Actuarial Reference Library and
electronic database at the Centre
for students,
researchers and practitioners.
One of the main activities of the Centre is a creation of
actuarial library and electronic database of actuarial references, which will
serve students, researchers and practitioners in their further actuarial
education and/or research in Ukraine.
At present the Centre holds enough
actuarial educational materials (UK IoA Core
Readings) for 100 series subjects of the UK Institute of Actuaries. Some
textbooks have already been granted by the UK Institute of Actuaries, Casualty
Actuarial Society (USA), Institute of Actuaries of Australia, Katholieke Universiteit Leuven (Belgium) and Swedish Actuarial Society. But
there is still a number of outstanding books/textbooks
that are extremely important in actuarial education and therefore the Centre
would really appreciate very much any donations/contributions from
organisations and individuals to fulfil its library.
It
should be noticed that our Actuarial Reference Library is open to the public,
however according to the International Copyright Law all of its items must be
considered as reference ones that can not be borrowed or entirely copied.
The
Centre also plans to create an electronic database of journals of actuarial
science, insurance and finance.
Below
you can find the complete list of all recommended books/texts for 100 series
subjects of the UK Institute of Actuaries. Some of them are available at the
Centre. The brief description of each book from this list is provided. In the
list of literature provided below the candidates may find a number of textbooks
recommended also by the US SOA/CAS.
All
Core Readings for 100 series subjects have been granted by the UK Institute of
Actuaries.
SUBJECT 101: STATISTICAL MODELING
SUBJECT 102:
FINANCIAL MATHEMATICS
SUBJECT
103: STOCHASTIC MODELLING
SUBJECT 104:
SURVIVAL MODELS
SUBJECT
105: ACTUARIAL MATHEMATICS 1 (LIFE INSURANCE)
SUBJECT
106: ACTUARIAL MATHEMATICS 2 (NON-LIFE INSURANCE)
SUBJECT 107:
ECONOMICS
SUBJECT
108: FINANCE AND FINANCIAL REPORTING
SUBJECT 109:
FINANCIAL ECONOMICS
ADDITIONAL
LITERATURE ON FINANCIAL AND ACTUARIAL MATHEMATICS,
INSURANCE AND
ECONOMICS FOR RESEARCHERS
SUBJECT 101:
STATISTICAL MODELING
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Freund, John
E., Mathematical statistics. - 6th ed. - Prentice Hall International, 1999, 624 pages. -
ISBN 0139741550
Textbook in probability and statistics for
mathematically inclined undergraduates and first-year graduate students. It
presents the theory behind applied statistics, with emphasis on one-sample
and two-sample models, regression, analysis of variance, and multinomial
models.
The UK Institute of Actuaries Core Reading for subject 101
Stochastic Modelling is based on this textbook.
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Rice, John, Mathematical Statistics and Data Analysis. – Duxbury Press 1995, ISBN
0534209343
This is the first text in a generation to re-examine
the purpose of the mathematical statistics course. The book's approach interweaves
traditional topics with data analysis and reflects the use of the computer
with close ties to the practice of statistics. The author stresses analysis
of data, examines real problems with real data, and motivates the theory.
This textbook
is highly recommended for intermediate students in statistics.
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Casella, G. and Berger, R., Statistical Inference. Duxbury Press 2002, ISBN 0534243126
Intended for first-year graduate students specializing in statistics,
this textbook seeks to build theoretical statistics from the first
principles of probability theory. It covers the basics of probability
theory and details major statistical principles, including sufficiency,
likelihood, and invariance. It then outlines the methods of inference,
estimation, and hypothesis testing. Special topics like asymptotic
evaluations, analysis of variance and regression, and regression models are
also discussed.
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SUBJECT
102: FINANCIAL MATHEMATICS
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McCutcheon,
John J. and Scott, William F., An
introduction to the mathematics of finance. Butterworth-Heinemann, 2002, ISBN 0750600926
This book develops the classical theory
of compound interest (in which the force of interest is constant) as a
special case of a more general model. It also discusses applications of the
theory to the capital redemption policies, the valuation of stock market
securities, consumer credit calculations, and provides simple introductions
to stochastic interest rate models. The UK Institute of Actuaries Core
Reading for subject 101 Financial Mathematics is completely based on this
textbook.
