Introductory stochastic analysis for finance and insurance / (Record no. 14392)
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| 000 -LEADER | |
|---|---|
| fixed length control field | 03236cam a22002654a 4500 |
| 001 - CONTROL NUMBER | |
| control field | vtls000009387 |
| 003 - CONTROL NUMBER IDENTIFIER | |
| control field | VRT |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20250102223943.0 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION | |
| fixed length control field | 100627s2006 njua |b 001 0 eng |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 0471716421 (cloth) |
| 039 #9 - LEVEL OF BIBLIOGRAPHIC CONTROL AND CODING DETAIL [OBSOLETE] | |
| Level of rules in bibliographic description | 201402040205 |
| Level of effort used to assign nonsubject heading access points | VLOAD |
| Level of effort used to assign subject headings | 201007200859 |
| Level of effort used to assign classification | malmash |
| Level of effort used to assign subject headings | 201006290844 |
| Level of effort used to assign classification | noor |
| -- | 201006271359 |
| -- | fbaitsaid |
| 050 00 - LIBRARY OF CONGRESS CALL NUMBER | |
| Classification number | HG106 |
| Item number | .L569 2006 |
| 100 1# - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Lin, X. Sheldon. |
| 9 (RLIN) | 32967 |
| 245 10 - TITLE STATEMENT | |
| Title | Introductory stochastic analysis for finance and insurance / |
| Statement of responsibility, etc. | X. Sheldon Lin. |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. | |
| Place of publication, distribution, etc. | Hoboken, N.J. : |
| Name of publisher, distributor, etc. | John Wiley, |
| Date of publication, distribution, etc. | c2006. |
| 300 ## - PHYSICAL DESCRIPTION | |
| Extent | xvi, 224 p. : |
| Other physical details | ill. ; |
| Dimensions | 25 cm. |
| 490 0# - SERIES STATEMENT | |
| Series statement | Wiley series in probability and statistics |
| 504 ## - BIBLIOGRAPHY, ETC. NOTE | |
| Bibliography, etc. note | Includes bibliographical references (p. 217-219) and index. |
| 505 ## - FORMATTED CONTENTS NOTE | |
| Formatted contents note | List of Figures. List of Tables. Preface. 1. Introduction. 2. Overview of Probability Theory. 3. Discrete-Time Stochastic Processes. 4. Continuous-Time Stochastic Processes. 5. Stochastic Calculus: Basic Topics. 6. Stochastic Calculus: Advanced Topics. 7. Applications in Insurance. References. Topic Index. |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc. | This book incorporates 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; and 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 processes. 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 semest |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name entry element | Finance |
| General subdivision | Mathematical models. |
| 9 (RLIN) | 6606 |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name entry element | Insurance |
| General subdivision | Mathematical models. |
| 9 (RLIN) | 32968 |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name entry element | Stochastic analysis. |
| 9 (RLIN) | 19843 |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) | |
| Source of classification or shelving scheme | Library of Congress Classification |
| Suppress in OPAC | No |
| Koha item type | Books |
| Withdrawn status | Lost status | Source of classification or shelving scheme | Damaged status | Not for loan | Home library | Current library | Shelving location | Date acquired | Total checkouts | Full call number | Barcode | Date last seen | Copy number | Price effective from | Koha item type |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Library of Congress Classification | Library | Library | First Floor | 21/12/2024 | HG106 .L569 2006 | 8526 | 21/12/2024 | 1 | 21/12/2024 | Books |