Risk analysis in finance and insurance. (©2012)

• Record Type: Book
• Further Information: Note: Alexander Melnikov.
• Other Names: Melʹnikov, A. V, 1953-
• Contents: Financial Risk Management and Related Mathematical Tools; Introductory concepts of the securities market; Probabilistic foundations of financial modelling and pricing of contingent claims; Elements of probability theory and stochastic analysis Financial Risk Management in the Binomial Model; 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; 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; The transition from the binomial model of a financial market to a continuous model. The Black-Scholes formula and equation Advanced Analysis of Financial Risks: Discrete Time Models; 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; Hedging contingent claims in mean square; Gaussian model of a financial market in discrete time. Insurance appreciation and discrete version of the Black-Scholes formula Analysis of Risks: Continuous Time Models; The Black-Scholes model. "Greek" parameters in risk management, hedging and optimal investment; Beyond the Black-Scholes model; Imperfect hedging and risk measures Fixed Income Securities: Modeling and Pricing; Elements of deterministic theory of fixed income instruments; Stochastic modelling and pricing bonds and their derivatives Implementations of Risk Analysis in Various Areas of Financial Industry; Real options: pricing long-term investment projects; Technical analysis in risk management; Performance measures and their applications Insurance and Reinsurance Risks; Modelling risk in insurance and methodologies of premium calculations; Risks transfers via reinsurance; Elements of traditional life insurance; Risk modelling and pricing in innovative life insurance Solvency Problem for an Insurance Company; Ruin probability as a measure of solvency of an insurance company; Solvency of an insurance company and investment portfolios; Solvency problem in a generalized Cramér-Lundberg model Appendix A: Problems; Appendix B: Bibliographic Remarks Bibliography Glossary of Notation Index
• Edition: 2nd ed
• Publisher Details: Boca Raton, Fla London : CRC Taylor & Francis
• Publication Date: 2012
• Copyright Date: 2012
• Extent: 1 online resource (x, 312 pages), illustrations
• Subjects: 368; Risk management; Finance; Insurance; Finance; Insurance; Risk management; Electronic books
• Languages: English
• ISBNs: 9781420070538; 1420070533
• Related ISBNs: 1420070525; 9781420070521
• Notes: Note: Includes bibliographical references.
• Access Rights: Legal Deposit; Only available on premises controlled by the deposit library and to one user at any one time; The Legal Deposit Libraries (Non-Print Works) Regulations (UK).
• Access Usage: Restricted: Printing from this resource is governed by The Legal Deposit Libraries (Non-Print Works) Regulations (UK) and UK copyright law currently in force.