Probability Finance And Insurance Proceedings Of A Workshop

Author : Siu Pang Yung,Tze Leung Lai,Hailiang Yang
Publisher : World Scientific
Page : 252 pages
File Size : 49,8 Mb
Release : 2004-06-28
Category : Mathematics
ISBN : 9789814482615

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Probability, Finance And Insurance, Proceedings Of A Workshop by Siu Pang Yung,Tze Leung Lai,Hailiang Yang Pdf

This workshop was the first of its kind in bringing together researchers in probability theory, stochastic processes, insurance and finance from mainland China, Taiwan, Hong Kong, Singapore, Australia and the United States. In particular, as China has joined the WTO, there is a growing demand for expertise in actuarial sciences and quantitative finance. The strong probability research and graduate education programs in many of China's universities can be enriched by their outreach in fields that are of growing importance to the country's expanding economy, and the workshop and its proceedings can be regarded as the first step in this direction.This book presents the most recent developments in probability, finance and actuarial sciences, especially in Chinese probability research. It focuses on the integration of probability theory with applications in finance and insurance. It also brings together academic researchers and those in industry and government. With contributions by leading authorities on probability theory — particularly limit theory and large derivations, valuation of credit derivatives, portfolio selection, dynamic protection and ruin theory — it is an essential source of ideas and information for graduate students and researchers in probability theory, mathematical finance and actuarial sciences, and thus every university should acquire a copy.The proceedings have been selected for coverage in:• Index to Scientific & Technical Proceedings (ISTP CDROM version / ISI Proceedings)• Index to Social Sciences & Humanities Proceedings® (ISSHP® / ISI Proceedings)• Index to Social Sciences & Humanities Proceedings (ISSHP CDROM version / ISI Proceedings)• CC Proceedings — Engineering & Physical Sciences

Author : T. L. Lai,Hailiang Yang,Siu Pang Yung
Publisher : World Scientific
Page : 253 pages
File Size : 44,9 Mb
Release : 2004
Category : Business & Economics
ISBN : 9789812702715

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Probability, Finance and Insurance by T. L. Lai,Hailiang Yang,Siu Pang Yung Pdf

This workshop was the first of its kind in bringing together researchers in probability theory, stochastic processes, insurance and finance from mainland China, Taiwan, Hong Kong, Singapore, Australia and the United States. In particular, as China has joined the WTO, there is a growing demand for expertise in actuarial sciences and quantitative finance. The strong probability research and graduate education programs in many of China's universities can be enriched by their outreach in fields that are of growing importance to the country's expanding economy, and the workshop and its proceedings can be regarded as the first step in this direction. This book presents the most recent developments in probability, finance and actuarial sciences, especially in Chinese probability research. It focuses on the integration of probability theory with applications in finance and insurance. It also brings together academic researchers and those in industry and government. With contributions by leading authorities on probability theory OCo particularly limit theory and large derivations, valuation of credit derivatives, portfolio selection, dynamic protection and ruin theory OCo it is an essential source of ideas and information for graduate students and researchers in probability theory, mathematical finance and actuarial sciences, and thus every university should acquire a copy. The proceedings have been selected for coverage in: . OCo Index to Scientific & Technical Proceedings (ISTP CDROM version / ISI Proceedings). OCo Index to Social Sciences & Humanities Proceedings- (ISSHP- / ISI Proceedings). OCo Index to Social Sciences & Humanities Proceedings (ISSHP CDROM version / ISI Proceedings). OCo CC Proceedings OCo Engineering & Physical Sciences. Contents: Limit Theorems for Moving Averages (T L Lai); On Large Deviations for Moving Average Processes (L Wu); Recent Progress on Self-Normalized Limit Theorems (Q-M Shao); Limit Theorems for Independent Self-Normalized Sums (B-Y Jing); Phase Changes in Random Recursive Structures and Algorithms (H-K Hwang); JohnsonOCoMehl Tessellations: Asymptotics and Inferences (S N Chiu); Rapid Simulation of Correlated Defaults and the Valuation of Basket Default Swaps (Z Zhang et al.); Dynamic Protection with Optimal Withdrawal (H U Gerber & E S W Shiu); Ruin Probability for a Model Under Markovian Switching Regime (H Yang & G Yin); and other papers. Readership: Researchers and graduate students in probability and statistics."

