Actuarial Finance by Boudreault, Mathieu -- Read -- Imperial Library of Trantor

Index

Cover Title Page Copyright Dedication 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

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