Actuarial Sciences and Quantitative Finance - Londo?o, Jaime A.; Garrido, José; Hernández-Hernández, Daniel; (ed.) - Prospero Internet Bookshop
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Actuarial Sciences and Quantitative Finance: ICASQF, Bogotá, Colombia, June 2014
 
Product details:
ISBN13:9783319182384
ISBN10:3319182382
Binding:Hardback
No. of pages:98 pages
Size:235x155 mm
Weight:454 g
Language:English
Illustrations: 2 Illustrations, black & white; 25 Illustrations, color
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Actuarial Sciences and Quantitative Finance

ICASQF, Bogotá, Colombia, June 2014
 
Edition number: 1st ed. 2015
Publisher: Springer
Date of Publication:
Number of Volumes: 1 pieces, Book
 
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EUR 106.99
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Short description:

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.

Long description:
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.
Table of Contents:

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.