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S. Broverman, Mathematics
of Investment and Credit, 2nd Edition, ACTEX, 1996, ISBN 1566982189
This text is a thorough treatment of the theory of interest,
and its application to a wide variety of financial instruments. It
emphasizes a direct-calculation approach to reaching numerical results, and
uses a gentle, thorough pedagogic approach. Major features of the text
include a full chapter on stochastic interest rate models, including
real-world applications of theory, a large number of worked examples, and
end-of-chapter exercises. Students will find this text to be valuable
supplementary reading in preparing for the Course 2 Examination of the
Society of Actuaries.
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S. Broverman, Mathematics
of Investment and Credit Solutions Manual 2nd edition, ACTEX, 1996,
ISBN 1566982197
This is Solutions Manual for the textbook Mathematics of
Investment
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M. Sherris, Money and
Capital Markets: Pricing, Yields and Analysis, 2nd Edition, Allen &
Unwin, 1996, ISBN 1864481595
This textbook provides
the most up-to-date, practical coverage of the pricing and analysis of
financial instruments and transactions available for Australian and
international capital markets. It is essential reading for tertiary
students of finance, accounting and actuarial studies.
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SUBJECT 103:
STOCHASTIC MODELLING
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Brzezniak, Zdzislaw and Zastawniak, Tomasz, Basic
stochastic processes: A course through exercises. Springer,
1998, ISBN 3540761756
This book is a final year undergraduate
text on stochastic processes, a tool used widely by statisticians and
researchers working in the mathematics of finance. The book will give a
detailed treatment of conditional expectation and probability, a topic which
in principle belongs to probability theory, but is essential as a tool for
stochastic processes. The author has concentrated on the major topics within
stochastic analysis: Stochastic Processes, Markov Chains, Spectral Theory,
Renewal Theory, Martingales and Itô Stochastic Processes.
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Grimmett,
Geoffrey and Stirzaker, David, Probability
and random processes. 3rd ed. Oxford University Press, 2001, ISBN 0198572220
It discusses a wide range of random processes in some depth with
many examples, and gives the beginner some flavour of more advanced work,
by suitable choice of material. The book begins with basic material
commonly covered in first-year undergraduate mathematics and statistics
courses, and finishes with topics found in graduate courses.
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Grimmett, Geoffrey
and Stirzaker, David, One thousand exercises in Probability. 2nd ed. Oxford University Press 2001, ISBN
0198572212
The companion volume Probability and Random
Processes: Problems and Solutions includes complete worked solutions to all
exercises and problems of this edition.
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Norris, Markov Chains. Cambridge Uni Press 1997 ISBN 0521633966
In this rigorous account the author studies both discrete-time
and continuous-time chains. A distinguishing feature is an introduction to
more advanced topics such as martingales and potentials, in the established
context of Markov chains. There are applications to simulation, economics,
optimal control, genetics, queues and many other topics, and a careful
selection of exercises and examples drawn both from theory and practice.
This is an ideal text for seminars on random processes or for those that
are more oriented towards applications, for advanced undergraduates or
graduate students with some background in basic probability theory.
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Peter J. Brockwell, Richard A.
Davis, P. J. Rockwell Introduction to Time Series and Forecasting. Springer Verlag,
2002 ISBN 0387953515
This is an introduction to time series that emphasizes
methods and analysis of data sets. The logic and tools of model-building
for stationary and non-stationary time series are developed and numerous
exercises, many of which make use of the included computer package, provide
the reader with ample opportunity to develop skills. Statisticians and
students will learn the latest methods in time series and forecasting,
along with modern computational models and algorithms.
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James D. Hamilton, Time Series Analysis. Princeton
Univ Pr; 1994 ISBN: 0691042896
James Hamilton provides the first adequate text-book
treatments of important innovations such as vector autoregressions,
generalized method of moments, the economic and statistical consequences of
unit roots, time-varying variances, and nonlinear time series models. Time
Series Analysis fills an important need for a textbook that integrates
economic theory, econometrics, and new results.
