MARC Record from marc_overdrive

LEADER: 03521nam 2200265Ka 4500
008 000000s2006 nyu s 000 0 eng d
040 $aTEFOD$cTEFOD
006 m d
007 cr cn---------
020 $a9780471793205 (electronic bk. : Adobe Digital Editions)
037 $bOverDrive, Inc.$nhttp://www.overdrive.com
100 1 $aLin, X. Sheldon $q(X. Sheldon Lin).
245 10 $aIntroductory Stochastic Analysis for Finance and Insurance$h[electronic resource].
260 $aNew York :$bJohn Wiley & Sons, Ltd.,$c2006.
500 $aTitle from eBook information screen.
520 $aIncorporates the many tools needed for modeling and pricing in finance and insurance Introductory Stochastic Analysis for Finance and Insurance introduces readers to the topics needed to master and use basic stochastic analysis techniques for mathematical finance. The author presents the theories of stochastic processes and stochastic calculus and provides the necessary tools for modeling and pricing in finance and insurance. Practical in focus, the book's emphasis is on application, intuition, and computation, rather than theory. Consequently, the text is of interest to graduate students, researchers, and practitioners interested in these areas. While the text is self-contained, an introductory course in probability theory is beneficial to prospective readers. This book evolved from the author's experience as an instructor and has been thoroughly classroom-tested. Following an introduction, the author sets forth the fundamental information and tools needed by researchers and practitioners working in the financial and insurance industries: Overview of Probability Theory Discrete-Time stochastic processes Continuous-time stochastic processes Stochastic calculus: basic topics The final two chapters, Stochastic Calculus: Advanced Topics and Applications in Insurance, are devoted to more advanced topics. Readers learn the Feynman-Kac formula, the Girsanov's theorem, and complex barrier hitting times distributions. Finally, readers discover how stochastic analysis and principles are applied in practice through two insurance examples: valuation of equity-linked annuities under a stochastic interest rate environment and calculation of reserves for universal life insurance. Throughout the text, figures and tables are used to help simplify complex theory and pro-cesses. An extensive bibliography opens up additional avenues of research to specialized topics. Ideal for upper-level undergraduate and graduate students, this text is recommended for one-semester courses in stochastic finance and calculus. It is also recommended as a study guide for professionals taking Causality Actuarial Society (CAS) and Society of Actuaries (SOA) actuarial examinations.
533 $aElectronic reproduction.$bNew York :$cJohn Wiley & Sons, Ltd.,$d2006.$nRequires Adobe Digital Editions (file size: 10006 KB).
538 $aRequires Adobe Digital Editions (file size: 10006 KB).
653 #0 $aMathematics
653 #0 $aNonfiction
655 7 $aElectronic books.$2local
776 1 $cOriginal$z9780471716426
856 4 $uhttp://search.overdrive.com/SearchResults.aspx?ReserveID={04CB96DB-C309-42B0-9539-4BFA61D73DCE}$zClick for library availability
856 4 $uhttp://www.librarybin.com/ContentDetails.htm?ID=04CB96DB-C309-42B0-9539-4BFA61D73DCE$zClick to purchase
856 4 $3Image$uhttp://images.contentreserve.com/ImageType-100/0128-1/{04CB96DB-C309-42B0-9539-4BFA61D73DCE}Img100.jpg