Statistical Tools for Finance and Insurance, Second Edition

Pavel Cizek, Wolfgang Karl Hardle, Rafal Weron, "Statistical Tools for Finance and Insurance, Second Edition"
S....er | 2011 | ISBN: 3642180612 | 538 pages | PDF | 4,9 MB

Statistical Tools for Finance and Insurance presents ready-to-use solutions, theoretical developments and method construction for many practical problems in quantitative finance and insurance. Written by practitioners and leading academics in the field, this book offers a unique combination of topics from which every market analyst and risk manager will benefit.

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Features of the significantly enlarged and revised second edition:

* Offers insight into new methods and the applicability of the stochastic technology
* Provides the tools, instruments and (online) algorithms for recent techniques in quantitative finance and modern treatments in insurance calculations
* Covers topics such as
- expected shortfall for heavy tailed and mixture distributions*
- pricing of variance swaps*
- volatility smile calibration in FX markets
- pricing of catastrophe bonds and temperature derivatives*
- building loss models and ruin probability approximation
- insurance pricing with GLM*
- equity linked retirement plans*(new topics in the second edition marked with*)
* Presents extensive examples

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