Author : T. L. Lai,Hailiang Yang,Siu Pang Yung
Publisher : World Scientific
Page : 253 pages
File Size : 42,6 Mb
Release : 2004
Category : Mathematics
ISBN : 9789812388537

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Probability, Finance and Insurance by T. L. Lai,Hailiang Yang,Siu Pang Yung Pdf

This workshop was the first of its kind in bringing together researchers in probability theory, stochastic processes, insurance and finance from mainland China, Taiwan, Hong Kong, Singapore, Australia and the United States. In particular, as China has joined the WTO, there is a growing demand for expertise in actuarial sciences and quantitative finance. The strong probability research and graduate education programs in many of China's universities can be enriched by their outreach in fields that are of growing importance to the country's expanding economy, and the workshop and its proceedings can be regarded as the first step in this direction.This book presents the most recent developments in probability, finance and actuarial sciences, especially in Chinese probability research. It focuses on the integration of probability theory with applications in finance and insurance. It also brings together academic researchers and those in industry and government. With contributions by leading authorities on probability theory ? particularly limit theory and large derivations, valuation of credit derivatives, portfolio selection, dynamic protection and ruin theory ? it is an essential source of ideas and information for graduate students and researchers in probability theory, mathematical finance and actuarial sciences, and thus every university should acquire a copy.The proceedings have been selected for coverage in: ? Index to Scientific & Technical Proceedings (ISTP CDROM version / ISI Proceedings)? Index to Social Sciences & Humanities Proceedings? (ISSHP? / ISI Proceedings)? Index to Social Sciences & Humanities Proceedings (ISSHP CDROM version / ISI Proceedings)? CC Proceedings ? Engineering & Physical Sciences

Author : Masaaki Kijima,Yukio Muromachi,Takashi Shibata
Publisher : World Scientific
Page : 236 pages
File Size : 50,6 Mb
Release : 2016-02-29
Category : Business & Economics
ISBN : 9789814730785

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Recent Advances in Financial Engineering 2014 by Masaaki Kijima,Yukio Muromachi,Takashi Shibata Pdf

Since 2004, the Tokyo Metropolitan University (TMU) has been conducting workshops that serve as a forum for academic researchers and practitioners to exchange ideas and developments in different fields of finance. This book is based on papers presented at the 2014 workshop held in Tokyo, on 6–7 November, 2014. The chapters address state-of-the-art techniques in mathematical finance and financial engineering. The authors share ideas and information on new methods and up-to-date results of their research in these fields. This book is a must-read for researchers, practitioners, and graduate students in the fields of mathematical finance, quantitative finance and financial engineering. Contents: Moment Properties of Probability Distributions Used in Stochastic Financial Models (J Stoyanov)An Equilibrium Approach to Indifference Pricing with Model Uncertainty (M H A Davis and D Yoshikawa)Volume Imbalance and Market Making (Á Cartea, R. Donnelly and S Jaimungal)Optimal Short-Covering with Regime Switching (T K. Chung)Effects of Reversibility on Investment Timing and Quantity Under Asymmetric Information (X Cui and T. Shibata)Quadratic Gaussian Joint Pricing Model for Stocks and Bonds: Theory and Empirical Analysis (K Kikuchi)Option Pricing with Ambiguous Correlation and Fast Mean-reverting Volatilities (M H Leung and H Y Wong)Callable Stock Loans (C C Siu, S C P Yam and W Zhou)Cash Management and Control Band Policies for Spectrally One-sided Lévy Processes (K Yamazaki)A Second-order Monotone Modification of the Sharpe Ratio (M Zhitlukhin) Readership: Graduate students, researchers and practitioners of financial engineering and mathematical finance. Key Features:Contains cutting-edge research in financial engineeringServes as a bridge between academic researchers and practitionersKeywords:Financial Engineering;Mathematical Finance;Money & Banking;Risk Management;Real Option;Corporate Finance;Computational Finance

Author : Piotr Jaworski,Fabrizio Durante,Wolfgang Karl Härdle
Publisher : Springer
Page : 294 pages
File Size : 45,6 Mb
Release : 2013-06-20
Category : Business & Economics
ISBN : 3642354084

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Copulae in Mathematical and Quantitative Finance by Piotr Jaworski,Fabrizio Durante,Wolfgang Karl Härdle Pdf

Copulas are mathematical objects that fully capture the dependence structure among random variables and hence offer great flexibility in building multivariate stochastic models. Since their introduction in the early 1950s, copulas have gained considerable popularity in several fields of applied mathematics, especially finance and insurance. Today, copulas represent a well-recognized tool for market and credit models, aggregation of risks, and portfolio selection. Historically, the Gaussian copula model has been one of the most common models in credit risk. However, the recent financial crisis has underlined its limitations and drawbacks. In fact, despite their simplicity, Gaussian copula models severely underestimate the risk of the occurrence of joint extreme events. Recent theoretical investigations have put new tools for detecting and estimating dependence and risk (like tail dependence, time-varying models, etc) in the spotlight. All such investigations need to be further developed and promoted, a goal this book pursues. The book includes surveys that provide an up-to-date account of essential aspects of copula models in quantitative finance, as well as the extended versions of talks selected from papers presented at the workshop in Cracow.

