Risk Analysis in Finance and Insurance

Risk Analysis in Finance and Insurance, Third Edition presents an accessible yet comprehensive introduction to the main concepts and methods that transform risk management into a quantitative science.

List of contents

1 Introductory Concepts of Financial Risk Management 2 Financial Risk Management in the Standard Binomial Mode 3 Binomial Model with Constraints and Transition to the Black-Scholes Model 4 Advanced Analysis of Financial Risks in Discrete Time Models 5 Stochastic Analysis in the Context of Financial Mathematics 6 Modelling Markets with Wiener Processes 7 Quantile Hedging Methodology within the Black-Sholes Model 8 Risk Measures as Quantitative Tools of Risk Management 9 Fixed Income Securities: Modelling and Pricing 10 Real and American Options. Performance Measures and Analysis 11 Insurance and Reinsurance Risks 12 Solvency Problem for an Insurance Company 13 Problems Bibliography Glossary of Notation Index

About the author

Alexander Melnikov is a Professor at the University of Alberta working in stochastic analysis and its applications in finance, statistics and insurance. He is the author of nine books and over one hundred research papers in leading academic journals and venues. He is a Fellow of the Russian Academy of Natural Sciences, a recipient of the Leontiev medal of this academy and the McCalla Professorship of the University of Alberta. In addition to his academic engagements, he held several senior positions in business and professional organizations.

Product details

• Authors: Alexander Melnikov, Melnikov Alexander
• Publisher: Taylor & Francis Ltd.
• Languages: English
• Product format: Hardback
• Released: 04.09.2025
• EAN: 9781032395111
• ISBN: 978-1-0-3239511-1
• No. of pages: 362
• Series: Chapman and Hall/CRC Financial Mathematics Series
• Subjects: Natural sciences, medicine, IT, technology > Mathematics > Probability theory, stochastic theory, mathematical statistics; Social sciences, law, business > Business > Miscellaneous; BUSINESS & ECONOMICS / Finance / General, MATHEMATICS / General, MATHEMATICS / Applied, BUSINESS & ECONOMICS / Finance / Financial Risk Management, BUSINESS & ECONOMICS / Finance / Financial Engineering, Economic statistics, business strategy, Probability & statistics, Insurance & actuarial studies, Applied mathematics, Probability and statistics, Insurance and actuarial studies, Econometrics and economic statistics