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| X. Sheldon Lin, Society of Actuaries | ||||
| John Wiley | ||||
| 2006 | ||||
| English | ||||
| 251 pages | ||||
| 2 MB | ||||
[tab] [content title="Summary"] *Introductory Stochastic Analysis for Finance and Insurance* provides essential tools for modeling and pricing within the finance and insurance sectors. This book introduces readers to key stochastic analysis techniques necessary for mathematical finance, focusing on practical applications, intuition, and computational methods rather than theoretical aspects. The text is aimed at graduate students, researchers, and practitioners interested in these fields. While it is self-contained, a background in probability theory is recommended for readers. The book is based on the author's extensive teaching experience and has been thoroughly classroom-tested. **Key Features:** - **Overview of Probability Theory** - **Discrete-Time Stochastic Processes** - **Continuous-Time Stochastic Processes** - **Basic Topics in Stochastic Calculus** The final chapters delve into advanced topics, including the Feynman-Kac formula, Girsanov's theorem, and complex barrier hitting time distributions. Additionally, the book applies stochastic analysis to practical scenarios, featuring two insurance examples: valuing equity-linked annuities in a stochastic interest rate environment and calculating reserves for universal life insurance. Figures and tables throughout the text simplify complex theories and processes, and an extensive bibliography directs readers to further research on specialized topics. This book is well-suited for upper-level undergraduate and graduate courses in stochastic finance and calculus and serves as a valuable study guide for professionals preparing for actuarial examinations from the Casualty Actuarial Society (CAS) and the Society of Actuaries (SOA). [/content] [content title="Content"] [/content] [content title="Author(s)"] [/content] [/tab]
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