Book Description
Financial mathematics has recently enjoyed considerable interest on account of its impact on the finance industry. In parallel, the theory of Lévy processes has also seen many exciting developments. These powerful modelling tools allow the user to model more complex phenomena, and are commonly applied to problems in finance. Lévy Processes in Finance: Pricing Financial Derivatives takes a practical approach to describing the theory of Lévy-based models, and features many examples of how they may be used to solve problems in finance.
- Provides an introduction to the use of Lévy processes in finance.
- Features many examples using real market data, with emphasis on the pricing of financial derivatives.
- Covers a number of key topics, including option pricing, Monte Carlo simulations, stochastic volatility, exotic options and interest rate modelling.
- Includes many figures to illustrate the theory and examples discussed.
- Avoids unnecessary mathematical formalities.
The book is primarily aimed at researchers and postgraduate students of mathematical finance, economics and finance. The range of examples ensures the book will make a valuable reference source for practitioners from the finance industry including risk managers and financial product developers.
Customer Reviews:
excellent book.......2003-12-12
This book is a valuable reference source for not only academics but certainly for people from the banking industry. It is the best introduction to the application in finance of Levy processes. Modellers from a wide range of financial products will benifit greatly from the numerous real world examples. The chapter on simulation of Levy processes is covering just what one needs in a very comprehensive style.
Moreover, I found it very strange that people recommended the Cont-Tankov book before it was out instead of this book. Looking at the Cont-Tankov contents, I do not see anything useful that is not in the Schoutens book.
A list of formulas but no mathematical or financial insight........2003-07-17
I ordered this book even before publication since I am very interested in the topic and use have been involved in using and implementing option pricing models based on Levy processes.
I am quite disappointed since the book gives details neither on the financial side (incomplete markets, approximate hedging, exotic options...) which is not really the expertise of the author nor on the mathematical side (Wiener Hopf factorization, integrodifferential equations) which is superficially treated, the reader being constantly referred to other books.
The statistics/ econometrics aspect is totally absent and given
only a slight treatment.
For practitioners it is even more disappointing because a crucial aspect, namely NUMERICAL METHODS, is completely absent
and references to recent work on this topic is omitted.
For example, the author does not explain how the models were calibrated to the option prices in the examples he gives and his results are not easy to reproduce.
The only positive point of the book is to give a unified list of different models based on Levy processes which are spread out in the literature.
just what I needed.......2003-07-02
This book was just what I needed. Theory is nicely explain: not too difficult not too simple. I recommend it.
great book.......2003-06-26
I like this book very much. It is clear and brings you upto date with the theory in less than 200 pages. No technical details, clear style, a lot of real world examples. In contrast to other very mathematically oriented books (like Bertoin's and Boyarchenko-Levendorvski's), I must say that after reading it you can start applying the models to real world situations.
A Superficial Survey.......2003-06-16
This book is definitely disappointing. The subject in itself is most interesting and deserved better than this. The reasons are the author superficially surveys in 150 pages well-known results : definitions of the various kinds of Lévy processes... definition of a stock (!) ... and only refers to research papers when matters become too involved : exotic options are studied in the Black and Scholes context (!), are said to be difficult to price with a Lévy model, and are only computed by Monte-Carlo methods (see the article of N'Guyen and Yor for a real study). Interest rate theory is not developed enough, as could have been expected. The reader interested in the topic had better buy the books of Sato, Bertoin, and Boyarchenko and Levendorskii, get the PhD thesis of Raible and the articles of Yor and his coauthors.
Book Description
From the reviews: "The highly esteemed 1990 first edition of this book now appears in a much expanded second edition. The difference between the first two English editions is entirely due to the addition of numerous exercises. The result is a truly excellent book, balancing ideally between theory and practice. ....As already hinted at above, this book provides the ideal bridge between the classical (deterministic) life insurance theory and the emerging dynamic models based on stochastic processes and the modern theory of finance. The structure of the bridge is very solid, though at the same time pleasant to walk along. I have no doubt that Gerber's book will become the standard text for many years to come. Metrika, 44, 1996, 2
Customer Reviews:
Taxing book.......2000-04-28
This book is highly recommended for those who are interested in life insurance and superannuation models. It outlines various topics such as the actuarial mathematics and models for use in the analysis and actuarial management of life insurance and superannuation contracts. Topics covered include: the main forms of life insurance and annuity contracts, disability and long term care contracts and superannuation fund benefits; actuarial notation and the life table; moments of the value of the benefit payments; Thiele's differential equation for policy values; stochastic modelling of claims and benefit payments; gross premiums, net premiums, policy values and reserves; allowing for expenses and inflation; use of discounted emerging costs and profit tests; asset shares in life insurance; termination and alteration values; cost of guarantees; joint life functions; valuation of disability insurance contracts. If you are studying actuarial subjects that involve any of the above concepts then this book is recommended. Included are many questions with answers.
