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Other titles in the Springer Finance series:
Financial Modeling, Actuarial Valuation and Solvency in Insurance (Springer Finance)by Mario V Wuthrich
Synopses & Reviews
Risk management for financial institutions is one of the main questions the financial industry has to deal with. The present volume is a mathematically rigorous text on solvency modeling. Currently, there are many new developments in this area
This book combines ideas from financial mathematics, actuarial sciences and economic theory to give a fully consistent framework for the analysis of solvency questions.
Table of Contents
Introduction.- Part I. Financial Valuation Principles.- 1. State price deflators and stochastic discounting.- 2. Gaussian spot rate models.- 3. Non-Gaussian spot rate models.- 4. Stochastic forward rate modeling.- 5.Dynamic Nelson-Siegel and Svensson framework.- 6. Pricing of financial assets.- Part II.
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