Author : Piotr Jaworski,Fabrizio Durante,Wolfgang Karl Härdle
Publisher : Springer Science & Business Media
Page : 294 pages
File Size : 41,7 Mb
Release : 2013-06-18
Category : Business & Economics
ISBN : 9783642354076

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Copulae in Mathematical and Quantitative Finance by Piotr Jaworski,Fabrizio Durante,Wolfgang Karl Härdle Pdf

Copulas are mathematical objects that fully capture the dependence structure among random variables and hence offer great flexibility in building multivariate stochastic models. Since their introduction in the early 1950s, copulas have gained considerable popularity in several fields of applied mathematics, especially finance and insurance. Today, copulas represent a well-recognized tool for market and credit models, aggregation of risks, and portfolio selection. Historically, the Gaussian copula model has been one of the most common models in credit risk. However, the recent financial crisis has underlined its limitations and drawbacks. In fact, despite their simplicity, Gaussian copula models severely underestimate the risk of the occurrence of joint extreme events. Recent theoretical investigations have put new tools for detecting and estimating dependence and risk (like tail dependence, time-varying models, etc) in the spotlight. All such investigations need to be further developed and promoted, a goal this book pursues. The book includes surveys that provide an up-to-date account of essential aspects of copula models in quantitative finance, as well as the extended versions of talks selected from papers presented at the workshop in Cracow.

Author : Piotr Jaworski,Fabrizio Durante,Wolfgang Karl Härdle,Tomasz Rychlik
Publisher : Springer Science & Business Media
Page : 327 pages
File Size : 53,7 Mb
Release : 2010-07-16
Category : Mathematics
ISBN : 9783642124655

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Copula Theory and Its Applications by Piotr Jaworski,Fabrizio Durante,Wolfgang Karl Härdle,Tomasz Rychlik Pdf

Copulas are mathematical objects that fully capture the dependence structure among random variables and hence offer great flexibility in building multivariate stochastic models. Since their introduction in the early 50's, copulas have gained considerable popularity in several fields of applied mathematics, such as finance, insurance and reliability theory. Today, they represent a well-recognized tool for market and credit models, aggregation of risks, portfolio selection, etc. This book is divided into two main parts: Part I - "Surveys" contains 11 chapters that provide an up-to-date account of essential aspects of copula models. Part II - "Contributions" collects the extended versions of 6 talks selected from papers presented at the workshop in Warsaw.

Author : Remigijus Leipus,Jonas Šiaulys,Dimitrios Konstantinides
Publisher : Springer Nature
Page : 99 pages
File Size : 49,9 Mb
Release : 2023-10-16
Category : Mathematics
ISBN : 9783031345531

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Closure Properties for Heavy-Tailed and Related Distributions by Remigijus Leipus,Jonas Šiaulys,Dimitrios Konstantinides Pdf

This book provides a compact and systematic overview of closure properties of heavy-tailed and related distributions, including closure under tail equivalence, convolution, finite mixing, maximum, minimum, convolution power and convolution roots, and product-convolution closure. It includes examples and counterexamples that give an insight into the theory and provides numerous references to technical details and proofs for a deeper study of the subject. The book will serve as a useful reference for graduate students, young researchers, and applied scientists.

Author : Alexander Melnikov
Publisher : CRC Press
Page : 267 pages
File Size : 48,6 Mb
Release : 2004-06-02
Category : Mathematics
ISBN : 9781135437459

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Risk Analysis in Finance and Insurance by Alexander Melnikov Pdf

Historically, financial and insurance risks were separate subjects most often analyzed using qualitative methods. The development of quantitative methods based on stochastic analysis is an important achievement of modern financial mathematics, one that can naturally be extended and applied in actuarial mathematics. Risk Analysis in Finance and Insurance offers the first comprehensive and accessible introduction to the ideas, methods, and probabilistic models that have transformed risk management into a quantitative science and led to unified methods for analyzing insurance and finance risks. The author's approach is based on a methodology for estimating the present value of future payments given current financial, insurance, and other information, which leads to proper, practical definitions of the price of a financial contract, the premium for an insurance policy, and the reserve of an insurance company. Self-contained and full of exercises and worked examples, Risk Analysis in Finance and Insurance serves equally well as a text for courses in financial and actuarial mathematics and as a valuable reference for financial analysts and actuaries. Ancillary electronic materials will be available for download from the publisher's Web site.

