Discrete-Time Stochastic Processes
45
3.1
Stochastic Processes and Information Structures
45
vii
VÜi
CONTENTS
3.2
Random Walks
47
3.3
Discrete-Time Markov Chains
55
3.4
Martingales and Change of Probability Measure
60
3.5
Stopping Times
66
3.6
Option Pricing with Binomial Models
72
3.7
Binomial Interest Rate Models
84
4
Continuous-Time Stochastic Processes
97
4.1
General Description of Continuous-Time Stochastic Processes
97
4.2
Brownian Motion
98
4.3
The Reflection Principle and Barrier Hitting Probabilities
104
4.4
The
Poisson
Process and Compound
Poisson
Process
112
4.5
Martingales
117
4.6
Stopping Times and the Optional Sampling Theorem
122
5
Stochastic Calculus: Basic Topics
131
5.1
Stochastic
(Ito)
Integration
131
5.2
Stochastic Differential Equations
141
5.3
One-Dimensional Ito s Lemma
144
5.4
Continuous-Time Interest Rate Models
148
5.5
The Black-Scholes Model and Option Pricing Formula
155
5.6
The Stochastic Version of Integration by Parts
162
5.7
Exponential Martingales
165
5.8
The Martingale Representation Theorem
168
6
Stochastic Calculus: Advanced Topics
173
6.1
The Feynman-Kac Formula
174
6.2
The Black-Scholes Partial Differential Equation
175
6.3
The Girsanov Theorem
177
6.4
The Forward Risk Adjusted Measure and Bond Option Pricing
181
6.5
Barrier Hitting Probabilities Revisited
187
6.6
Two-Dimensional Stochastic Differential Equations
191
7
Applications in Insurance
197
7.1
Deferred Variable Annuities and Equity-Indexed Annuities
198
7.2
Guaranteed Annuity Options
206
7.3
Universal Life
210
CONTENTS
¡X
217
References
221
Topic Index
|
| adam_txt |
CONTENTS
List of Figures
xi
List of Tables
xiii
Preface
xv
1
Introduction
1
2
Overview of Probability Theory
5
2.
1 Probability Spaces and Information Structures
6
2.2
Random Variables, Moments and Transforms 1
1
2.3
Multivariate Distributions
20
2.4
Conditional Probability and Conditional Distributions
24
2.5
Conditional Expectation
34
2.6
The Central Limit Theorem
43
3
Discrete-Time Stochastic Processes
45
3.1
Stochastic Processes and Information Structures
45
vii
VÜi
CONTENTS
3.2
Random Walks
47
3.3
Discrete-Time Markov Chains
55
3.4
Martingales and Change of Probability Measure
60
3.5
Stopping Times
66
3.6
Option Pricing with Binomial Models
72
3.7
Binomial Interest Rate Models
84
4
Continuous-Time Stochastic Processes
97
4.1
General Description of Continuous-Time Stochastic Processes
97
4.2
Brownian Motion
98
4.3
The Reflection Principle and Barrier Hitting Probabilities
104
4.4
The
Poisson
Process and Compound
Poisson
Process
112
4.5
Martingales
117
4.6
Stopping Times and the Optional Sampling Theorem
122
5
Stochastic Calculus: Basic Topics
131
5.1
Stochastic
(Ito)
Integration
131
5.2
Stochastic Differential Equations
141
5.3
One-Dimensional Ito's Lemma
144
5.4
Continuous-Time Interest Rate Models
148
5.5
The Black-Scholes Model and Option Pricing Formula
155
5.6
The Stochastic Version of Integration by Parts
162
5.7
Exponential Martingales
165
5.8
The Martingale Representation Theorem
168
6
Stochastic Calculus: Advanced Topics
173
6.1
The Feynman-Kac Formula
174
6.2
The Black-Scholes Partial Differential Equation
175
6.3
The Girsanov Theorem
177
6.4
The Forward Risk Adjusted Measure and Bond Option Pricing
181
6.5
Barrier Hitting Probabilities Revisited
187
6.6
Two-Dimensional Stochastic Differential Equations
191
7
Applications in Insurance
197
7.1
Deferred Variable Annuities and Equity-Indexed Annuities
198
7.2
Guaranteed Annuity Options
206
7.3
Universal Life
210
CONTENTS
¡X
217
References
221
Topic Index |
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| spelling | Lin, X. Sheldon Verfasser aut Introductory stochastic analysis for finance and insurance X. Sheldon Lin Hoboken, NJ Wiley-Interscience 2006 XVI, 224 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Wiley series in probability and statistics Analyse stochastique Análise estocástica larpcal Assurance - Modèles mathématiques Finances - Modèles mathématiques Finanças (aplicações) larpcal Processos estocásticos larpcal Mathematisches Modell Finance Mathematical models Insurance Mathematical models Stochastic analysis Stochastische Analysis (DE-588)4132272-1 gnd rswk-swf Finanzmathematik (DE-588)4017195-4 gnd rswk-swf (DE-588)1071861417 Konferenzschrift gnd-content Finanzmathematik (DE-588)4017195-4 s Stochastische Analysis (DE-588)4132272-1 s DE-604 Digitalisierung UB Regensburg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=014601074&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Lin, X. Sheldon Introductory stochastic analysis for finance and insurance Analyse stochastique Análise estocástica larpcal Assurance - Modèles mathématiques Finances - Modèles mathématiques Finanças (aplicações) larpcal Processos estocásticos larpcal Mathematisches Modell Finance Mathematical models Insurance Mathematical models Stochastic analysis Stochastische Analysis (DE-588)4132272-1 gnd Finanzmathematik (DE-588)4017195-4 gnd |
| subject_GND | (DE-588)4132272-1 (DE-588)4017195-4 (DE-588)1071861417 |
| title | Introductory stochastic analysis for finance and insurance |
| title_auth | Introductory stochastic analysis for finance and insurance |
| title_exact_search | Introductory stochastic analysis for finance and insurance |
| title_exact_search_txtP | Introductory stochastic analysis for finance and insurance |
| title_full | Introductory stochastic analysis for finance and insurance X. Sheldon Lin |
| title_fullStr | Introductory stochastic analysis for finance and insurance X. Sheldon Lin |
| title_full_unstemmed | Introductory stochastic analysis for finance and insurance X. Sheldon Lin |
| title_short | Introductory stochastic analysis for finance and insurance |
| title_sort | introductory stochastic analysis for finance and insurance |
| topic | Analyse stochastique Análise estocástica larpcal Assurance - Modèles mathématiques Finances - Modèles mathématiques Finanças (aplicações) larpcal Processos estocásticos larpcal Mathematisches Modell Finance Mathematical models Insurance Mathematical models Stochastic analysis Stochastische Analysis (DE-588)4132272-1 gnd Finanzmathematik (DE-588)4017195-4 gnd |
| topic_facet | Analyse stochastique Análise estocástica Assurance - Modèles mathématiques Finances - Modèles mathématiques Finanças (aplicações) Processos estocásticos Mathematisches Modell Finance Mathematical models Insurance Mathematical models Stochastic analysis Stochastische Analysis Finanzmathematik Konferenzschrift |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=014601074&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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