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Financial Risk in Insurance
Manufacturer: Springer
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ASIN: 3540661433 |
Book Description
This book, published with the contribution of the Italian insurance company INA, contains the invited contributions presented at the 3rd International AFIR Colloquium, held in Rome in 1993. The colloquium was aimed at encouraging research on the theoretical bases of actuarial sciences, its interaction with the theory of finance and of corporate finance, together with mathematical methods, such as probability and the theory of stochastic processes. In the spirit of actuarial tradition, attention was given to the link between the theoretical approach and the operative problems of financial markets and institutions, and insurance companies in particular. The book is an important reference work for students and researchers of actuarial sciences and finance. It could also be recommended to practitioners with theoretical interests.
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Mathematical Methods in Risk Theory (Grundlehren der mathematischen Wissenschaften)
Hans Bühlmann
Manufacturer: Springer
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ASIN: 3540617035 |
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From the reviews: "The huge literature in risk theory has been carefully selected and supplemented by personal contributions of the author, many of which appear here for the first time. The result is a systematic and very readable book, which takes into account the most recent developments of the field. It will be of great interest to the actuary as well as to the statistician who wants to become familiar with the subject." Math. Reviews Vol. 43
"It is a book of fundamental importance for all interested in the application or teaching of the subject and a significant addition to the literature."
Journal of the Royal Statistical Society (England) 1971
"This latest addition to the literature of risk theory is a masterful work.." Transactions, Soc of Actuaries meetings 65
Customer Reviews:
Very Usefull in specific items.......2003-03-19
Incredible and excelent book for actuarial siences, i need it to prepare my tesis in risk theory and give some applications i have some good learnings about this book, is like the bible for the Actuarial Maths.
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Non-Life Insurance Mathematics
Erwin Straub
Manufacturer: Springer
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ASIN: 3540187871 |
Book Description
The book gives a comprehensive overview of modern non-life actuarial science. It starts with a verbal description (i.e. without using mathematical formulae) of the main actuarial problems to be solved in non-life practice. Then in an extensive second chapter all the mathematical tools needed to solve these problems are dealt with - now in mathematical notation. The rest of the book is devoted to the exact formulation of various problems and their possible solutions. Being a good mixture of practical problems and their actuarial solutions, the book addresses above all two types of readers: firstly students (of mathematics, probability and statistics, informatics, economics) having some mathematical knowledge, and secondly insurance practitioners who remember mathematics only from some distance. Prerequisites are basic calculus and probability theory.
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A Series of Comprehensive Studies in Mathematics
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Versicherungsmathematik (Springer-Lehrbuch)
Klaus D. Schmidt
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ASIN: 3540427317 |
Book Description
Durch die Liberalisierung der Versicherungsmärkte in der Europäischen Union hat die Versicherungsmathematik erheblich an Bedeutung gewonnen. Dies gilt vor allem für die Schadenversicherung, die den Schwerpunkt dieses Buches bildet. Neben den zentralen Themen der Tarifierung und Reservierung wird das individuelle und das kollektive Modell für den Gesamtschaden sowie die Mathematik der Rückversicherung und der Vergleich von Risiken behandelt. Darüber hinaus werden Grundlagen der Finanzmathematik und der Lebensversicherung dargestellt und die erforderlichen Hilfsmittel der Stochastik entwickelt.
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A Treatise on the Law of Agency
Floyd R. Mechem
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Haploids in Crop Improvement I (Biotechnology in Agriculture and Forestry)
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ASIN: 0387507981 |
Book Description
The incorporation of haploids in breeding programs is one of the latest techniques used for crop improvement. The present volume comprises 30 chapters by international experts and informs on the methods involved, such as in vitro production of haploids by culture of anthers, studies of pollen embryogenesis, genetic analysis of haploids. It also discusses the genetic stability of haploid cell cultures as well as the practical importance of haploids in breeding for the release of new varieties. Results of experiments with wheat, barley, maize, rice, rubber, poplar, apple, litchi, Digitalis, Hyoscyamus, Arabidopsis, asparagus, sugarbeet, cabbage, pepper, carrot, strawberry, Gerbera, sunflower, tomato, alfalfa, winged bean, sugarcane, and Solanum are presented.
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