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SUBJECT
104: SURVIVAL MODELS
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Dick London, Survival
Models and Their Estimation, 3rd Edition, ACTEX, 1997 ISBN 1566982685
This text gives a general
description of the properties and characteristics of survival models and
statistical procedures for estimating such models from sample data. Several
approaches and applications are considered, including those of actuarial
science, clinical survival studies, epidemiology and reliability
engineering.
The text
includes numerous examples and exercises and an extensive bibliography for
further research and study.
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Dick London, Survival
Models and Their Estimation Manual, 3rd Edition, ACTEX, 1997 ISBN
1566982928
This is
Solutions Manual for the textbook Survival Models and Their Estimation
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Klein J. and Moeschberger
M., Survival Analysis: techniques for censored and
truncated data. Springer, 1997 ISBN
038795399X
Applied statisticians in many fields frequently analyse
time-to-event data. While the statistical tools presented in this book are
applicable to data from medicine, biology, public health, epidemiology,
engineering, economics and demography, the focus here is on applications of
the techniques to biology and medicine.
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SUBJECT 105:
ACTUARIAL MATHEMATICS 1 (Life Insurance)
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Bowers, Newton L. et al., Actuarial
mathematics – 2nd ed. Society of Actuaries, 1997 ISBN 0938959468
The second edition of this
foundational book for the actuarial science
profession is well suited to self-study. Highly readable and illustrated
lavishly with charts, graphs and tables, this text also contains exercises
to further clarify key concepts.
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Gerber, H. U., Life
insurance mathematics – 3rd ed. Springer. Swiss Association of Actuaries, 1997 ISBN 354062242X.
The book introduces the model of life contingencies (the
theory behind actuarial work in life insurance and pension funds) as well
as the theory of compound interest, the numerical evaluation of the
distribution of aggregate claims, and the statistical problem of estimating
death rates and other probabilities of decrement from observations.
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F. Etienne De Vylder, Florent De Vylder, F. Etienne
de Vylder, Life Insurance Theory - Kluwer Academic
Publishers, 1997
ISBN: 0792399951
The stochastic model, introduced by Professor De Vylder more than twenty years ago and now widely
adopted, is used throughout the monograph. Beyond the classical material of
life insurance mathematics, the emphasis lies on variance evaluations of
mathematical reserves, allowing the estimation of long term ruin
probabilities in life insurance portfolios with varying volume.
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Haberman, S. and Pitacco, E., Actuarial models for disability insurance -
Chapman & Hall, 1999 ISBN: 0849303893
Actuarial Models for Disability
Insurance deals with the actuarial structure of disability insurance,
long-term care insurance, and critical illness cover. Actuarial Models for
Disability Insurance is an invaluable reference source for academics in the
fields of actuarial science and insurance economics, and for professional
actuaries in insurance companies, consultancy firms, and those operating in
the areas of training and continuing professional development.
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Booth, P. M et al., Modern actuarial theory and
practice - Chapman & Hall, 1999 ISBN: 0849303885
Modern Actuarial Theory and Practice describes the
traditional areas of actuarial activity with an emphasis on the fundamental
principles, as well as the economic, financial, and statistical foundations
of actuarial theory and practice. Information is presented in five
interconnected sections: Investment, Life Insurance, General Insurance,
Pensions, Actuarial Models which can be read separately or taken as part of
the integrated whole.
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SUBJECT 106:
ACTUARIAL MATHEMATICS 2 (Non-life insurance)
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R. Kaas Marc Goovaerts,
Jan Dhaene, Michel Denuit, Modern actuarial risk theory. Kluwer
Academic Publishers, 2001 ISBN 0792376366
Modern
Actuarial Risk Theory contains important material on topics that are
relevant for recent insurance and actuarial developments including
determining solvency measures, fair-value computations, reserving, ranking
of risks, modelling dependencies and the use of generalized linear models.
Author Prof Jan Dhaene
granted this book to the Centre.
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Bowers, Newton L. et al., Actuarial
mathematics – 2nd ed. Society of Actuaries, 1997 ISBN 0938959468
The second edition of this foundational
book for the actuarial science
profession is well suited to self-study. Highly readable and illustrated
lavishly with charts, graphs and tables, this text also contains exercises
to further clarify key concepts.
