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Springer Proceedings in Mathematics & Statistics

Actuarial Sciences and Quantitative Finance

ICASQF, Bogotá, Colombia, June 2014

Editors: Londono, Jaime A., Garrido, José, Hernández-Hernández, Daniel (Eds.)

  • Showcases recent research on topics in actuarial science and quantitative finance
  • Spotlights research originating in and focusing on the Andean and Caribbean regions
  • ​Covers a wide variety of subtopics, including statistical techniques in finance, derivative valuation, risk theory and the economics of insurance
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eBook $109.00
price for USA (gross)
  • ISBN 978-3-319-18239-1
  • Digitally watermarked, DRM-free
  • Included format: PDF, EPUB
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $139.00
price for USA
  • ISBN 978-3-319-18238-4
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
About this book

Featuring contributions from industry and academia, this volume includes chapters covering a diverse range of theoretical and empirical aspects of actuarial science and quantitative finance, including portfolio management, derivative valuation, risk theory and the economics of insurance. Developed from the First International Congress on Actuarial Science and Quantitative Finance, held at the Universidad Nacional de Colombia in Bogotá in June 2014, this volume highlights different approaches to issues arising from industries in the Andean and Carribean regions. Contributions address topics such as Reverse mortgage schemes and urban dynamics, modeling spot price dynamics in the electricity market, and optimizing calibration and pricing with SABR models.

Table of contents (5 chapters)

  • Modeling Electricity Spot Price Dynamics by Using Lévy-Type Cox Processes: An Application to Colombian Market

    Arunachalam, Viswanathan (et al.)

    Pages 1-14

  • Using Value-at-Risk (VaR) to Measure Market Risk of the Equity Inventory of a Market Maker

    Kuketayev, Argyn (et al.)

    Pages 15-26

  • Reverse Mortgage Schemes Financing Urban Dynamics Using the Multiple Decrement Approach

    Bogataj, David (et al.)

    Pages 27-47

  • Speedup of Calibration and Pricing with SABR Models: From Equities to Interest Rates Derivatives

    Ferreiro, Ana María (et al.)

    Pages 49-63

  • Bergman, Piterbarg, and Beyond: Pricing Derivatives Under Collateralization and Differential Rates

    Mercurio, Fabio

    Pages 65-95

Buy this book

eBook $109.00
price for USA (gross)
  • ISBN 978-3-319-18239-1
  • Digitally watermarked, DRM-free
  • Included format: PDF, EPUB
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $139.00
price for USA
  • ISBN 978-3-319-18238-4
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
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Bibliographic Information

Bibliographic Information
Book Title
Actuarial Sciences and Quantitative Finance
Book Subtitle
ICASQF, Bogotá, Colombia, June 2014
Editors
  • Jaime A. Londono
  • José Garrido
  • Daniel Hernández-Hernández
Series Title
Springer Proceedings in Mathematics & Statistics
Series Volume
135
Copyright
2015
Publisher
Springer International Publishing
Copyright Holder
Springer International Publishing Switzerland
eBook ISBN
978-3-319-18239-1
DOI
10.1007/978-3-319-18239-1
Hardcover ISBN
978-3-319-18238-4
Series ISSN
2194-1009
Edition Number
1
Number of Pages
XI, 98
Number of Illustrations and Tables
2 b/w illustrations, 25 illustrations in colour
Topics