Risk Analysis in Finance and Insurance

Risk Analysis in Finance and Insurance

by Alexander Melnikov

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Product Details

ISBN-13: 9780203498576
Publisher: CRC Press
Publication date: 06/02/2004
Series: Chapman and Hall/CRC Financial Mathematics Series
Sold by: Barnes & Noble
Format: NOOK Book
Pages: 272
File size: 12 MB
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Table of Contents

FOUNDATIONS OF FINANCIAL RISK MANAGEMENT
Introductory Concepts of the Securities Market. Subject of Financial Mathematics
Probabilistic Foundations of Financial Modelling and Pricing of Contingent Claims
The Binomial Model of a Financial Market. Absence of Arbitrage, Uniqueness of a Risk-Neutral Probability Measure, Martingale Representation
Hedging Contingent Claims in the Binomial Market Model. The Cox-Ross-Rubinstein Formula. Forwards and Futures
Pricing and Hedging American options
Utility Functions and St. Petersburg's Paradox. The Problem of Optimal Investment
The Term Structure of Prices, Hedging and Investment Strategies in the Ho-Lee Model
ADVANCED ANALYSIS OF FINANCIAL RISKS
Fundamental Theorems on Arbitrage and Completeness. Pricing and Hedging Contingent Claims in Complete and Incomplete Markets.
The Structure of Options Prices in Incomplete Markets and in Markets with Constraints. Options-Based Investment Strategies .
Hedging Contingent Claims in Mean Square
Gaussian Model of a Financial Market and Pricing in Flexible Insurance Models. Discrete Version of the Black-Scholes Formula .
The Transition from the Binomial Model of a Financial Market to a Continuous Model. The Black-Scholes Formula and Equation.
The Black-Scholes Model. "Greek" Parameters in Risk Management. Hedging under Dividends and Budget Constraints. Optimal Investment
Assets with Fixed Income
Real options: Pricing Long-Term Investment Projects
Technical Analysis in Risk Management
INSURANCE RISKS. FOUNDATIONS OF ACTUARIAL ANALYSIS
Modelling Risk in Insurance and Methodologies of Premium Calculations
Probability of Bankruptcy as a Measure of Solvency of an Insurance Company
Solvency of an Insurance Company and Investment Portfolios
Risks in Traditional and Innovative Methods in Life Insurance
Reinsurance Risks
Extended Analysis of Insurance Risks in a Generalized Cram´er-Lundberg Model
APPENDICES
Software Supplement: Computations in Finance And Insurance
Problems and Solutions
Bibliographic Remark
References
Glossary of Notation
INDEX

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