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Klugman, S. A et al., Loss
Models: from Data to Decisions - John Wiley, 1998 ISBN: 0471238848
Loss
Models: From Data to Decisions is organized around the principle that
actuaries build models in order to analyze risks and make decisions about
managing the risks based on conclusions drawn from the analysis. In
practice, one begins with data and ends with a business decision. It begins
with a framework for model building and a description of frequency and
severity loss data typically available to actuaries.
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Klugman, S. A et al., Loss
models, Student Solutions Manual: from data to decisions - John Wiley,
1998 ISBN: 0471238856
Much of actuarial science
consists of constructing and analyzing mathematical models that describe
how fluids flow into and out of an insurance system. This book examines
contemporary topics such as risk theory and economics, credibility and
stochastic processes with a focus on the loss process, or the outflow of
cash due to the payment of benefits.
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Jan Grandell, Aspects of Risk Theory -
Springer Verlag, 1991 ISBN: 0387973680
Risk theory, which deals with stochastic models of an
insurance business, is a classical application of probability theory. The
fundamental problem in risk theory is to investigate the ruin possibility
of the risk business. This book is a treatise of risk theory with emphasis
on models where the occurrence of the claims is described by more general
point processes than the Poisson process, such as renewal processes, Cox
processes and general stationary point processes.
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Daykin, C. D; Pentikainen, T.; Pesonen, M., Practical
risk theory for actuaries – Chapman & Hall, 1994 ISBN: 0412428504
"Practical Risk Theory" is designed to be a
textbook for practising actuaries and student actuaries on the practical
aspects of stochastic modelling of the insurance business. The main focus
of the book is on general insurance (property/casualty insurance) but there
are also chapters in life insurance and pensions.
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Written by a
select group of industry experts, Foundations of Casualty Actuarial
Science covers ratemaking, reserving, investment income,
reinsurance pricing, and other important topics in a clear and
well-illustrated manner. Its thorough explanations and discussions of the
fundamentals of casualty actuarial concepts and practices have made it a
vital resource for casualty actuaries and candidates, college and
university students, as well as insurance and general business
professionals.
The Casualty Actuarial Society granted this book to
the Centre.
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SUBJECT 107: ECONOMICS
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Andreu Mas-Colell, Michael D. Whinston, Jerry R. Green, Microeconomic Theory, Oxford University Press;
(June 1995) ISBN 0195073401
Many instructors of microeconomic theory have been waiting
for a text that provides balanced and in-depth analysis of the essentials
of microeconomics. Masterfully combining the results of years of teaching
microeconomics at Harvard University, Andreu Mas-Colell, Michael Whinston,
and Jerry Green have filled that conspicuous vacancy with their
groundbreaking text, Microeconomic Theory.
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Hal
Varian, Microeconomic analysis, W.W.
Norton & Company; 3rd edition (March 1992), ISBN 0393957357
Microeconomic Analysis has been a
fixture of graduate programs in economics for fifteen years. It has held
this position because it has the authority, the clarity, and the breadth
necessary for a classic text. This new Third Edition continues to supply
the building blocks of microeconomic analysis: a thorough treatment of
optimization and equilibrium methods, coupled with numerous examples of
their application.
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Hal Varian, Exercises
and Applications for Microeconomic Analysis, W.W. Norton & Company;
3rd edition (August 1993), ISBN 0393957373
It's exiting the approach for the exercises and applications
using in the original book
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Philip J. Reny, Geoffrey Alexander
Jehle, Advanced
Microeconomic Theory, Addison-Wesley Publishing; 2nd edition, 2000 ISBN
0321079167
Provides a lengthy development of set
theory, real analysis, topology, calculus, and modern optimization theory. Describes modern
consumer and producer theories. Examines the behavior of economic
agents when they come together on markets and covers strategic behavior.
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David Romer, Advanced Macroeconomics - McGraw-Hill/Irwin;
2nd edition, 2000 ISBN: 0072318554
A series of formal models are used to present and analyze
important macroeconomic theories. The theories are supplemented by examples
of relevant empirical work, which illustrate the ways that theories can be
applied and tested. This well-respected and well-known text is virtually
unique in the marketplace.
