Actuarial sciences and quantitative finance : icasqf, bogotá, colombia, june 2014 / edited by Jaime A. Londoño, José Garrido, Daniel Hernández-Hernández.
Tipo de material:
TextoSeries Springer Proceedings in Mathematics & Statistics ; 135Editor: Cham : Springer International Publishing : Springer, 2015Edición: 1st ed. 2015Descripción: xi, 98 páginas : 27 ilustraciones, 25 ilustraciones en colorTipo de contenido: - texto
- computadora
- recurso en línea
- 9783319182391
- HG8779-8793
Contenidos:
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.
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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.
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