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Stochastic Calculus for Finance II: Continuous-Time Models by Steven E. Shreve

Stochastic Calculus for Finance II: Continuous-Time Models Steven E. Shreve ebook
ISBN: 0387401016, 9780387401010
Format: djvu
Publisher: Springer
Page: 348

Fixed Income Securities by Tuckman. Stochastic Calculus for Finance II: Continuous-Time Models by Shreve. Prerequisite: Stochastic Calculus II 46-945, Options 45-814, Simulation Methods for Option Pricing 46-932, Advanced Derivative Modeling 46-915. Options Futures and other Derrivatives by Hull. Thus the compound Poisson process represents the cumulative amount of claims in the time interval . Program in Computational Finance. Recently, the problem of optimal investment for an insurer has attracted a lot of attention, due to the fact that the insurer is allowed to invest in financial markets in practice. Options and term structure models, all in continuous time. Shreve, Stochastic Calculus for Finance II, Continuous-Time Models. Stochastic Calculus for Finance II: Continuous-Time Models: v. In Hipp and Plum [2], the classical Cramér-Lundberg model is adopted for the risk reserve and the insurer can invest in a risky asset to minimize the ruin probability. Contract Theory in Continuous Time Models. Stochastic Calculus for Finance II: Continuous-Time Models.