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SUBJECT
108: FINANCE AND FINANCIAL REPORTING
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Brigham, Eugene F and Houston,
Joel F., Fundamentals of Financial
Management. 9th ed. Harcourt Brace, 2000
ISBN 0030314615
It offers updated discussion of recent events in the stock
and bond markets, a reworked section on market efficiency and behavioural
finance, and streamlined discussion of the time value of money.
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Brealey, Richard A and Myers, Stewart C., Principles of corporate finance. 6th ed.
McGraw-Hill, 1999 ISBN 0077095650
This is the worldwide leading text on the theory and
practice of corporate finance. Throughout the book the authors show how
managers use financial theory to solve practical problems and as a way of
learning how to respond to change by showing not just how, but why,
companies and management act as they do.
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Holmes, Geoffrey and Sugden, Alan., Interpreting
company reports and accounts. 7th ed. Prentice Hall, 1999 ISBN 027364615X.
This book guides the reader
through the conventions and complexities of reports and accounts,
explaining how to assess the financial and trading position of a company
from year to year, how to spot undue risk-taking, where and how to look for
clues on the quality of management and how to detect where window-dressing
has been used to disguise poor results.
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SUBJECT
109: FINANCIAL ECONOMICS
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Panjer, H. et.al, Financial Economics. SOA, 1998 ISBN: 0938959484
This textbook
explores key concepts of actuarial economics
and discusses their application in financial management. Aimed
at actuaries, financial engineers and others with comparable technical
skill. This text was written by an international, cross-disciplinary
team of writers from various financial and academic fields and is suitable
for study at the university level.
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Alison
Etheridge, A
Course in Financial Calculus. Cambridge Uni Press 2002 ISBN: 0521890772
Finance provides a dramatic
example of the successful application of advanced mathematical techniques
to the practical problem of pricing financial derivatives. A valuable
feature is the large number of exercises and examples, designed to test
technique and illustrate how the methods and concepts can be applied to
realistic financial questions.
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Pliska, S., Introduction to Mathematical Finance: Discrete Time
Models. Blackwell Publishers; (June 1997) ISBN: 1557869456
Pliska's book lays out the fundamentals
of discrete time models in a clear and concise manner. The book is mostly
self contained and well supported with examples that enhance understanding.
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Hull John C., Options, futures and other derivatives. 4th ed. Prentice Hall, 2000 ISBN 013 015822 4
Topics
covered include Determination of Forward and Futures Prices, Interest Rate
Markets, Mechanics of Options Markets, and Properties of Stock Options. For
individuals who work for banks and other financial institutions, as well as
options traders, options analysts, risk managers, swaps traders, financial
engineers, and corporate treasurers.
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Hans Follmer,
Stochastic Finance: An Introduction
in Discrete Time, Walter de Gruyter, Inc., 2002 ISBN:
3110171198
This book is an introduction to financial mathematics for
mathematicians. It is intended both for graduate students with a certain background
in probability theory as well as for professional mathematicians in
industry and academia. In contrast to many textbooks on mathematical
finance, only discrete-time stochastic models are considered.
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Robert C. Merton Continuous
Time Finance, Blackwell Publishers, 1992
ISBN: 0631185089
Robert C. Merton's widely used text provides an overview and
synthesis of finance theory from the perspective of continuous-time
analysis. It covers individual financial choice, corporate finance,
financial intermediation, capital markets, and selected topics on the
interface between private and public finance. For this revised edition a
new section on managing university endowments has been added.
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Salih Neftci An Introduction to the Mathematics of
Financial Derivatives. 2nd ed. Academic Press, 2000 ISBN
0125153929
This book
will be a major convenience to derivatives traders, risk managers, and
other users and developers of derivatives models. It greatly reduces the
cost of entry into the mathematical world of valuation, hedging, and risk
measurement for derivatives positions
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Yuh-Dauh Lyuu Financial Engineering
and Computation. Cambridge Uni Press, 2002 ISBN 052178171X
It offers a thorough grounding in
the subject for MBAs in finance, students of engineering and sciences who
are pursuing a career in finance, researchers in computational finance,
system analysts, and financial engineers. Along with the theory, the author
presents numerous algorithms for pricing, risk management, and portfolio
management. The emphasis is on pricing financial and derivative securities:
bonds, options, futures, forwards, interest rate derivatives,
mortgage-backed securities, bonds with embedded options, and more.
