Home Page Icon
Home Page
Table of Contents for
Part I Introduction to actuarial finance
Close
Part I Introduction to actuarial finance
by Jean-François Renaud, Mathieu Boudreault
Actuarial Finance
Cover
Acknowledgments
Preface
Part I Introduction to actuarial finance
1 Actuaries and their environment
1.1 Key concepts
1.2 Insurance and financial markets
1.3 Actuarial and financial risks
1.4 Diversifiable and systematic risks
1.5 Risk management approaches
1.6 Summary
1.7 Exercises
Notes
2 Financial markets and their securities
2.1 Bonds and interest rates
2.2 Stocks
2.3 Derivatives
2.4 Structure of financial markets
2.5 Mispricing and arbitrage opportunities
2.6 Summary
2.7 Exercises
Note
3 Forwards and futures
3.1 Framework
3.2 Equity forwards
3.3 Currency forwards
3.4 Commodity forwards
3.5 Futures contracts
3.6 Summary
3.7 Exercises
Notes
4 Swaps
4.1 Framework
4.2 Interest rate swaps
4.3 Currency swaps
4.4 Credit default swaps
4.5 Commodity swaps
4.6 Summary
4.7 Exercises
Notes
5 Options
5.1 Framework
5.2 Basic options
5.3 Main uses of options
5.4 Investment strategies with basic options
5.5 Summary
5.6 Exercises
Note
6 Engineering basic options
6.1 Simple mathematical functions for financial engineering
6.2 Parity relationships
6.3 Additional payoff design with calls and puts
6.4 More on the put-call parity
6.5 American options
6.6 Summary
6.7 Exercises
Notes
7 Engineering advanced derivatives
7.1 Exotic options
7.2 Event-triggered derivatives
7.3 Summary
7.4 Exercises
Note
8 Equity-linked insurance and annuities
8.1 Definitions and notations
8.2 Equity-indexed annuities
8.3 Variable annuities
8.4 Insurer’s loss
8.5 Mortality risk
8.6 Summary
8.7 Exercises
Notes
Part II Binomial and trinomial tree models
9 One-period binomial tree model
9.1 Model
9.2 Pricing by replication
9.3 Pricing with risk-neutral probabilities
9.4 Summary
9.5 Exercises
Note
10 Two-period binomial tree model
10.1 Model
10.2 Pricing by replication
10.3 Pricing with risk-neutral probabilities
10.4 Advanced actuarial and financial examples
10.5 Summary
10.6 Exercises
11 Multi-period binomial tree model
11.1 Model
11.2 Pricing by replication
11.3 Pricing with risk-neutral probabilities
11.4 Summary
11.5 Exercises
Notes
12 Further topics in the binomial tree model
12.1 American options
12.2 Options on dividend-paying stocks
12.3 Currency options
12.4 Options on futures
12.5 Summary
12.6 Exercises
Note
13 Market incompleteness and one-period trinomial tree models
13.1 Model
13.2 Pricing by replication
13.3 Pricing with risk-neutral probabilities
13.4 Completion of a trinomial tree
13.5 Incompleteness of insurance markets
13.6 Summary
13.7 Exercises
Notes
Part III Black-Scholes-Merton model
14 Brownian motion
14.1 Normal and lognormal distributions
14.2 Symmetric random walks
14.3 Standard Brownian motion
14.4 Linear Brownian motion
14.5 Geometric Brownian motion
14.6 Summary
14.7 Exercises
Notes
15 Introduction to stochastic calculus***
15.1 Stochastic Riemann integrals
15.2 Ito’s stochastic integrals
15.3 Ito’s lemma for Brownian motion
15.4 Diffusion processes
15.5 Summary
15.6 Exercises
Notes
16 Introduction to the Black-Scholes-Merton model
16.1 Model
16.2 Relationship between the binomial and BSM models
16.3 Black-Scholes formula
16.4 Pricing simple derivatives
16.5 Determinants of call and put prices
16.6 Replication and hedging
16.7 Summary
16.8 Exercises
Notes
17 Rigorous derivations of the Black-Scholes formula***
17.1 PDE approach to option pricing and hedging
17.2 Risk-neutral approach to option pricing
17.3 Summary
17.4 Exercises
Notes
18 Applications and extensions of the Black-Scholes formula
18.1 Options on other assets
18.2 Equity-linked insurance and annuities
18.3 Exotic options
18.4 Summary
18.5 Exercises
Notes
19 Simulation methods
19.1 Primer on random numbers
19.2 Monte Carlo simulations for option pricing
19.3 Variance reduction techniques
19.4 Summary
19.5 Exercises
Note
Hedging strategies in practice
20.1 Introduction
20.2 Cash-flow matching and replication
20.3 Hedging strategies
20.4 Interest rate risk management
20.5 Equity risk management
20.6 Rebalancing the hedging portfolio
20.7 Summary
20.8 Exercises
Notes
References
Index
End User License Agreement
Search in book...
Toggle Font Controls
Playlists
Add To
Create new playlist
Name your new playlist
Playlist description (optional)
Cancel
Create playlist
Sign In
Email address
Password
Forgot Password?
Create account
Login
or
Continue with Facebook
Continue with Google
Sign Up
Full Name
Email address
Confirm Email Address
Password
Login
Create account
or
Continue with Facebook
Continue with Google
Prev
Previous Chapter
Preface
Next
Next Chapter
1 Actuaries and their environment
Part I
Introduction to actuarial finance
Add Highlight
No Comment
..................Content has been hidden....................
You can't read the all page of ebook, please click
here
login for view all page.
Day Mode
Cloud Mode
Night Mode
Reset