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Introductory Stochastic Analysis for Finance and Insurance
book

Introductory Stochastic Analysis for Finance and Insurance

by X. Sheldon Lin, Society of Actuaries
March 2006
Beginner
248 pages
5h 34m
English
Wiley-Interscience
Content preview from Introductory Stochastic Analysis for Finance and Insurance

REFERENCES

1.  Abramowitz, M. (2002). Handbook of Mathematical Functions with Formulas, Graphs, and Mathematical Tables. Dover, New York.

2.  Ballotta, L. and S. Haberman (2003). Valuation of guaranteed annuity conversion options, Insurance, Mathematics and Economics, 33, 87‒108.

3.  Benninga, S. (1997). Financial Modeling, MIT Press, Cambridge, MA.

4.  Black F. and M.J. Scholes (1973). The pricing of options and corporate liabilities. Journal of Political Economy, 81, 637‒654.

5.  Black F., E. Derman and W. Toy (1990). A one factor model of interest rates and its application to treasury bond options, Financial Analysts Journal, 46, 33‒39.

6.  Björk, T. (1998). Arbitrage Theory in Continuous Time, Oxford University Press, New York.

7.  Bolton, M.J. (1997). Reserving for annuity guarantees, Report of the Annuity Guarantees Working Party, Institute of Actuaries, London.

8.  Bowers Jr., N., H.U. Gerber, J. Hickman, D. Jones and C. Nesbitt (1997). Actuarial Mathematics, 2nd Edition, Society of Actuaries, Schaumburg, IL.

9.  Boyle, P. and M. Hardy (2003). Guaranteed annuity options, Astin Bulletin, 33, 125‒152.

10.  Cairns, A.J.G. (2004) Interest Rate Models: An Introduction, Princeton University Press, Princeton, NJ.

11.  Cox, J., S.A. Ross and M. Rubinstein (1979). Option pricing: a simplified approach. Journal of Financial Economics, 7, 229‒263.

12.  Duffie, D. and R. Kan (1996). A yield-factor model of interest rates. Mathematical Finance, 6, 379‒406.

13.  Durrett, R. (1996). ...

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Publisher Resources

ISBN: 9780471716426Purchase book