INDEX
Actuarial symbols, 200
Affine model, 185
Aggregate claim amount, 113
Annuity Table, 200
Backward recursive algorithm, 82
Barrier hitting time, 67‒68, 123, 126, 187
Bayes’ Formula, 26
Binomial distribution, 16
Binomial model, 54
Binomial random variable, 16
Bisection method, 86
Bivariate normal distribution, 24, 32
Black’s Formula, 161
Black-Scholes Partial Differential Equation, 157, 175
Black-Scholes model, 155
Black-Scholes option pricing formula
call option, 158
put option, 158
Bond yield curve, 86
Bond yield, 84
Borel filtration, 46
Borel information structure, 13, 98
Brownian motion, 101
drift, 101
martingale property, 120
properties, 102
standard, 102
volatility, 102
Cash-or-nothing option, 129
Central Limit Theorem, 43
Change of probability measure, 65
Chapman-Kolmogorov Equation, 57
Commissioners Extended Table (CET), 200
Compound Poisson process, 113
Conditional expectation, 34‒35, 40
Conditional probability, 25
Contingent claim, 80
Continuous random variable, 13
Continuous-time stochastic process, 98
path, 98
Correlated normal random variables, 24
Counting random variable, 13
Counting stochastic process, 112
Coupon bond, 84
coupon rate, 85
par value, 85
Credit rating, 59
Cumulative distribution function, 13
Default risk, 58
Digital option, 127
Discount bond, 85
Discrete random variable, 13
Discrete-time stochastic process, 46
EIA, 203
Equity Indexed Annuity
Annual Reset, 205
Equity-Indexed Annuity, ...
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