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Cochrane,
J., Asset Pricing. Princeton University Press, 2001 ISBN: 0691074984
Every day, the financial markets bravely price
trillions of dollars in such risky securities as stocks, bonds, options, futures,
and derivatives. The systematic determination of their values--asset
pricing--has developed dramatically in the last few years due to advances
in financial theory and econometrics. In one of the most highly anticipated
books in financial economics, John Cochrane unifies and brings this science
up to date for the benefit of advanced students and professionals.
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ADDITIONAL
LITERATURE ON FINANCIAL AND ACTUARIAL MATHEMATICS,
INSURANCE AND
ECONOMICS FOR RESEARCHERS
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Ioannis Karatzas, Steven E. Shreve, Brownian Motion and Stochastic
Calculus,
Springer 2nd
ed., 1997 ISBN 0387976558
This book is designed as a text for graduate courses in stochastic
processes. It is written for readers familiar with measure-theoretic
probability and discrete-time processes who wish to explore stochastic
processes in continuous time. The vehicle chosen for this exposition is
Brownian motion, which is presented as the canonical example of both a
martingale and a Markov process with continuous paths. In this context, the
theory of stochastic integration and stochastic calculus is developed.
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Georges Dionne, Handbook of Insurance, Kluwer, 2001
ISBN 079237911X
The Handbook of Insurance provides a single reference source
on insurance for professors, researchers, graduate students, regulators,
consultants, and practitioners, that reviews the
research developments in insurance and its related fields that have occurred
over the last thirty years. The book starts with the history and
foundations of insurance theory and moves on to review asymmetric
information, risk management and insurance pricing, and the industrial
organization of insurance markets. The book ends with life insurance,
pensions, and economic security.
Dr Emil Valdez granted this book to the Centre.
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Durrell Duffie, Dynamic Asset Pricing Theory, 3rd ed., Princeton Univ Pr. 2001 ISBN
069109022X
This is a thoroughly updated edition of Dynamic Asset
Pricing Theory, the standard text for doctoral students and researchers
on the theory of asset pricing and portfolio selection in multiperiod settings under uncertainty. The asset
pricing results are based on the three increasingly restrictive
assumptions: absence of arbitrage, single-agent optimality, and
equilibrium. Technicalities are given relatively little emphasis, so as to
draw connections between these concepts and to make plain the similarities between
discrete and continuous-time models.
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Durrell Duffie, Kenneth J. Singleton, Credit Risk: Pricing, Management, and Measurement, Princeton Uni Pr.,
2003 ISBN 0691090467
In this book, two of America's leading economists provide the first
integrated treatment of the conceptual, practical, and empirical
foundations for credit risk pricing and risk measurement. Masterfully
applying theory to practice, Darrell Duffie and
Kenneth Singleton model credit risk for the purpose of measuring portfolio
risk and pricing defaultable bonds, credit
derivatives, and other securities exposed to credit risk.
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Paul Embrechts, Claudia Kluppelberg, Thomas Mikosch
at al., Modelling Extremal Events for Insurance and Finance,
Springer, 1997 ISBN 3540609318
Both in insurance and in finance applications, questions
involving extremal events (such as large
insurance claims, large fluctuations in financial data, stock market
shocks, risk management) play an increasingly
important role. This book sets out to bridge the gap between the existing
theory and practical applications both from a probabilistic as well as from
a statistical point of view. Whatever new theory is presented is always
motivated by relevant real-life examples.
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A.V. Melnikov, Financial Markets: Stochastic Analysis and the Pricing
of Derivative Securities, American Math Society, 1998 ISBN 0821810820
Financial mathematics is going through a period of intensive
development, particularly in the area of stochastic analysis. This timely
work presents a comprehensive, self-contained introduction to stochastic
financial mathematics. It is based on lectures given at Moscow State University, "Stochastic Analysis in Finance",
and comprises the basic methods and key results of the theory of derivative
securities pricing in discrete financial markets.