Author : Anonim
Publisher : Unknown
Page : 966 pages
File Size : 52,9 Mb
Release : 2001
Category : Mathematics
ISBN : CORNELL:31924099649067

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General Mathematics by Anonim Pdf

Author : Masaaki Kijima,Yukio Muromachi,Takashi Shibata (Associate professor)
Publisher : World Scientific
Page : 237 pages
File Size : 47,9 Mb
Release : 2016
Category : Electronic books
ISBN : 9789814730778

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Recent Advances in Financial Engineering 2014 by Masaaki Kijima,Yukio Muromachi,Takashi Shibata (Associate professor) Pdf

"Since 2004, the Tokyo Metropolitan University (TMU) has been conducting workshops that serve as a forum for academic researchers and practitioners to exchange ideas and developments in different fields of finance. This book is based on papers presented at the 2014 workshop held in Tokyo, on 6-7 November, 2014. The chapters address state-of-the-art techniques in mathematical finance and financial engineering. The authors share ideas and information on new methods and up-to-date results of their research in these fields. This book is a must-read for researchers, practitioners, and graduate students in the fields of mathematical finance, quantitative finance and financial engineering."--Provided by publisher.

Author : Jacques Janssen,Raimondo Manca
Publisher : Springer Science & Business Media
Page : 441 pages
File Size : 50,7 Mb
Release : 2007-05-15
Category : Mathematics
ISBN : 9780387707303

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Semi-Markov Risk Models for Finance, Insurance and Reliability by Jacques Janssen,Raimondo Manca Pdf

Everyone working in related fields from applied mathematicians to statisticians to actuaries and operations researchers will find this a brilliantly useful practical text. The book presents applications of semi-Markov processes in finance, insurance and reliability, using real-life problems as examples. After a presentation of the main probabilistic tools necessary for understanding of the book, the authors show how to apply semi-Markov processes in finance, starting from the axiomatic definition and continuing eventually to the most advanced financial tools.

Author : Erricos Kontoghiorghes,Berc Rustem,Peter Winker
Publisher : Springer Science & Business Media
Page : 425 pages
File Size : 42,5 Mb
Release : 2008-02-26
Category : Business & Economics
ISBN : 3540779582

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Computational Methods in Financial Engineering by Erricos Kontoghiorghes,Berc Rustem,Peter Winker Pdf

Computational models and methods are central to the analysis of economic and financial decisions. Simulation and optimisation are widely used as tools of analysis, modelling and testing. The focus of this book is the development of computational methods and analytical models in financial engineering that rely on computation. The book contains eighteen chapters written by leading researchers in the area on portfolio optimization and option pricing; estimation and classification; banking; risk and macroeconomic modelling. It explores and brings together current research tools and will be of interest to researchers, analysts and practitioners in policy and investment decisions in economics and finance.

Author : S?ren Asmussen,Hansj”rg Albrecher
Publisher : World Scientific
Page : 621 pages
File Size : 54,6 Mb
Release : 2010
Category : Mathematics
ISBN : 9789814282529

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Ruin Probabilities by S?ren Asmussen,Hansj”rg Albrecher Pdf

The book gives a comprehensive treatment of the classical and modern ruin probability theory. Some of the topics are Lundberg's inequality, the Cram‚r?Lundberg approximation, exact solutions, other approximations (e.g., for heavy-tailed claim size distributions), finite horizon ruin probabilities, extensions of the classical compound Poisson model to allow for reserve-dependent premiums, Markov-modulation, periodicity, change of measure techniques, phase-type distributions as a computational vehicle and the connection to other applied probability areas, like queueing theory. In this substantially updated and extended second version, new topics include stochastic control, fluctuation theory for Levy processes, Gerber?Shiu functions and dependence.

Author : Anonim
Publisher : Unknown
Page : 624 pages
File Size : 50,7 Mb
Release : 2004
Category : Mathematics
ISBN : UOM:39015059002702

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Annales Mathématiques Blaise Pascal by Anonim Pdf