Actuarial Sciences and Quantitative Finance - ICASQF, Bogotá, Colombia, June 2014

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.

List of contents

Modeling Electricity Spot Price Dynamics by Using Levy-Type Cox Processes: An Application to the Colombian Market.- Using Value-at-Risk (VaR) to Measure Market Risk of the Equity Inventory of a Market Maker.- Reverse mortgage schemes financing urban dynamics using the multiple decrement approach.- Speedup of Calibration and Pricing with SABR models: from equities to interest rates derivatives.- Bergman, Piterbarg and Beyond: Pricing Derivatives under Collateralization and Differential Rates.

Product details

• Assisted by: Jos Garrido (Editor), José Garrido (Editor), Daniel Hernández-Hernández (Editor), Jaime A. Londoño (Editor)
• Publisher: Springer, Berlin
• Languages: English
• Product format: Paperback / Softback
• Released: 01.01.2016
• EAN: 9783319356679
• ISBN: 978-3-31-935667-9
• No. of pages: 98
• Dimensions: 155 mm x 5 mm x 235 mm
• Weight: 223 g
• Illustrations: XI, 98 p. 27 illus., 25 illus. in color.
• Series: Springer Proceedings in Mathematics & Statistics; Springer Proceedings in Mathematics & Statistics
• Subjects: Natural sciences, medicine, IT, technology > Mathematics > Miscellaneous; Social sciences, law, business > Business > International economy; C, Economics, finance, business & management, Statistics, Actuarial Sciences, Actuarial Mathematics, Mathematics and Statistics, Applications of Mathematics, Finance & accounting, Probability & statistics, Actuarial science, Economics, Mathematical, Quantitative Finance