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Clare Bellis, John Shepherd &
Richard Lyon, Understanding Actuarial
Management: the actuarial control cycle, Institute of Actuaries of Australia, 2003
ISBN 085813071-8
Understanding Actuarial Management: the
actuarial control cycle is essential reading for actuarial students and
other professionals seeking an insight into how actuaries manage future financial
risk within dynamic economic and social systems.
Institute of Actuaries of Australia granted this book to the Centre.
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Ioannis Karatzas, Steven E. Shreve, Methods of Mathematical Finance, Springer,
1998 ISBN 0387948392
Written by two of the best-known
researchers in mathematical finance, this book presents techniques of
practical importance as well as advanced methods for research. Contingent
claim pricing and optimal consumption/investment in both complete and
incomplete markets are discussed, as well as
Brownian motion in financial markets and constrained consumption and
investment.
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Marek Musiela, Marek Rutkowski, Martingale Methods in Financial
Modelling, Springer, 1997 ISBN 354061477X
This book provides a comprehensive and self-contained
treatment of the theory and practice of option pricing. The role of
martingale methods in financial modelling is exposed. The emphasis is on
using arbitrage-free models already accepted by the market as well as on
building the new ones but in a way that makes them consistent with the
finance industry derivatives pricing practice. Standard calls and puts
together with numerous examples of exotic options such as barriers and quantos, for example on stocks, indices, currencies and
interest rates are analysed.
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Bernt Oksendal, Stochastic Differential Equations:
An Introduction with Applications, Springer, 2003 ISBN 3540047581
This book gives an introduction to the basic theory of stochastic
calculus and its applications. Examples are given throughout the text, in
order to motivate and illustrate the theory and show its importance for
many applications in e.g. economics, biology and physics. The basic idea of
the presentation is to start from some basic results (without proofs) of
the easier cases and develop the theory from there, and to concentrate on
the proofs of the easier case in order to be able to reach quickly the
parts of the theory which is most important for the applications.
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S.T. Rachev, Handbook of Heavy Tailed Distributions in Finance,
North- Holland, 2003 ISBN 0444508961
The Handbooks in Finance are intended to be a definitive
source for comprehensive and accessible information in the field of finance.
Each individual volume in the series should present an accurate
self-contained survey of a sub-field of finance, suitable for use by
finance and economics professors and lecturers, professional researchers,
graduate students and as a teaching supplement. The goal is to have a broad
group of outstanding volumes in various areas of finance.
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Albert Shiriaev, Essentials of Stochastic Finance: Facts, Models, Theory,
World Scientific Pub Co, 1999 ISBN 9810236050
The Essentials of Stochastic Finance: Facts, Models, Theory
by Albert N. Shiriaev, et al offers a clear
treatment of both theoretical and empirical Finance. Shiryaev
presents not only the essentials of probability as it is applied to
finance, but he also covers recent developments in Mathematical Finance.
Each topic moves from the specific to the general, beginning
with one or more examples to lead into the theoretical results.
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Timothy F. Harris, Albert E. Easton, Actuarial Aspects of Individual
Life Insurance and Annuity Contracts, ACTEX, 1999 ISBN 1566983460
This text focuses on the relationships
among the various types of values that are associated with individual life
and annuity contracts. For the student, it illustrates the dependencies
that exist among premiums, cash values, reserves, dividends and other
non-guaranteed elements when designing individual products. For the
experienced actuary, this text provides a comprehensive summary of current
actuarial practice in the design, pricing and daily maintenance of individual products.
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Researchers and students can also find many
useful on-line full-text research actuarial working papers and technical
reports. The list of links to the web sites with full-text downloadable
research papers is provided on our web site in section Links.
The entire collection of all back issues of the Scandinavian
Actuarial Journal has been granted to the Ukrainian Actuarial Society by
Dr. Arne Sandstrom (from Swedish Actuarial Society).
This collection is currently held by the Department of Probability and Statistics, Mechanics and Mathematics Faculty of the Taras Shevchenko National University of Kiev. Interested students and researchers may contact Prof. Mykhailo MOKLYACHUK concerning opportunities to get an access to this
collection.
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© This web site is
maintained by the Lviv
Actuaries, 2003 – 2004
